Place a Combination Order
A combination order is a special type of order that is constructed of many separate legs but executed as a single transaction.
To buy a calendar spread you would:
Buy 1 OPT JUL03 17.5 CALL (100)
Sell 1 OPT AUG03 17.5 CALL (100)
To create a combo order
The following example walks you through placing a hypothetical calendar spread order for XYZ on ISE:
Use the Contract Details tab to get the contract id for both of the leg definitions.
The conid for XYZ option JUL07 17.5 CALL on ISE is "12345678".
The conid for XYZ option AUG07 17.5 CALL on ISE is "12345679".
Go to the Orders tab to build the combo leg definitions. Click the Combo Legs button on the toolbar and enter leg information. Your leg information is translated into the format:
[CMBLGS] is the delimiter used to identify the start and end of the leg definitions
[NumOfLegs] is the number of leg definitions
[Combo Leg Definitions] defines N leg definitions, and each leg definition consists of [conid]_[ratio]_[action]_[exchange]_[openClose], so the resulting combo substring looks as follows:
The combination leg definitions must occur before the extended order attributes. The full place order DDE request string will look as follows:
If the order legs do not constitute a valid combination, one of the following errors will be returned:
312 = The combo details are invalid.
313 = The combo details for '<leg number>' are invalid.
314 = Security type 'BAG' requires combo leg details.
315 = Stock combo legs are restricted to SMART exchange.
(1) The exchange for the leg definition must match that of the combination order. The exception is for a STK leg definition, which must specify the SMART exchange.
(2) The openClose leg definition value is always 'SAME' (i.e.0) for retail accounts. For institutional accounts, the value may be any of the following: (SAME, OPEN, CLOSE).
For more information on Combination orders, see the user guide topics Combination Orders and Notes on Combination Orders.
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