NinjaTrader 7 and spreads

March 4th, 2015, 05:32 AM

ok the symbol maping is CLES12 then choose 12-15, this will give you a calendar spread for DEC15-DEC16, i can confirm that it is correct with viewing my CQG platform. (looking at L2 and T&S)

after waiting a while i am getting something data on the chart too.

a note to anyone else setting this up. Disable historical data in your connection settings (as mentioned earlier in the post)

thanks to all who contributed!!

March 13th, 2015, 08:09 PM

I am almost convinced that this will never happen in NT. Nt8 resuses the same NT7 code base, only with an upgraded UI.

March 21st, 2015, 11:35 PM

xandman

I am almost convinced that this will never happen in NT. Nt8 resuses the same NT7 code base, only with an upgraded UI.

Agreed, I been playing around with the code base to find a way to build a custom spread bar type. But I am afraid I am over my head.

April 21st, 2015, 08:51 PM

hi

thanks for this discussion. till today i have been executing each leg manually. exchange traded spreads are def the way to go; less commission too!

ok so all my spreads are fine; in terms of when i compare them to my manual spread indicator, except RBOB crack spread;

The formula I have for calc RBOB spread is:

Code

if (CurrentBarArray[0] > 0 && CurrentBarArray[1] > 0 && CurrentBarArray[2] > 0)
			{
				if (BarsInProgress > 0) 
					
					a = Closes[1][0]; // CL close
					b = Closes[2][0]*42; // RBOB close * 42; so the compare apples to apples
					
				{
					Spread.Set(b-a);
				}
			}

Above returns 22.49 as of 8:49PM EST.

The exchange traded spread that I found is RBECLE. Based on that the spread is 22.90. What gives? Am I comparing the right spreads? Is RBECLE the crack spread i've illustrated above? Also anyone know what the point value for this is?

Thank you

April 21st, 2015, 10:36 PM

calhawk01

hi

thanks for this discussion. till today i have been executing each leg manually. exchange traded spreads are def the way to go; less commission too!

ok so all my spreads are fine; in terms of when i compare them to my manual spread indicator, except RBOB crack spread;

The formula I have for calc RBOB spread is:

Code

if (CurrentBarArray[0] > 0 && CurrentBarArray[1] > 0 && CurrentBarArray[2] > 0)
{
if (BarsInProgress > 0) 

a = Closes[1][0]; // CL close
b = Closes[2][0]*42; // RBOB close * 42; so the compare apples to apples

{
Spread.Set(b-a);
}
}

Above returns 22.49 as of 8:49PM EST.

The exchange traded spread that I found is RBECLE. Based on that the spread is 22.90. What gives? Am I comparing the right spreads? Is RBECLE the crack spread i've illustrated above? Also anyone know what the point value for this is?

Thank you

22.90 sounds like the 3:2:1 Crack Spread. If you have bloomberg you can confirm with symbol CRKS321.

Calculation:
(((2*Gasoline)*42) + (Heating Oil * 42) - (3*Crude WTI))/3

Sody

April 26th, 2015, 12:30 AM

Exchange traded spreads have less commissions? I am trading thru Qtrader and a big FCM. I think I get charged both legs.

April 26th, 2015, 12:41 AM

xandman

Exchange traded spreads have less commissions? I am trading thru Qtrader and a big FCM. I think I get charged both legs.

Exchange spreads are charged both legs for exchange fees. Commission is based on your broker. Fyi, I don't know of a broker that does not charge for both legs.

August 12th, 2015, 04:45 PM

Hi Anyone know how to get the spreads from IQ feed into NT?

QCLZ15-QCLZ16

CRUDE OIL DEC 15/DEC 16 NYMEX SPREAD NYMEX_GBX

I could get them working with CQG but not IQ.

August 12th, 2015, 04:47 PM

pipsalottle

Hi Anyone know how to get the spreads from IQ feed into NT?

QCLZ15-QCLZ16

CRUDE OIL DEC 15/DEC 16 NYMEX SPREAD NYMEX_GBX

I could get them working with CQG but not IQ.

You can ask @IQFeed James on the AMA thread:

DTN IQFeed's Dave Forss (Business Development Manager) - Ask Me Anything (AMA)

Dave Forss, Global Account Manager at DTN Trading Markets, will be monitoring this thread so that he may answer any questions that you post here relating to Telvent DTN IQFeed products and services.

Please keep in mind that some customer service/technical …

But I am fairly confident the answer is that NT doesn't support spreads.

Mike

August 12th, 2015, 05:19 PM

thanks Mike, seems from all the reading that NT doesn't support and don't plan on it in NT8.

i'm developing my strategies in R and still evaluating execution systems and data feeds (thought it was going to be more straight forward, i thought the strat was the hard part ahha)

i'm an professional .net developer, any suggestions on a platform that is ideal for statistical arbitrage/pairs style strategies?

( i know it can be done in NT) but whats the best for a .net guy like me ?

NinjaTrader 7 and spreads

Discussion in NinjaTrader

NinjaTrader 7 and spreads