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Direct MessagesDate/Time: Mon, 29 Apr 2024 01:54:07 +0000
Post From: Please help me with Settings for a Spread Chart
| [2015-08-14 08:16:37] |
| Meritus - Posts: 164 |
|
I am trying to get the spread of two exchange traded calendar spreads. The first spread is BRN.ICE_1-IC.BRN.201509.1-201510...ICE_IC and the second spread is G.ICE_1-IC.G.201509.1-201510...ICE_IC To calculate manually the tick value of the Brent calendar spread is used, hence the price increments are 0.01. Therefore each spreads price has to be multiplied by the multiplier : -1 for Brent and 0.134228 for Gasoil. In order to override the tick value the numerator (1) is divided by the denominator override value (100) It shouldn't really matter but the trade ratios for the spread are 3 Brent and 4 gasoil The price for this spread is currently -0.34 bid as taken from my trading front end. In the past I have constructed a similar spread using the outright legs of brent and gasoil as inputs. So In order to trade the Sep Brent vs Sep Gasoil crack I would use the Difference Single Line study and using the Brent as the starting point I would input the following parameters : Chart 1 Multiplier -1 Chart 2 Multiplier -0.134228 Chart 1 Addition 0. This would give a price of around 14.00 using December contracts. However instead of using two separate months to chart (Sep and Oct in this example) I am using the calendar spread for each leg and subtracting one from the other. This can be done on CQG so I'm very sure it can be done on SC. Perhaps I'm using the wrong study in which case could kindly point me in the right direction |