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Date/Time: Tue, 26 Aug 2025 10:25:44 +0000

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Spread Margins

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[2025-06-04 13:52:38] #1 [Go To First Post]
User741544 - Posts: 25
Hello. Considering using Teton for live account. 1. From what I understand you do have ability to determine SPAN risk for exchange listed calendar spreads? Is this via a haircut formula or some other method? 2. If I leg into a spread as opposed to using exchange listed symbols are they still calculated for actual SPAN risk or no? If not, I wonder why referencing the above question as any execution in exchange listed spreads immediately resolves to two or more outrights positions. 3. I got this scary disclaimer from the clearer in question (AMP in this case) before proceeding saying Sierra is set to auto liquidate per certain terms at certain times so obviously I want to be clear on all the details. Assuming there is no Sierra internal provision for correctly margining legged spreads is there some kind of override that can be set in the back end by the clearer like a fixed haircut applied to all symbols from a certain root? I spread SR3 and SR1 term structure so with 40+ individual symbols in SR3 alone plus roll offs and roll ons of old and new fronts anything other than a root rule would be impractical at best. 4. I can add that a fixed 25% haircut will almost always land very close to how SPAN margins will price in any combination regardless of number of legs. Perhaps that’s how you’re computing single calendar spread margins internally if you aren’t getting exact risk pricing from the exchange so maybe that’s the work around? Please advise what my options are. Thanks in advance.

[2025-06-06 17:17:29] #2 [Go To First Post]
Sierra_Chart Engineering - Posts: 20734
We apologize for the delay. We will write up documentation for how this works. Today or tomorrow. 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, use the Teton service: Sierra Chart Teton Futures Order Routing

[2025-06-06 17:52:41] #3 [Go To First Post]
User741544 - Posts: 25
Ok thanks very much. The clearer also seems very confused saying o full margin applied to all legs etc. Also I added this to another thread but when connected to Teton feed to execute can you still see spreads in DOMs and history from the Denali feed just like when connected there for sim? Thanks.

[2025-06-10 17:52:20] #4 [Go To First Post]
User741544 - Posts: 25
Just a follow up from Engineering’s 6/6/25 response. Did you happen to finish that documentation on how the spread risk details above work? Thanks in advance.

[2025-06-11 03:33:00] #5 [Go To First Post]
Sierra_Chart Engineering - Posts: 20734
Refer to the information here: Sierra Chart Teton Futures Order Routing: Spread Margins 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, use the Teton service: Sierra Chart Teton Futures Order Routing

[2025-06-11 18:57:55] #6 [Go To First Post]
User741544 - Posts: 25
Ok thanks so they are exchange listed overnight margins then?

[2025-06-14 17:54:37] #7 [Go To First Post]
Sierra_Chart Engineering - Posts: 20734
Based upon what we know, the clearing firms would be using exchange specified margins for spreads. Just the standard margin and sometimes 10% additional. 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, use the Teton service: Sierra Chart Teton Futures Order Routing

[2025-06-18 15:45:44] #8 [Go To First Post]
User741544 - Posts: 25
OK so using Teton and trading exchange listed calendar spreads the actual exchange margin is NOT determined by Sierra/Teton but will just be a sum of the two outright legs? Also even regarding outright margins apparently some firms such as AMP just use a single margin value for root symbols. Term structure type markets will have as many as 40 quarters/months, etc all with slightly different margins but they will just have one top line maintenance margin which is sort of an average if you will. Sorry but I’m not getting a clear answer from them when I asked “don’t you have to put every symbol in the back end in Teton manually if it doesn’t interface with the exchange directly for current margin rates?”. Point being it seems like with Teton maybe the clearer has to manually define each symbols margin individually? Anyway, I just want to know two things (and I get that spreads and outrights are not connected in Teton/treated separately/different than how the clearer sees the position…) 1. If trade an exchange listed spread, say a front calendar SR3Z25-SR3Z26 which is $300 overnight today how does Teton derive the reduced margin rate? 2. Likewise, I trade an outright other than the front month say SR3Z25, which is $765 today, where will that margin rate come from? Thank you in advance for clarifying. Doesn’t seem like the clearer deals with a lot of spreaders so if they are unclear on this I need to be able to tell them how to permission the account in the back end by symbol if that’s what’s needed.

[2025-06-19 14:42:10] #9 [Go To First Post]
Sierra_Chart Engineering - Posts: 20734
No this is definitely not the case: OK so using Teton and trading exchange listed calendar spreads the actual exchange margin is NOT determined by Sierra/Teton but will just be a sum of the two outright legs? It will be the exchange specified margin for the calendar spread. This is not true in the case of Teton order routing: Also even regarding outright margins apparently some firms such as AMP just use a single margin value for root symbols. Term structure type markets will have as many as 40 quarters/months, etc all with slightly different margins but they will just have one top line maintenance margin which is sort of an average if you will. No this is not true: . Point being it seems like with Teton maybe the clearer has to manually define each symbols margin individually? 1. If trade an exchange listed spread, say a front calendar SR3Z25-SR3Z26 which is $300 overnight today how does Teton derive the reduced margin rate? 2. Likewise, I trade an outright other than the front month say SR3Z25, which is $765 today, where will that margin rate come from? All of the margin data comes from the exchange for the specific symbol. We do not know how you came to all of the above incorrect conclusions. Thank you in advance for clarifying. Doesn’t seem like the clearer deals with a lot of spreaders so if they are unclear on this I need to be able to tell them how to permission the account in the back end by symbol if that’s what’s needed. You just need to tell them what spreads (just tell them the underlying only, not specific symbols) that you want to trade and they will authorize those. They do not need to do anything with margins. 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, use the Teton service: Sierra Chart Teton Futures Order Routing

[2025-06-19 15:07:13] #10 [Go To First Post]
User741544 - Posts: 25
Yeah apparently they are VERY confused. I will copy them on this interchange. Only question which remains is how to deal with lack of synergy between listed spreads and underlying outrights. I execute using the spread book - Sierra says I’ve got a spread margined correctly at X, clearer shows I have an equal number of long and short outrights which is customary but from what they are saying those will just be margined as sum of outrights which of course defeats the whole purpose unless they have a workaround for that. Example same as above. Say I’m running risk at 1 lot per 5k and I’ve got 3 spreads on. Sierra says correctly my risk is $900. Clearer sums those outrights and says my overnight risk is $4500 plus or whatever and liquidates me… If I might, can I make a suggestion to eliminate these conflicts? If Sierra is able to derive correct SPAN values for spreads when those symbols are used, why not just use that very same info to show the position in Sierra as the customary long and short outrights just as the clearers will, and deriving the correct overnight margin from the same info? This would also simply solve the issue of not being able to exit/enter spreads synergistically via outrights or spread books and not have biggest problem for spreaders being Sierra still thinking say you’re still long or short a spread when in fact the position with the clearer is actually flat because you’ve legged out of it. I’m no developer but it seems like this should be a very easy fix which removes these conflicts for spreaders. Thanks again for your consideration.

[2025-07-11 10:07:12] #11 [Go To First Post]
Sierra_Chart Engineering - Posts: 20734
Automatic liquidation will always be based upon the margin requirement that you see in the Trade >> Trade Account Monitor when using Teton order routing: Sierra says correctly my risk is $900. Clearer sums those outrights and says my overnight risk is $4500 plus or whatever and liquidates me… Broker margin calculations will not be applicable. No this is not easy at all. This is massively very complex: I’m no developer but it seems like this should be a very easy fix which removes these conflicts for spreaders. Thanks again for your consideration. There is a huge amount of complexity in all of this. So many complications and difficulties and side effects. And the CME makes this terribly complicated. 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2025-07-11 10:07:41

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