Support Board

Date/Time: Thu, 06 Feb 2025 10:17:20 +0000

[User Discussion] - ButterFly charts

[2020-04-17 13:19:38] #1 [Go To First Post]
User255315 - Posts: 133
Hi SC, I was recently working with spread charts to make fly charts (specifically for ICE products, since no exchange listed flys), and I have some questions based on how the Spread-3 chart and Spread-Butterfly studies work. 1. The calculation of the resultant symbol is done using the high/low of the constituent charts, due to which i have to use smaller time frame charts like 1 min to calculate the fly chart to maintain accuracy with the actual fly values. 2. The actual calculation of the fly : at every instant of time, the best bid price of the first contract must be subtracted from the best bid price of the second contract. (this is how it has to be if we were placing orders on the derived fly ladder, since we would get those prices in the individual contracts). 3. There is also discrepancy, in this calculation of the fly price, even if i use tick charts, because the trades might actually not be recorded at the same instant of time. So far, 1min charts give the most accurate results. P.S: the discrepancy can be easily tested using NYMEX products which do have exchange listed flyes, compared to the spread-3 chart study values of close, high, low. 4. I am not aware if we can achieve the same result as mentioned in (2), using Custom Calculated Symbols. (which provide historical support recently) Date Time Of Last Edit: 2020-04-18 13:04:10

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