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Direct MessagesDate/Time: Fri, 10 May 2024 13:18:45 +0000
Post From: Implied Spreads
| [2015-09-09 07:41:51] |
| Trade Nice - Posts: 75 |
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1. CLV15-CLX15.FUT_SPREAD.NYMEX is less than a dollar and CLV15-CLV16.FUT_SPREAD.NYMEX is greater than a dollar, and either of them can be a positive or negative value 2. The specs I was asking for are the specs of the actual data feed source you are using and naming with a slightly ambiguous term "exchange traded spreads." I think the data you are supplying is 'exchange traded implied spreads' data but because you didn't use the specific and important term 'implied' in your reply to describe the type of exchange traded spread data, I cannot be sure what the data is? The fact you use the term "traded" makes me feel the data is 'implied' data but I don't think the CME would use that term "traded" in that way, they would and do use the term 'implied' as its an important descriptor for their offering. 3. Also I am now wondering what historic data for exchange traded (implied)spreads is or will be available. Are you aware that for example for calendar (implied) spreads arising from 3 futures months, there are 3 separate symbols and therefore 3 separate historic spread data ( this is on top of the data for the 3 futures contracts the (implied) spreads are based on). But for 4 months it would be 6 separate symbols with 6 separate historic spread data. Each extra month forms a web with each and every prior month and calendar implied spreads can go out for years...From checking through a few you do so far seem to be covering a lot of diverse spreads with data going back further than just yesterday, but hopefully this is the 'implied' spreads and not a mathematical calculation between two futures contracts. Date Time Of Last Edit: 2015-09-09 13:25:25
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