1. What is combo options market data?
Combo (multi-leg) options market data refers to the quotes and price data for a strategy built from two or more single-leg option contracts in a set ratio (e.g., spreads, straddles, butterflies).
2. How is the combo's bid/ask quoted?
Tiger quotes the combo order book (bid/ask) using SNBBO.
SNBBO (Synthetic NBBO) is not an actual pending order. It is a reference bid/ask derived by combining the best bid/ask of each single leg according to the combo ratio.
It reflects the reference price at which the combo could trade if all legs filled at their current best prices, helping you gauge the combo's approximate price range.
3. How are the combo's last price and OHLC calculated?
The combo's Mark Price, last price, open/high/low/close (OHLC), and charts are also generated using the same SNBBO combination method:
The system combines the Mark Price, last price and OHLC of each single leg respectively according to the combo ratio to derive the combo's last price and OHLC.
These values are therefore reference prices synthesized from single-leg data — not the combo's actual trading/traded price.
4. Notes
Combo market data (bid/ask, Mark Price, last price, OHLC, charts) is a synthetic reference price for informational purposes only. The actual execution price depends on how each leg is ultimately filled.
Because it is synthesized in real time from single-leg data, combo market data may differ from any specific real trade price you might expect.