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How do Calendar Spread Options impact Futures data feed?
I'm trying to understand the level 1 data I received from AlgoSeek. There are two types of records that seem to be the impact of calendar spreads on the outright data feed:
1) Implied Orders [which, as I'm looking at the CME Corn outright Level 1 tape (ZC), is an Implied Out order], and
2) Calculated Trades [which I'm assuming are a calculation based on the implied pricing from spreads on each leg].
Where would all of these implied trades come from? I don't think CME has "calendar spread futures" as a discrete tradeable contract. I only see American and calendar spread options, neither of which I'd have expected to impact the underlying order book of outright Corn futures (except on exercise, I suppose).
Can you help answer these questions from other members on NexusFi?
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,386
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There's surprisingly little information on listed inter-commodity spreads. If you go to the Globex Product Reference Sheet, select Agriculture, and then look for Strategy Type IS you'll see Wheat-Corn & KC Wheat-Corn but surprisingly not Soybean-Corn even though their own marketing materials references the Soybean-Corn spread.
@SMCJB, do you know if CME Group provides Market-By-Order ("MBO") data for exchange-supported futures spreads? If not, are you aware of a way to manually infer some MBO data in a similar manner/process which occurs when calculating implied prices of a spread in a limit order book? So using MBO from legs to roughly estimate 'net MBO' on each price level in the spread?
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,386
Thanks Received: 10,207
Sorry for late reply. Unfortunately I do not know. While I am familiar with MBO it's not something my ISV uses so I actually have no experience with it. I would expect that you could build an MBO order book for any spread just like you would an outright. What I don't know, is how does MBO handle implieds. In the MBO world does the matching engine disseminate implied orders (in the MBP world it does) or are you expected to calculate those yourself?
I was calling market by order mob in the next sentences . The only reason any mob should matter is if you are moving insanely large size but even then with so many cancels and replaces they do what they want with the levels at any moment. Instantly based on real nano second responses to orders coming into the book. Implied or not doesn't help you because if I manually sell 10 July corn and buy 10 dec corn you will never know that I was in a calendar spread now will ya!!
Or what if I buy 50 implied spreads only to exit my current 50 lot long outright!! You will never know what I'm doing or why!!!! The only reason you would ever even think about depth of market and even then it isn't real lots of times is in order to see how many levels you can move price on a big order.
This jigsaw and other garbage imo has not helped a single person become successful because those numbers are not accurate and they are history or not actually what's going on in the mkt right now!
I'm sure that after all these years the professionals and data scientists and traders and algos never once thought about using the book as well as mob to manipulate daytraders!
I used mob for awhile and guess what!! I was back of the book about 90% of the time almost every time due to gtc orders place months ahead of time,!!
Wake up and start trading not searching for answers or clues to figuring it out.
If you want to learn sailing are you going to start counting how many stitches is in each sail waft? Over and over or are you going to get on the boat and drive it . These micro numbers do nothing but confuse mouse clicking traders. Btw most are doing damn 1 lots!
