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NinjaTrader 7 and spreads
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NinjaTrader 7 and spreads

  #31 (permalink)
Elite Member
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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!!

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

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  #33 (permalink)
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xandman View Post
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.

"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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  #34 (permalink)
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baltimore marylnd
 
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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

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  #35 (permalink)
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calhawk01 View Post
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

"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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  #36 (permalink)
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Exchange traded spreads have less commissions? I am trading thru Qtrader and a big FCM. I think I get charged both legs.

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  #37 (permalink)
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xandman View Post
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.

"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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  #38 (permalink)
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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.

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  #39 (permalink)
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pipsalottle View Post
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:

https://futures.io/brokers-data-feeds/25853-dtn-iqfeeds-james-global-account-manager-ask-me-anything-ask-me-anything.html

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

Mike

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  #40 (permalink)
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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 ?

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