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NinjaTrader 7 and spreads
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NinjaTrader 7 and spreads

  #11 (permalink)
Elite Member
South Jersey
 
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Got this working per dmh24's recomendation...thanks

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  #12 (permalink)
Trading for Fun
delhi, delhi, india
 
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Platform: cqg ic
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Spreads

Hi,
i want to trade the brent-wti spread on ninjatrader 7.

is it possible to see the price action on the DOM?, also is it possible to chart it?

thanks

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  #13 (permalink)
Market Wizard
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I know it's been a while - but I'm trying to figure this one too.

I have these exchange traded spread symbols on IQFeed:

@EDK14-@EDQ14 110 10 EURODOLLAR MAY 14/AUG 14
@EDM14-@EDQ14 110 10 EURODOLLAR JUN 14/AUG 14
@EDN14-@EDQ14 110 10 EURODOLLAR JUL 14/AUG 14
@EDQ14-@EDU14 110 10 EURODOLLAR AUG 14/SEP 14
@EDQ14-@EDV14 110 10 EURODOLLAR AUG 14/OCT 14
@EDQ14-@EDX14 110 10 EURODOLLAR AUG 14/NOV 14

But really struggling to set them up in instrument manager in Ninja.

Any thoughts?

Pete

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  #14 (permalink)
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Ocean City, New Jersey/United States
 
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Spread Calculations


DionysusToast View Post
I know it's been a while - but I'm trying to figure this one too.

I have these exchange traded spread symbols on IQFeed:

@EDK14-@EDQ14 110 10 EURODOLLAR MAY 14/AUG 14
@EDM14-@EDQ14 110 10 EURODOLLAR JUN 14/AUG 14
@EDN14-@EDQ14 110 10 EURODOLLAR JUL 14/AUG 14
@EDQ14-@EDU14 110 10 EURODOLLAR AUG 14/SEP 14
@EDQ14-@EDV14 110 10 EURODOLLAR AUG 14/OCT 14
@EDQ14-@EDX14 110 10 EURODOLLAR AUG 14/NOV 14

But really struggling to set them up in instrument manager in Ninja.

Any thoughts?

Pete

Hello Peter how are you!? I saw your post and wanted to share what I use for a brent crude WTI spread I have not tested your instruments possibly this could work for you!? It doesn't put the decimal point but the difference is plotted... https://futures.io/download/ninjatrader-7/indicators/645-download.html

I modified this indicator a bit you should be able to make it work with the one I posted or I can post the code up so you can view it.

Attached Thumbnails
NinjaTrader 7 and spreads-screenshot_1.png   NinjaTrader 7 and spreads-screenshot_2.png  

Last edited by XxBrianxX; June 1st, 2014 at 10:59 AM.
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  #15 (permalink)
Spread Trader
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dmh24 View Post
You can plot single contract spreads depending. On IQfeed for example, there is a trick you can do with the symbol map. for example the NYH (RBOB) GASOLINE APRIL 2013 / BRENT CRUDE spread symbol is 'IRBJ13-EBJ13'
If you add a new instrument to NT with the symbol 'IRBJ13-EB' and an expiry of April 2013, it should work. a tick size of 0.001 is usually best for synthetic spread contracts in my experience

I know this is a old post, but I am wondering if anyone have figured this out for a Continuum Feed. I know I have spread data as I trade them via CQG. I just can't seem to get them loaded in NT.

Cheers,

Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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  #16 (permalink)
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it mostly depends on the type of spread. if you want to construct a synthetic quote, its mostly the same, eg a bean/corn spread would use map 'ZCEH5-ZSE' for march. Again you would have to update the 'H5' part as you roll over.

For native spreads its as simple as finding the symbol and plugging it into a new futures instrument, eg
HOECLE
RBECLE
QPQO

etc, will all work and be tradeable as well.

Spreads that will not work are some calendars, bufferflies, packs and some strips. basically anything that doesn't end with 'H5' format month code (after NT messes with it) will not work. NT will always glue on a month code

edit: I used a calendar, 'ZSES' as an example, but if you put it in with the 1/2/3 designator, it will also work. Eg 2nd out
'ZSES2' should work

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  #17 (permalink)
Spread Trader
Austin TX
 
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dmh24 View Post
it mostly depends on the type of spread. if you want to construct a synthetic quote, its mostly the same, eg a bean/corn spread would use map 'ZCEH5-ZSE' for march. Again you would have to update the 'H5' part as you roll over.

For native spreads its as simple as finding the symbol and plugging it into a new futures instrument, eg
HOECLE
RBECLE
QPQO

etc, will all work and be tradeable as well.

Spreads that will not work are some calendars, bufferflies, packs and some strips. basically anything that doesn't end with 'H5' format month code (after NT messes with it) will not work. NT will always glue on a month code

edit: I used a calendar, 'ZSES' as an example, but if you put it in with the 1/2/3 designator, it will also work. Eg 2nd out
'ZSES2' should work

I was trying to add CLES1H5 (CQG Symbol) a crude calendar spread. What I don't understand is how to map it. Also when I add it as a future it puts a date at the end of it. What date if any should I select when adding it to a chart?

Thanks BTW

So I should be adding CLES1?
Also, do I map to CQG or Continuum?

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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  #18 (permalink)
Spread Trader
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If it helps:

http://www.cqg.com/Docs/SpreadSymbols.pdf

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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  #19 (permalink)
Spread Trader
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These are my settings.. But I am still getting a error..

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
Attached Thumbnails
NinjaTrader 7 and spreads-cles1three.png   NinjaTrader 7 and spreads-cles1.png   NinjaTrader 7 and spreads-cles1two.png  
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  #20 (permalink)
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create a new instrument, in continuum put 'CLES1' for map. you would want to add '03-15' month, that would translate to H5 and be glued on by NT. Hope that helps

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