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Implied Spreads

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[2015-09-08 17:45:22] #1 [Go To First Post]
Trade Nice - Posts: 75
Are the symbols with format for example XXXXX-XXXXX.FUT_SPREAD.EXCHANGE, are these the exchange supplied implied spreads as opposed to mathematical spread of just subtracting one futures contract from another? I mean the pricing value sure looks like the implied, but just wanted to make sure... Also, I realize you are still implementing these, so just to let you know that my graph price is coming out as the cents being the whole number and with following decimal positions being decimal points of the cents, as opposed to $$.cc or indeed just cc I tried a couple of things to reformat it but did not find the right method Date Time Of Last Edit: 2015-09-08 21:39:48

[2015-09-08 22:04:33] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
XXXXX-XXXXX.FUT_SPREAD.EXCHANGE symbols are exchange traded spreads. The price formatting issue for these spreads should now be resolved. After you open a chart for one of them go to Chart >> Chart Settings and make sure Auto Set from Data Feed is enabled. This is by the Price Display Format setting. You might also need to reconnect to the data feed with File >> Disconnect and File >> Connect to Data Feed. Let us know if you still see a problem. The easiest thing to do is to post a chart showing the problem by following these instructions: https://www.sierrachart.com/index.php?page=PostingInformation.php#Image 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: 2015-09-08 22:13:35

[2015-09-08 22:12:18] #3 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
At this point, CME spreads support is now fully available. Historical data may be incomplete and can only be considered to start today. 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

[2015-09-08 22:58:18] #4 [Go To First Post]
Trade Nice - Posts: 75
1) Yes, your fix has certainly improved the scale format on what I had before which for example showed ($)0.68 as 68.000. It is now just showing the cents, formatted XX, so now the ($)0.68 is showing as 68. But spreads can easily move out more than a dollar and back again. I tried another spread symbol which currently has a spread of greater than a dollar and it comes out formatted XXX, so for example a spread of ($)3.00 would now show as 300. 2) On your point: "XXXXX-XXXXX.FUT_SPREAD.EXCHANGE symbols are exchange traded spreads." It would be good to see where the spec of the spread symbol data in order to see if it is spread calculated data or 'implied spread' data? An 'implied spread' is based on the actual real tradeable ask bid at the exchange specific to a spread trade, and makes it possible to go long or short the spread in for example, two futures contracts, with just one trade. A spread price which is not an 'implied spread' is only indicative of the spread value since it is only based on the differential of the two future contracts, the differential obtained by subtracting one futures price from the other. The size at the ask bid for an 'implied spread' will also be substantially different from the size of the two separate futures contracts. Date Time Of Last Edit: 2015-09-08 23:00:10

[2015-09-09 03:28:00] #5 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
1. Give us one of the complete spread symbols that does not look correctly formatted. The prices are quoted in the raw format from the CME. 2. You should be able to find the specifications for the spread contracts on the CME website. 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

[2015-09-09 07:41:51] #6 [Go To First Post]
Trade Nice - Posts: 75
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

[2015-09-09 19:45:26] #7 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
1. We have set the price format for the CL spreads to be .01. Update the Symbol Settings as explained here: https://www.sierrachart.com/index.php?page=doc/doc_GlobalSymbolSettings.php#UpdateSettingsSteps After that is done, apply the Symbol Settings to those spread charts by following the instructions here: https://www.sierrachart.com/index.php?page=doc/doc_GlobalSymbolSettings.php#UpdateChartSettingsSteps You also need to uncheck Chart >> Chart Settings >> Auto Set from Data Feed. 2. This data is straight from the CME. Please provide a reference where they refer to these as implied spreads. Looking at their documentation here: http://www.cmegroup.com/confluence/display/EPICSANDBOX/Futures+Spreads The terminology "exchange traded spread" is quite consistent with what we see. 3. Historical data is being maintained for all of the futures spreads that you see listed for a particular underlying futures market. 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: 2015-09-09 19:46:13

[2015-09-09 22:23:39] #8 [Go To First Post]
i960 - Posts: 360
Any idea on when we'll get ICE spreads? Lots of softs (coffee, sugar, cocoa, cotton, OJ, etc) are traded with spreads. Same with ICE EU and energy (Brent, Gasoil, etc).

[2015-09-09 22:42:45] #9 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We have talked with Barchart about this, and it would require that they provision us with the ICE FIX data feed. So we would have to integrate to that. And with all of the work we have put into the CME feed and their new simple binary encoding, we really do not want to commit more time to this now. The other problem is customers have to then pay 95 USD a month for ICE US. So how much interest is there. Long-term we are certain we are going to offer this but just not right now. 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: 2015-09-14 22:29:18

[2015-09-09 23:50:36] #10 [Go To First Post]
Trade Nice - Posts: 75
So on the link you posted: http://www.cmegroup.com/confluence/display/EPICSANDBOX/Futures+Spreads, on that link I cannot see one reference to "exchange traded spread", but there are multiple mentions of 'implied spreads' although I suspect that that page has not been fully updated with CME offerings. The listing in general is about futures spreads and its general spread trade examples which might be about two contracts entered into at the same time with the risk that one or both might move, so for example a market order might be completed at a different spread price than expected, and a limit order might end up with only one side of the spread filled. This might not be a good example, but I am trying to fit this response in order to highlight the point of an 'implied spread trade'. An 'implied spread' trade has a fixed ask bid for the spread, so with a limit order for example, you would end up with either obtaining the spread at your specified value or you would not get filled. You cannot end up with only one leg of the spread. The CME offer implied spreads on some spread trades, but not all. The do offer it on crude oil spread trades, and so most I assume would use the 'implied spreads' to trade the crude oil calendar spread. Of course even though the CME offers implied spreads, it would be possible to trade the CME crude oil spread by just going long and short the two appropriate crude oil futures contracts if you wanted. Implied spreads are a wonderful invention and if your offering is the implied spread, then that is wonderful as well! The question is if your symbol is prompting data from the CME implied spreads or from a CME mathematical process on two futures contracts? Here is a link on CME implied spreads http://www.cmegroup.com/confluence/display/EPICSANDBOX/Implied+Orders

[2015-09-14 22:09:34] #11 [Go To First Post]
Trade Nice - Posts: 75
any news?

[2015-09-14 22:27:37] #12 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Refer to the attached image for what we are referring to when we make reference to Exchange Traded Spreads. The spread data that Sierra Chart is providing comes from the CME multicast market data feed. These are actual tradable instruments. You may want to consult the CME to make sure you understand exactly what they are. They are tradable because they provide bid and ask prices. We cannot provide further information beyond this. 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: 2015-09-15 10:20:24


2015-09-15_102030.png / V - Attached On 2015-09-14 22:26:34 UTC - Size: 37.82 KB - 400 views

[2016-10-31 22:41:16] #13 [Go To First Post]
i960 - Posts: 360
BTW, if the spread data used by SC comes from CME, why am I seeing differing data between eSignal and SC (eSignal data is usually quite accurate). I know for a fact that the spreads trading all the way up there because I got filled, however SC does not reflect prices as ever having gone there, which is bad. The entire spike is missing from the SC data.


Chart_16-10-31_15-33-22.png / V - Attached On 2016-10-31 22:40:15 UTC - Size: 57.43 KB - 311 views Attachment Deleted. RBZ16-HOZ16.FUT_SPREAD.NYMEX [M] 10 Trades #4 2016-10-31 .png / V - Attached On 2016-10-31 22:40:39 UTC - Size: 68.57 KB - 308 views

[2016-11-01 00:07:19] #14 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
In the other chart you posted, what is the time zone and what is the timeframe per bar? Looks like a problem of zero values getting filtered at some point. 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

[2016-11-01 02:42:19] #15 [Go To First Post]
i960 - Posts: 360
Both charts are in US Pacific time and both are 10 ticks/trades. It does not appear to be a problem with zero values because later on this same spread crept back up to 0 and beyond and SC was fine with it. The main issue is the totally missing data between 15:00-15:04 where the spike isn't even present on the SC chart. I had others verify that indeed the spread traded all the way up to 0 (I believe they were using CTS).

[2016-11-01 08:44:10] #16 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Zero values are getting filtered. This will be patched before the end of the day. 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

[2016-11-02 02:49:58] #17 [Go To First Post]
i960 - Posts: 360
When you say zero values, do you mean values around the actual price of 0 or something else? I ask because the entire spike was missing.

[2016-11-02 03:08:43] #18 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
No we mean actually a value of zero. The data as of the beginning of 2016-11-01 now will include zero values. You also need to enable Chart >> Chart Settings >> Advanced Settings >> Allow Zero Values. 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

[2018-02-19 18:41:51] #19 [Go To First Post]
i960 - Posts: 360
Not seeing reliable depth data for ICE spreads right now. _S_SP_LFJ18_CBJ18.FUT_SPREAD.IFEU Which is the Gasoil/Brent J18 crack (traded often), I am seeing depth data that disappears and then comes back, depth missing on one side entirely, depth that doesn't match a DOM from another broker, etc. I fully realize people may be auto-spreading this and some amount of flashing depth is normal, but something looks wrong here as even the bid/ask spread is different. Also, when I say "right now" I mean over the past couple of days I've watched it. I know this used to work fine because I was charting it before without issue. Date Time Of Last Edit: 2018-02-19 18:42:57

[2018-02-20 17:15:43] #20 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Most likely this had to do with the tick size setting not being preset for the symbol. We only recently found out that the definition feed from Open Feed is not providing the tick size for symbols. So for the spreads they were not set correctly. We have set it correctly for this particular symbol. Follow the instructions here to update the Symbol Settings: Global Symbol Settings: Update Global Symbol Settings 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: 2018-02-20 17:16:43

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