IB mid pricing on spreads

[Darcy MacDonald]

So as I've learned and as Kim has said before, you can't trust the mid price quoted for a spread in TWS.  Rather, you need to look at the individual legs and add/subtract their mid prices yourself to get the true mid. 

But I'm curious, does anyone know what exactly TWS is doing to get the price they're quoting?  There must be some reason why they're quoting a different number?

 

 

 

 

[Kim]

They take the mid of the spread. For example:

 

Calls are 2.00/2.20

Puts are 2.00/2.20

The straddle is 4.00/4.40, so the mid is 4.20.

Now you place a buy order at 4.20. The bid/ask becomes 4.20/4.40, so they present the new mid as 4.30. But the real mid is still 4.20.

Trading and getting fills with Interactive Brokers 

[cuegis]

On 7/4/2017 at 1:07 PM, Darcy MacDonald said:

So as I've learned and as Kim has said before, you can't trust the mid price quoted for a spread in TWS.  Rather, you need to look at the individual legs and add/subtract their mid prices yourself to get the true mid. 

But I'm curious, does anyone know what exactly TWS is doing to get the price they're quoting?  There must be some reason why they're quoting a different number?

 

 

 

 

In TWS, on your main quote page, the default settings provide a column for bid, and another for ask.

But, if you go into Configuration", you can add another column called "Mid".

Now you have 3 columns..."Bid" "Mid" "Ask".

What Kim said was true...about when you add your new bid to a spread, it will change the "mid".

But, it will not change the "mid" on the individual options.

If you add this "mid" column, it just makes it a lot easier and faster to eyeball the mids of the legs.