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Dear Francois,
thank you for your reply. Let me be more precise: I know that guaranteed combos with up to 6? legs can be and used in whatif orders, but these are only available for all contract? types, mostly only for options combinations, and very few futures, such as CL.BZ for example. Unfortunately most of future spreads are not native of the exchange, so they must be created as non guaranteed (NG), but for the latter only 2 legs can be used. Beside this there is an additional recent limitation, which is not documented on IB website, that prohibits the creation of negative capable legs NG combos. This is probably due to the loss IB incurred in when crude oil futures price went negative (negative capable leg..), but I noticed it can also affects interest rate futures and some other energy futures, anything which could have a negative price. This is due to the wrong logic of combos order, which assumes positive prices of the legs. In practice this means that only native order are supported for these negative capable legs, so stop orders for example, which are not native, cannot be currently be placed on any combo with a CL leg for example. CL.BZ is a native spread, but stop orders are not supported by the exchange. Few months ago a stop NG order could be for CL-BZ for example, but know the systems raises an error and prevents order submission(the error is "NG orders are for negative capable legs are not supported). As far as I can tell this change is not documented anywhere. In any case, I am interested in currency trades or CFD, which are not supported in combos at all, so a combo whatif cannot be used, not? even for 2 legs. To summarize, there are only few garanteed combos with more than 2 legs which are supported, while for NG combos only 2 legs can be used, each leg must not be negative price capable, and currencies cannot be used at all. Future currencies can be a solution for 2 legs trades, but not for more complex trades, and they have limitations due to the lot size. The management of stop orders on negative capable combos is an important issue, which would deserve a separate topic and solution in itself. All the interesting 3 futures legs combos I tried to create are rejected (in API or TWS), while currencies or CFD legs are rejected also any two legs NG combos. Note that the whatif oerder is in general not efficient in assessing a mutiple legs position impact, since it only gives the margin impact of the single legs, and the sum of the single legs margin is not in general the total margin, due to margin credits for certain future combinations, or for currency positions, due to the possible compensation between some currencies balance when the crosses have a common currency, like gbpusd combined with usdjpy for example. See this post for more details. Thanks QT |
