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Brokers that allow 3-leg futures orders


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Brokers that allow 3-leg futures orders

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  #1 (permalink)
 gumdr0p 
Illinois
 
Experience: Intermediate
Trading: Futures
 
Posts: 56 since Apr 2015
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I've developed a strategy w/ 3 legs in bonds futures.

I'd really love to not have to break up the combo, and be able to put in limit orders for the entire combo.

When I try to do this in Interactive Brokers (Trader Workstation/Order Entry/Futures Spreads/Leg-by-Leg), first it says "This combo can only be executed as Non-Guaranteed. Do you want to create it anyway?" and then I click "Yes" and try to enter a position it says "Non-guaranteed order should only have two legs" and won't let me go any further.

Does anyone know of any brokers that make this easier? Or is there another way to do this in Interactive Brokers?

Thanks for any pointers!


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  #2 (permalink)
 addchild 
Bay Area California
 
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The tool you are looking for is called a "spreader", the two most common ones for futures are from Trading Technologies and CQG. They will use a combination of limit and marketable limit orders to get your desired price for your particular spread. Any broker with access to those platforms should be able to accommodate you.

Depending on the 3 legs, you might be able to put your spread position on in interactive brokers using 2 of the exchange guaranteed spreads as the legs that overlap on your middle leg (say ZFxZN and ZNxZB), but its likely IB crosses every leg to get you in, so you will likely be giving up a lot of edge/slippage, so if you plan on doing it regularly, you will want a dedicated spreader.

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 ocpb 
Hartford CT, USA
 
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gumdr0p View Post
Does anyone know of any brokers that make this easier? Or is there another way to do this in Interactive Brokers?

One possibility I've seen is Rithmic R-Trader Pro, you might want to look into that. Looks like you can define any synthetic spread within that platform, no matter how many legs. The one caveat being, I can't speak to the execution quality on its own, or compared to autospreading technology. It appears to utilize market-if-touched orders for all legs, which to me, implies that it may be executed fairly efficiently on the server-side through Rithmic. There was more info on this on the Optimus forum so maybe they would be a good brokerage to call.

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  #4 (permalink)
 Ironbeam   is a Vendor
 
 
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gumdr0p View Post
I've developed a strategy w/ 3 legs in bonds futures.

I'd really love to not have to break up the combo, and be able to put in limit orders for the entire combo.

When I try to do this in Interactive Brokers (Trader Workstation/Order Entry/Futures Spreads/Leg-by-Leg), first it says "This combo can only be executed as Non-Guaranteed. Do you want to create it anyway?" and then I click "Yes" and try to enter a position it says "Non-guaranteed order should only have two legs" and won't let me go any further.

Does anyone know of any brokers that make this easier? Or is there another way to do this in Interactive Brokers?

Thanks for any pointers!


Can you give an example of the actual spread/legs? It is actually the CME that synthesizes the legs and provides the market, not the platform unless it involves symbol combinations that the CME will not accommodate.

Feel free to reach out with any questions. (312) 765 7228. There is a substantial risk of loss in trading futures and options. Past performance is not necessarily indicative of future results. Full Details.
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  #5 (permalink)
 SMCJB 
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Houston, TX
 
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@addchild +1.
Trading Technologies user here. Have spreaders set up ranging from 2 to 8 legs!
Worth adding that ICE have User Defined Spreads, that are basically the same as spreaders, that sit on their servers! Unfortunately very few people trade ICE.

Ironbeam View Post
Can you give an example of the actual spread/legs? It is actually the CME that synthesizes the legs and provides the market, not the platform unless it involves symbol combinations that the CME will not accommodate.

The advantage of 'exchange listed spreads/combinations' is no legging risk! The advantage of spreaders (other than your not limited to exchange listed instruments, you can create anything you want) is that you can get fills that you wouldn't get using the exchange listed spreads/combinations mainly due to limitations in the matching engines.

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