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[User Discussion] - Futures Spreads symbols, Get Spreads

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[2018-09-26 07:58:36] #1 [Go To First Post]
User120468 - Posts: 1
I am using AMP's CQG data feed. I am trying to chart Exchange Listed Futures Spreads. I can't seem to bring up charts for the spreads. When I click on a spread I seem to get a chart for only one leg of the spread. For instance, with CBOT's TUF spread (2 year note against 5 year), when I click it, I get the TUAZ18--the 2 year note futures. Do I have to pay something extra to chart spreads?

[2018-09-27 14:15:34] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Refer to: CQG Trading Platform Service: CQG Exchange Traded Strategies/Spreads Symbol Format 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

[2019-01-22 11:06:32] #3 [Go To First Post]
AC96354 - Posts: 15
Hello. I am connecting to SC through AMP futures. I have the problem like that. i cant open spread on chart and DOM. When i click Chart -> Chart setting, than Find Symbol, i can choose on of spreads from list: Futures Spreads - NYMEX -> Natural Gas futures NG`.FUT_SPREAD.NYMEX, but when i click on it to open chart, i get Blank chart, nothing. What is problem? Please help. Attached image!!!! Date Time Of Last Edit: 2019-01-22 11:15:48


save.png / V - Attached On 2019-01-22 11:12:24 UTC - Size: 173.48 KB - 416 views

[2019-01-22 16:10:40] #4 [Go To First Post]
AC96354 - Posts: 15
i got it. i need enter ticker manually through FILE -> FIND SYMBOL. i need natural gas calendar spread (NYMEX). i entered F.US.NGES2G19 Thanks. Date Time Of Last Edit: 2019-01-22 16:10:55

[2019-01-22 17:37:21] #5 [Go To First Post]
AC96354 - Posts: 15
but i cant to watch historical chart. is it possible? i change to F.US.NGES2H19, but the chart is blank.

[2019-01-23 19:07:43] #6 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Historical daily chart data for spreads is only supported with the Sierra Chart Exchange Data Feed: Sierra Chart Exchange Data Feed: Exchange Traded Spreads 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

[2022-03-18 12:49:29] #7 [Go To First Post]
Nicolas Hervé - Posts: 14
1- Are CME Future Spread symbols supported for Trading whith Teuton Order Routing ? 2- I would like to have more information on symbol like "BOB 02-01 MM22.FUT_SPREAD.CBOT" Shall I ask to CME or does someone have response to the following questions: Q1: What is the currency value per tick ? Sierra chart shows by default 0.03125, but I think it shall be set to 31.25, correct ? Q2: What is the required margin (by CME or by main Brokers) Q3: Is there effectively two legs or shall it be considred like a normal future product ? If there is two legs: Q4: what is the applied formula (The simple difference do not match), Q5: is it possible to close trade on one leg ? Thanks

[2022-03-18 15:47:07] #8 [Go To First Post]
1+1=10 - Posts: 270
I'm going to answer your questions out of order. Q3: Is there effectively two legs or shall it be considered like a normal future product ? Q5: is it possible to close trade on one leg? Obviously, any two futures contracts can be traded against each other to create a spread. If the futures contracts are for the same product, such as CLJ22-NYMEX (Crude Oil May) vs CLK22-NYMEX (Crude Oil April), then the CME refers to this as an Intra-product spread. If the products are different such as ZBM22-CBOT (U.S. Treasury Bond June) vs UBM22-CBOT (Ultra U.S. Treasury Bond June), then the CME refers to this as an Inter-product spread. The CME has created exchange-traded spread products for some, but not all, of the possible spread combinations. In general, all intra-product spreads are exchange-traded and inter-product spreads with an economic linkage, such as all the U.S. Interest Rate products, have exchange-traded spread versions. (An example of a non exchange-traded spread would be the CME 6A Australia Dollar vs CBOT ZC U.S. Corn.) A spread is 2+ legs. You can read the definition at this link which I've quoted below: https://www.cmegroup.com/confluence/display/EPICSANDBOX/Instrument+Types+Available+on+CME+Globex#InstrumentTypesAvailableonCMEGlobex-FuturesSpreads A futures spread instrument represents the simultaneous purchase and/or sale of two or more different but related outright futures instruments (legs), depending upon spread definition. For example, placing an order on CME Globex to buy futures spread type '1-Year Eurodollar Pack' represents placing an order to buy the March, June, September, and December futures outright instruments. As to whether you can leg out of a futures spread instrument depends on the trading software. For instance, on Ironbeam's web platform if I enter a spread order, I see the positions of both legs independently. However, on CQG's QTrader, I see the spread as one position, and I'm pretty sure I can't leg out. I'm not sure how this works on Teton. 1- Are CME Future Spread symbols supported for Trading whith Teuton Order Routing? Yes, exchange-traded spreads are supported on Teton. However, there may be a caveat which I'll discuss below in the margin section. Q4: what is the applied formula (The simple difference do not match) 2- I would like to have more information on symbol like "BOB 02-01 MM22.FUT_SPREAD.CBOT" Q2: What is the required margin (by CME or by main Brokers) In terms of ratio of # of contracts per leg for exchange-traded intra-product spreads, the CME may have both a 1:1 version and a ratio version for the same spread combination, or just one of those options. Either way, when you buy/sell an exchange-traded spread the exchange will automatically purchase the prescribed # of contracts for each leg. BOB 02-01 MM22.FUT_SPREAD.CBOT is explained thusly: BOB -- this is a nickname, meaning bonds over bonds, referring to the aforementioned ZBM22-CBOT (U.S. Treasury Bond June) vs UBM22-CBOT (Ultra U.S. Treasury Bond June) spread. 02-01 -- this is the ratio for T-Bonds vs Ultras. M22 -- in general inter-product spreads will use the same month for both legs; both the T-Bond and Ultra are using June 22. The minimum spread tick value is the tick value of the front leg, which is ZB for the above spread. ZB's tick value is: 0.03125 or 1/32 The spread's currency value per tick is the same as the front leg's, again ZB's: $31.25 For more information see: https://www.cmegroup.com/trading/interest-rates/files/TreasurySwap_SpreadOverview.pdf The CME has the ratios and maintenance margins for exchange-traded spreads on the same page. To find them: 1. Go to cmegroup.com 2. Click on the Search icon near top right 3. Enter the product symbol, such as ZB, or name such as Treasury Bond. 4. The search should return a Contract Overview result. Click on it. 5. Right below the blue header you'll see a row of buttons. One will say "Margins". Click on it. 6. In bold black text will be the title, such as "U.S. Treasury Bond -- Margins". Below that will be buttons for "Outrights", "Intras", & "Inters". For spreads, you'd be interested in the last two. "Intras" display the actual margins but for "Inters" they display the "Credit" which is applied to the combined maintenance margins of the outrights. If ZB + UB had combined maintenance margins of $23,000 with a %80 credit the maintenance margin would be $4600. Remember, maintence is what it takes to hold a trade through the close. Intraday margins are set by brokers -- you'd have to inquire with them about that part. One large annoyance is there are ton of different spread combinations so getting margins this way is rather complicated. For instance, I believe the ZB vs UB credit is listed on page 6 on the last row here: https://www.cmegroup.com/markets/interest-rates/us-treasury/30-year-us-treasury-bond.margins.html#marginsTab=INTER&pageNumber=6 It is only 65% if I'm reading it correctly. (Unfortunately, the symbols used in table don't match the normal Globlex electronic trading symbols we've been discussing. You have to go to the "Contract Specs" tab and look at the "Product Code" row and the table is using the "Clearing" symbols.) If you're lucky your broker will allow you to enter a spread symbol using legs in their customer website to retrieve the margin. Another way is using RJO'Brien's quick margin guide (https://ww2.rjobrien.com/documents/shared/margins/margins.pdf) and their more comprehensive margin lookup tool (https://www.rjobrien.com/resources/margins/). Unfortunately, neither of those had the 30 Yr vs 30 Yr Ultra margin listed. As I mentioned before it is possible to trade a non-exchange inter-product spread, like if you wanted to trade CME CL's vs ICEEU Brent Crude, (although I think there even is a CME exchange-traded version of that). Assuming you want a 10% gain in one leg to be the same profit as a 10% gain in the other leg, then you need to simply match the point values, i.e. the dollar value of 1 point. For instance, for a spread of ZT (2-year T Note) vs ZF (5-year T Note) we need their tick sizes and currency value per tick to aid our calculation: ZT: 1/8 of 1/32 of one point (0.00390625) = $7.8125 .... 1 / 0.00390625 == 256 ticks per point * $7.8125 == $2000 per 1 point ZF: 1/4 of 1/32 of one point (0.0078125) = $7.8125 .... 1 / 0.0078125 == 128 ticks per point * $7.8125 == $1000 per 1 point ZT 2000 : ZF 1000 -- values per 1 point ZT 2 : ZF 1 -- # of contracts See page 4 here which explains how ZT (2-year) legs get their # of contracts doubled to the $200,000 notional value vs $100,000 for ZF and other interest rate products. Notional value is the same math we just did with a few extra 0s: https://www.cmegroup.com/trading/interest-rates/files/TreasurySwap_SpreadOverview.pdf Hopefully this all makes sense. Sorry for the length, spreads are complicated! Good luck in your trading! Date Time Of Last Edit: 2022-03-18 15:47:44

[2022-03-18 15:50:51] #9 [Go To First Post]
1+1=10 - Posts: 270
Oh, regarding the caveat about Teton. You have to check with your broker/FCM about whether they support exchange-traded spreads, from a margin perspective. The vast majority do, but AMP, (which actually doesn't use Teton), does not.

[2022-03-18 15:55:59] #10 [Go To First Post]
1+1=10 - Posts: 270
There's one other note about exchange-traded spread ratios. The CME's ratios do not just factor in point values, as described in the math. I believe they also factor in volatility of each leg so they may or may not match what you'd get doing the math. But again, you only have to figure out your own ratios with non exchange-traded spreads. One last note. In SC, for most of the spreads, both intras and inters are found by clicking on the generic product header under finder Symbol, such as "10Y?##-CBOT" and then the "Get Spreads" button. They're not typically displayed by themselves in the initial list like BOB is. (There's literally hundreds of spreads so that would be overwhelming.)

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