Support Board
Date/Time: Sat, 11 Jan 2025 02:10:47 +0000
Post From: Questions on trading LMAX CFDs
| [2016-10-13 10:21:30] |
| bob7123 - Posts: 7 |
|
Hi, I’m trading CFDs with LMAX. I am finding that they trade in sympathy with, but not exactly the same as the futures contracts they represent. On longer timeframes the difference is minimal, but on shorter time frames, there is divergence. This leads me to ask a few questions: Is it possible to have charts with bars that are shorter than 1 minute, e.g. 15 or 30 seconds? I have 2 instances of Sierra Chart, one which is connected to LMAX, the other to IQFeed. Is it possible to put both the LMAX CFD price and the CME contract price from IQFeed on one chart? That would be very helpful. I understand they are separate processes, but can they communicate in some fashion? Alternatively, the IQFeed client can send data via DDE. Can the LMAX instance receive DDE data? You guys may already know this, but the “spot” prices that LMAX uses are actually a weighted average of the 2 most recent CME contracts. Each day the further contract is given more weight, so when the near one expires, it is not counted. Basically, they are doing a small rollover each day. As an example, their PDF on how they calculate spot oil is attached. Would it be possible to create a “Fair Value” chart that used the calculation in the PDF to determine the Y axis price value? (and perhaps put it on a DoM?) So I can do some external analysis, is it possible to export LMAX’s level 2 data to a text file or database or whatnot? Thanks very much for your help. -Bob |
 Spot Oil.pdf - Attached On 2016-10-13 10:18:10 UTC - Size: 411.13 KB - 416 views |