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Charting Exchange-Traded Futures Spreads

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[2022-02-11 13:21:04] #1 [Go To First Post]
User73053 - Posts: 4
I understand that the Sierra Chart Data Feeds support Historical and Real-Time data for the CME Group FUTURES SPREAD CONTRACT and strategy contracts. And I was able to chart the example (ZCH19-ZCK19.FUT_SPREAD.CBOT) given in this link: Real-Time Exchange Data Feeds Available From Sierra Chart: Exchange Traded Spreads Does SC also support exchange traded futures spreads traded on ICE? For example, the following energy spread products: - Brent Crude vs WTI Crude (https://www.theice.com/products/1242/Brent-WTI-Futures-Spread) - Heating Oil vs WTI Crude (https://www.theice.com/products/206/Heating-Oil-WTI-Futures-Crack) - Gasoil vs Brent Crude (https://www.theice.com/products/3545365/Low-Sulphur-Gasoil-Brent-Futures-Crack) - RBOB Gasoline vs WTI Crude (https://www.theice.com/products/236/NYH-RBOB-Gasoline-WTI-Futures-Crack) If so, how do I find these exchange traded symbols please - perhaps you could provide an example? Or, if these symbols are not currently available, please could these be added? It would also be useful to be able to create spread instruments from the outright prices on different exchanges using different sizes on each leg, e.g. 2Brent Crude - 3WTI Crude? What is the easiest way to do this please? Note that I have attempted this using one of the (unsupported) studies, but it was very buggy and not successful so I gave up after 2 hours. Although I've been a SC customer for 10+ years, I'm considering other charting products if this is not a SC strength or priority at the moment. Thanks for any help. Ben

[2022-02-11 14:11:22] #2 [Go To First Post]
1+1=10 - Posts: 270
Hi Ben, Fellow user here. I also trade spreads. Inter-market exchange-traded spreads that SC supports are listed alongside single contracts. You can see examples of this for CBOT: e.g. FYT~.FUT_SPREAD.CBOT \| 5y vs 10y T-Notes. I did not see any intermarket spreads listed for ICE US/Europe. Interestingly enough, I couldn't get intramarket exchange-traded spreads for ICE Europe Brent Crude to pop up by hitting the "Get Spreads" button in "Find Symbol" dialog. Hopefully SC can comment any whether I missed anything. Fortunately, SC does have a very nice custom spread charting capability with 4+ legs possible with any combination of multipliers on the legs using "Custom Calculated Symbols": Custom Calculated Symbols If you trade manually, you also may get use out of the "Spread Order Entry Study" which supports up to 4 legs -- I trade via algorithm so haven't tried it: Spread Order Entry Study Good luck in your trading!

[2022-02-11 14:19:55] #3 [Go To First Post]
User73053 - Posts: 4
Thanks ACSIL Rocks!! Interestingly enough, I couldn't get intramarket exchange-traded spreads for ICE Europe Brent Crude to pop up by hitting the "Get Spreads" button in "Find Symbol" dialog. Hopefully SC can comment any whether I missed anything Yes, I had the same issue. Regarding Custom Calculated Spreads, I think this is what I attempted before, however it didn't work for me at the first attempt. I possibly need to read the instructions a bit more carefully and try again as you recommend it.

[2022-02-11 14:41:49] #4 [Go To First Post]
1+1=10 - Posts: 270
https://www.sierrachart.com/image.php?Image=1644589731174.png My custom calculated spread on CME's CL front 2 contracts is top chart. Also, I was incorrect about the intermarket exchange-listed spreads. For CL, some of them are listed under its "Get Spread" button -- e.g. HO-CL. Oh, it looks like you were curious about intra-exchange inter-market spreads on ICE. But if you ever trade inter-exchanges spreads like CME WTI vs ICE WTI, then the following resource may be helpful: https://www.fia.org/resources/global-futures-and-options-trading-reaches-record-level-2020 Specifically, see the "Contract Ranking (2020)" excel doc which reported the annual volume of the top 40-50 contracts across all worldwide exchanges for each category -- Agriculture, Metals, Energy, etc. -- so totaling at least 40 * 6 = 240 worldwide futures contracts.

[2022-02-11 15:26:55] #5 [Go To First Post]
User73053 - Posts: 4
Let's see if SC come back regarding ICE futures spreads, which appear to be missing (or at least I can't find them). There are a couple of NYMEX futures spreads - perhaps we could list symbols for a couple here if it helps others: For HO-CL, what symbol do you see? Is it "CL:C1 HO-CL H22.FUT_SPREAD.NYMEX"? Yesterday's settlement price is shown as 28.86. I'm not familiar with this spread so am trying to cross-check with another source, e.g. Barchart.

[2022-02-11 15:48:01] #6 [Go To First Post]
1+1=10 - Posts: 270
For HO-CL, what symbol do you see? Is it "CL:C1 HO-CL H22.FUT_SPREAD.NYMEX"? Yes, that's the "crack spread": https://www.cmegroup.com/confluence/display/EPICSANDBOX/Implied+Intercommodity+Ratio+Spreads#ImpliedIntercommodityRatioSpreads-Crack1:1Pricing Once you hit that link about halfway down the page you'll see: "1. The spread is CL:C1 HO-CL U1, traded at a price of 105." (The U1 is whatever the front month/year was when CME docs were written.) In SC there's also "CL:C1 RB-CL H22". There's actually about five other CL- inter-commodities spreads but I don't recognize the leg2 symbols so liquidity may not be there depending on trader's timeframe. In short, SC has 1000s-10,000s of listed CME exchange trade spreads, and almost certainly all the tradable ones. By the way, in a different thread a trader asked about if SC had functionality for exiting a non-exchange traded spread simultaneously. My algorithm has that so I'll be sending it to him and the community at some point in the next week. Date Time Of Last Edit: 2022-02-11 17:28:45**

[2023-05-24 13:44:00] #7 [Go To First Post]
Giamsterdam - Posts: 33
Hi 1+1=10, I'd love to see that algorithm.

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