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I've developed a strategy w/ 3 legs in bonds futures.
I'd really love to not have to break up the combo, and be able to put in limit orders for the entire combo.
When I try to do this in Interactive Brokers (Trader Workstation/Order Entry/Futures Spreads/Leg-by-Leg), first it says "This combo can only be executed as Non-Guaranteed. Do you want to create it anyway?" and then I click "Yes" and try to enter a position it says "Non-guaranteed order should only have two legs" and won't let me go any further.
Does anyone know of any brokers that make this easier? Or is there another way to do this in Interactive Brokers?
Thanks for any pointers!
Can you help answer these questions from other members on NexusFi?
The tool you are looking for is called a "spreader", the two most common ones for futures are from Trading Technologies and CQG. They will use a combination of limit and marketable limit orders to get your desired price for your particular spread. Any broker with access to those platforms should be able to accommodate you.
Depending on the 3 legs, you might be able to put your spread position on in interactive brokers using 2 of the exchange guaranteed spreads as the legs that overlap on your middle leg (say ZFxZN and ZNxZB), but its likely IB crosses every leg to get you in, so you will likely be giving up a lot of edge/slippage, so if you plan on doing it regularly, you will want a dedicated spreader.
One possibility I've seen is Rithmic R-Trader Pro, you might want to look into that. Looks like you can define any synthetic spread within that platform, no matter how many legs. The one caveat being, I can't speak to the execution quality on its own, or compared to autospreading technology. It appears to utilize market-if-touched orders for all legs, which to me, implies that it may be executed fairly efficiently on the server-side through Rithmic. There was more info on this on the Optimus forum so maybe they would be a good brokerage to call.
Can you give an example of the actual spread/legs? It is actually the CME that synthesizes the legs and provides the market, not the platform unless it involves symbol combinations that the CME will not accommodate.
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Mike Murphy | Director of Trading
Ironbeam Futures
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@addchild +1.
Trading Technologies user here. Have spreaders set up ranging from 2 to 8 legs!
Worth adding that ICE have User Defined Spreads, that are basically the same as spreaders, that sit on their servers! Unfortunately very few people trade ICE.
The advantage of 'exchange listed spreads/combinations' is no legging risk! The advantage of spreaders (other than your not limited to exchange listed instruments, you can create anything you want) is that you can get fills that you wouldn't get using the exchange listed spreads/combinations mainly due to limitations in the matching engines.
@SMCJB can I ask you how long your spread trades normally last? I have been looking into Trading TEchnology platoform for quite a while and I was very curious about the autospreader however I could not really understand what is a normal timeframe for trading spreads.
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: 10,206
It depends. I have trades that I close same day and I have others that can be open for months, or even longer. In the energies and Eurodollars, the margin requirement for Butterflies is so low that holding them for extended periods of time is not capital intensive. In products like metals though while you do get margin discounts for spreads you don't for butterflies so they are more capital intensive.
TTs autospreader is a amazing piece of software, if you have something to use it for. What were you thinking?
I use to do some spreading with tradestation futuresplus. Its the TT platform but lacking a lot of features. Way more buggy than TT solid platform. You do get an autospreader with them and the exchange-traded spreads. The best auto spreader would be TT and CTS T4 platform with their sniper tool. Cost a bit extra for that tool too.
