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Sierra chart settings to display exchange ICS Bond spreads


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Sierra chart settings to display exchange ICS Bond spreads

  #1 (permalink)
 jokertrader 
NYC, NY
 
Experience: Intermediate
Platform: Sierra, TT
Broker: N/A
Trading: Spread Researcher and crypto degen
Posts: 654 since May 2013
Thanks Given: 545
Thanks Received: 360

ICS Bond spreads are exchange spreads between treasury contracts in a ratio. These spreads are shown as Netchange from yesterday's settlement and the DOM does not have a uniform tick size. These spreads can be pulled up on Sierra if you have the right data feed (TT, CQG, Rithmic.. maybe CTS). I have CQG data feed.

I would really appreciate some assistance with Sierra for 2 things:
a) First 2 charts: Actual exchange spread (charts are TT and Sierra)
Can anyone who has these feeds (CQG or TT preferred), get the spread in Serra to match the actual DOM values from your platform and if so what settings did u use
Note: The DOM is not in even steps. This is the nature of this product and thus i dont think manipulating Sierra settings will work (at least thats what i am thinking)

- Did u use Auto Set from Data feed for Price Display/Tick
- Are there any other setting changes to make
Shown is the FYT chart in TT (with DOM) and Sierra (CQG feed). Though the shape seems fine, the Y value is completely off and i have tried different things unsuccessfully


b) Charts 3 and 4: Difference of outrights chart
Since these products dont trade that much, the charts are not smooth and its easier to visualize them as the difference of the outrights. I can do this in Sierra with the Difference bar and again even though the shape does match, the values are off. I am attaching a difference chart from TT and the Sierra. I think this might be something to do with price display, tick, historic and real time multipliers (as suggested by Sierra) but i dont know the actual values.

Why am i doing all this in Sierra? Much easier to chart, has flexibility to download data and more importantly, backtest different strategies

Any help is much appreciated.
Again i am happy to collaborate with anyone who actually trades these or is learning to trade these. Do reach out





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  #2 (permalink)
 jokertrader 
NYC, NY
 
Experience: Intermediate
Platform: Sierra, TT
Broker: N/A
Trading: Spread Researcher and crypto degen
Posts: 654 since May 2013
Thanks Given: 545
Thanks Received: 360

Not even a single comment tells me Sierra not really used by spread traders especially bond traders


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  #3 (permalink)
 
tedmar's Avatar
 tedmar 
DE , CH , PL
 
Experience: Intermediate
Platform: JT, TWS,Sierra,AT,Zorro
Broker: AMP, IB
Trading: ES, YM, NQ 6E, VIX, ZQ
Posts: 36 since Jun 2016
Thanks Given: 49
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Quoting 
a) First 2 charts: Actual exchange spread (charts are TT and Sierra)

If u use Tick Chart with "Bid ASK Prices" Study , and Set a ratio chart with LEG1 and Leg2 ASK/ASK .....



Quoting 
b) Charts 3 and 4: Difference of outrights chart
Since these products dont trade that much, the charts are not smooth and its easier to visualize them as the difference of the outrights. I can do this in Sierra with the Difference bar and again even though the shape does match, the values are off. I am attaching a difference chart from TT and the Sierra. I think this might be something to do with price display, tick, historic and real time multipliers (as suggested by Sierra) but i dont know the actual values.

Yes , if u see live build the Ratio/Diff Candle or Bar, the Bar do not mark Highst or Lowest point . U can forget u 5 min Bars in diff , the are not correct .

By the way, i wrote already to Sierra, the Diff chart scala (Right) is ok, but Measure tool do not work with them. U get every time Value from Instrument ..;(


ahh, u have PM too

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Last Updated on April 26, 2020


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