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Direct MessagesDate/Time: Wed, 15 May 2024 03:06:26 +0000
[User Discussion] - NOB spread chart: significant differences between spread charts
View Count: 1568
| [2019-01-29 06:08:41] |
| Andy Sureway - Posts: 93 |
|
Hi SC team, Recently I have been looking into the spread charts for FYT contract (ZF over ZN). I constructed a manual daily spread chart with ratio 3-2. http://www.sierrachart.com/image.php?Image=1548741571421.png Since FYT is a exchange recognized spread contract, by opening a chart with this symbol I got another daily spread chart. http://www.sierrachart.com/image.php?Image=1548740701948.png However there are quite many differences: 1. The scales are different, which is a minor part. 2. The chart from the exchange seems normalized by some unknown method. The prices across the charts are all in the neighborhood of zero. However, the manual construct chart has much large deviations from the mean. 3. For each daily bar, the relative position of OHLC are quite different. The question is, what cause these differences? Which chart is more reliable? The following figure shows a three way comparison among a 3-2 manual constructed chart, a 8-5 manual constructed chart, and the chart from the FYT symbol. Your help will be much appreciated here. Thanks! http://www.sierrachart.com/image.php?Image=1548741542914.png |
| [2019-02-01 22:33:01] |
| Andy Sureway - Posts: 93 |
|
I found an answer on the elite trader forum. https://www.elitetrader.com/et/threads/nob-spread-chart.253240/ "the exchange supported spread reverts back to zero for the next day's open, and it is quoted in terms of net change for the day." "A synthetic NoB expression better showing the longer term trend". |
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