Support Board
Date/Time: Thu, 28 Nov 2024 07:43:28 +0000
Post From: Charting Exchange-Traded Futures Spreads
| [2022-02-11 15:48:01] |
| 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
|