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Date/Time: Thu, 28 Mar 2024 14:42:08 +0000



Please help me with Settings for a Spread Chart

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[2015-08-13 07:40:09]
Meritus - Posts: 164
Hello guys

I wouldn't ask unless I had exhaustively tried! I am now very frustrated!

I am trying to configure the "Goober" spread which is currently trading at around -4.25 at the time of writing 8.30am London. I am using the Difference Single Line function and inputting the following values:


Chart 2 Number ... (ICE LS Gasoil December5-March6 exchange traded spread)
Chart 1 Miltiplier 0.134228 (for ICE Brent December5-March6 exchange traded spread)
Chart 2 Multiplier 1
Chart 1 Addition.. 0

I am advised that the multiplier for the gasoil leg is 0.134228 and the ratio is 4 and the multiplier for the brent leg is -1 and the ratio is -3

I have adjusted these numbers and I am unable to get the correct price. I have adjusted the Advanced Settings2 Real-Time Multiplier and also the Historical Price Multiplier but tbh I think I have just made things worse. Your help on this would be really appreciated. Btw the price should move in 0.25 increments

Many thanks
[2015-08-13 08:40:37]
Sierra Chart Engineering - Posts: 104368
You are definitely not going to get the help from us you might be looking for.

If you cannot figure this out, we are not going to be able to either. We do not fully understand what you are describing, and it is not within the scope of our support to understand it. We cannot even see the data. We do not know what the formula should be. We are not interacting with the studies or can see the result. We cannot even become close to figuring this out.

What we can say, is that it does not make sense in the case of when constructing a spread, that you should be adjusting the multipliers in Chart Settings. Those should all be set so that the individual spread contracts display properly.

If the current Difference study does not do what you want because it lacks the necessary multipliers or other data inputs, then describe the spread formula as simple as possible so we can recommend another study or put one together. In other words, if you were to do the calculation manually, how would you do it?
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: 2015-08-13 08:46:05
[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
[2015-08-14 09:02:44]
i960 - Posts: 360
By far CQG and eSignal are going to handle this better. It's not that SC is incapable of it, it just doesn't support it right now. The main issue you'll have is that it doesn't support charting of exchange native spreads (maybe it does with the exact CQG symbols though?) or synthetic relationships without a bunch of hassle. So you're essentially going to have a synthetic spread chart for all legs - whereas with CQG it would just be synthetic for the calendar vs calendar difference.

Essentially you have this:

(IC.BRN.201509.1-201510) - (IC.G.201509.1-201510)

Which is mathematically this:

IC.BRN.201509.1 + -BRN.201510 + -IC.G.201509.1 + G.201510
=> IC.BRN.201509.1 - IC.G.201509.1 + G.201510 - BRN.201510
=> (IC.BRN.201509.1 - IC.G.201509.1) - (BRN.201510 - G.201510)

Which is basically like the two front/back exchange native GAS spreads (https://www.theice.com/products/3545365) subtracted from each other if I'm not mistaken, although you might have to flip the orders around. That being said, in either setup you'd be trading 2 native spreads against each other - and if you had to go with one you'd probably be better off with the calendars (with the right ratios of Brent vs Gasoil), rather than ICS vs ICS. But of course validate that on your own.

If you have the ability to chart each exchange native calendar spread as a direct symbol within SC, do that. Make 2 charts one for each. Then assign a difference study and it should just work.

If you don't have the ability to chart each exchange native spread and are forced to use direct legs, then you should open up a chart for all 4 symbols. Setup difference spreads (with the right ratios) within the Brent and Gasoil charts using a sort of parent-child relationship. Make SURE to use "Display as main price graph" for the chart which is computing the calendar spread for Brent and Gasoil respectively. Then on the Brent chart which has "display as main price graph" setup a difference study using the Gasoil side (which has it's own difference displayed as the main price graph).

Now I'm not saying you'll have success, but those are just some pointers. This is one area where Sierra really struggles. If it had the ability to support generic synthetic formulas and better support of exchange native spreads then it'd be a serious competitor to CQG in this arena. Until then, you'll want to be using CQG or eSignal for this type of stuff.
Date Time Of Last Edit: 2015-08-14 09:11:28
[2015-08-14 09:17:32]
Sierra Chart Engineering - Posts: 104368
If it had the ability to support generic synthetic formulas
This capability currently does exist and is being used for the stock index premiums. Although at this time it has not been expanded beyond this.

better support of exchange native spreads
Not totally sure what is meant by this, but Sierra Chart does now support exchange traded spreads through the SC Exchange Data Feed for CME markets. Although NYMEX is currently disabled until we complete some programming changes to handle the higher bandwidth.

More details on this later. It has only been deployed to the SC Exchange Data service in Sierra Chart. We need to set it up for other trading services.
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: 2015-08-14 09:18:22
[2015-08-14 09:17:46]
Meritus - Posts: 164
@ i960

Thank you for your thorough reply. I receive my historical and intraday data from CTS hence I am able to chart period and intraday exchange traded spreads. I have no problem getting the exchange traded spread charts up. I can use the Difference Single Line study to construct a similar chart to the one I am proposing using for example the Sep contracts for each leg, but like you said there seems to be an issue with handling 'spreads of spreads' and negative spreads or put another way there doesn't seem to be the ability to "override the tick value" as I do on my TT front end. This is very frustrating because just as you pointed out mathematically it is not complicated to implement or fix this

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