Support Board
Date/Time: Thu, 03 Jul 2025 07:14:43 +0000
Spread Order Entry spread price seems wrong
View Count: 690
| [2021-01-05 13:17:06] |
| weav - Posts: 46 |
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Hi I am charting a spread, Feb Heating Oil (GHOG21) - Feb Gasoline (GRBG21). At time or writing HO price = 1.4848, RB price = 1.3956. The contract multiplier's are both 42,000, i.e. both contracts are for 42,000 gallons. I would expect the dollar value of the spread to be 1.4848 x 42,000 - 1.3956 x 42000 = 3,746 (at time of writing). But when I use Spread Order Entry study and enable the setting "Use Full contract value for spread prices" set to "Yes" the value is set to approximately 62,000 quite a bit different from 3,800ish. How has the spread price (full contract value) been calculated? It seems wrong to me for these contracts. (unless i am doing something wrong) http://www.sierrachart.com/image.php?Image=1609851819249.png thanks Aaron |
| [2021-01-05 22:15:48] |
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We do not recommend using that option: "Use Full contract value for spread prices" We will not provide any support for. It was something requested by one broker and it has a nonsensical implementation. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-01-06 20:16:58] |
| weav - Posts: 46 |
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Could we correct the implementation? For inter-commodity spread traders it is very useful to be able to chart your spreads in terms of dollar contract value rather than a ratio, i.e. 50*{ESH21}-1000*{GCLH21}. $50 per point x ES price - $1000 per point x CL price. By changing them both to dollar contract value you homogenise the two contracts rather than using two prices which don't have any relationship to each other. With dollar contract value you can immediately see the dollars you an make between swings if the trade works. For example, here is my chart of the dollar spread of the contract value of ES - CL. http://www.sierrachart.com/image.php?Image=160996315464.png in this case, with this spread, the full contract value setting works. It makes it very handy to be able to say where you would like to get in and out of the spread pair, and it matches the dollar value spread pair chart. It is actually a very useful feature. Could it be looked at for implementing properly? If this is not something the SC team wants to do could I get some help creating my own spread order entry? Maybe see the SC spread order entry study code so I can duplicate it and modify it with this feature working? While I am able to code I am very new to SC and inexperienced with the API, so some pointers would be very helpful in how to build such a trading study safely. Date Time Of Last Edit: 2021-01-06 20:17:31
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| [2021-01-13 04:29:20] |
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Yes we will add an option for this in the next release. If you want to modify the spread order study directly, you can do that. It is included. Refer to: How to Build an Advanced Custom Study from Source Code Update: As we look at the source code, we do not see a nonstandard calculation but we think we know why there might be a problem in some cases and that will be resolved in the next release. We do remember from the past though doing an unusual calculation requested by one broker though for this but we are not seeing that implementation. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2021-01-13 04:42:28
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| [2021-01-13 12:04:49] |
| weav - Posts: 46 |
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Ah thanks. i see that SpreadOrderStudy.cpp file is in ACS_Source. I've looked at the code and how it calculates the value, and i can see the issue. As mentioned i chart my spreads in terms of dollar value, e.g. 50*{ESH21}-1000*{CLH21}, which to an inter-commodity spread trader is more useful than a spread ratio number. When i setup the custom symbol for 50*{ESH21}-1000*{CLH21} i make sure that TickSize=1 and CurrencyValuePerTick=1, i.e. real dollars. When i use that custom symbol in chart and add the SpreadOrderEntry study i set Leg 1 as ESH21 and Leg2 as CLH21 and Use Full Contract Values to yes. The study calculates the spread order entry price (full contract dollar value) correctly. I have done this with lots of spreads and the full contract value is always calculated as expected. The only custom symbol that didn't work (and why i started this thread) is 42000*{GHOH21}-42000*{GRBH21} . Now i've looked at the code of the study i can see why. In "Symbol Settings" , one of half of the spread symbol, "GRB?##" was missing a "currency value per tick" value. I added 4.2 (RBOB Gasoline's tick value). Now the SpreadOrderEntry study calculates the full contract value of Buy 1 GHOH21 Sell 1 GRBH21 as expected and matches the 42000*{GHOH21}-42000*{GRBH21} chart y-axis. (there is a slight difference but this is because the chart y-axis must be calculated using the last traded price of each leg but the spread order entry study uses the bid and offer prices of the individual legs as those are the prices we will hit) So, there's nothing wrong with the "full contract value" setting. It was just missing Symbol config in one of the legs. I don't think there is anything for guys you to do. Appreciate you looking into it! Date Time Of Last Edit: 2021-01-13 16:27:30
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