Support Board
Date/Time: Mon, 10 Mar 2025 03:25:32 +0000
ZB / ZB ATR
View Count: 1252
| [2022-03-15 05:25:26] |
| User795226 - Posts: 9 |
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Hi there, how should I read those ATRs? pictures added Thank you |
 image (1).png / V - Attached On 2022-03-15 05:24:49 UTC - Size: 39.73 KB - 167 views |
| [2022-03-15 12:21:53] |
| 1+1=10 - Posts: 270 |
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Hi User795226, They are in the same units as the price of ZB itself, which are points and 32ths of a point. The first means 0 points and 31.875 / 32 of a point. The second means 2 points and 6.875 / 32 of a point. Does that make sense? |
| [2022-03-15 12:38:43] |
| User795226 - Posts: 9 |
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I see, so, both of them 32 pips and price is 1000$ for one point, correct? and, in addition: how do I calculate the ATR in money ratio? for spreads trades... example: 31.875 / 32 = 0.996. 0.996 * 1000$ = 996$. of ZB 2 + 6.875 / 32 = 2.214 * 1000$ = 2214.8$ of ZN. is that correct? Elad. Date Time Of Last Edit: 2022-03-15 12:39:02
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| [2022-03-15 12:55:22] |
| 1+1=10 - Posts: 270 |
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both of them 32 pips and price is 1000$ for one point, correct?
Technically, a pip is 1/100 of 1% OR one basis point OR $0.0001. I say that not to argue but only to inform: https://www.investopedia.com/terms/p/pip.asp Bonds traders will use the term 32-nds, with 112 16/32 pronounced "112 and sixteen/thirty-seconds". how do I calculate the ATR in money ratio? for spreads trades...
Regarding the ATR for a futures pair spread: 1. Create a spread chart: Custom Spread Charts Using Studies 2. NOTE: if the point values are different, such as ZT ($2000) and ZB ($1000), then you can create what is called an "equity" spread by multiplying each leg's price by the point value, thus: (ZT * 2000) - (ZB * 1000). After this, each point of the spread will be equal to 1 dollar. The multiplication would be done by following the instructions in the previous link and changing the Difference (Bar) study's "Chart 1 Multiplier" and "Chart 2 Multiplier" inputs. 3. Add the ATR to the spread chart you created. Date Time Of Last Edit: 2022-03-15 12:55:36
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| [2022-03-15 12:57:03] |
| 1+1=10 - Posts: 270 |
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31.875 / 32 = 0.996. 0.996 * 1000$ = 996$. of ZB
2 + 6.875 / 32 = 2.214 * 1000$ = 2214.8$ of ZN. Yes, these are correct. |
| [2022-03-15 13:16:40] |
| User795226 - Posts: 9 |
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yeah, just asked for the number because I could'nt read. So every point is 1000$, but the ZN is higher more money than 2x so I have to get the spread 2 contracts for ZN, and one contract for ZB :) |
| [2022-03-15 13:33:10] |
| 1+1=10 - Posts: 270 |
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Ratios for inter-commodity spreads are complicated. Right now the CME has these ratios for inter-commodity treasury spreads: https://www.cmegroup.com/trading/interest-rates/intercommodity-spread.html Oh, do note that many inter-commodity spreads are exchange-traded, meaning there's a separate contract that directly represents the spread you can buy/sell. If you do, it will automatically use the appropriate ratio between the legs. Another reason you likely want to use the exchange-traded spread is you only get the margin discount if you have the appropriate ratio between the legs. You can actually chart exchange-traded spreads in Sierra Chart too, although the volume is low so often I make my own spread chart from the legs for analysis but actually trade the exchange-traded spread. |
| [2022-03-15 13:37:53] |
| User795226 - Posts: 9 |
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Ok, but my values are fine, right? I truely understood? |
| [2022-03-15 13:45:21] |
| 1+1=10 - Posts: 270 |
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On the CME's page I linked to, the ZN vs ZB, which is listed as the "10-Year T-Note vs T-Bond" is listed as 5:2. I believe the reason they are using that ratio instead of 2:1 (a.k.a. 4:2) is because their ratios also factor in the differing volatility of each product. Of course, 2:1 is pretty close to 5:2 so your calculation should probably be fine. By the way, the CME Globex code displayed at the link above for ZN vs ZB is: NOB 05-02 U9 NOB stands for Notes over Bonds and is how you find the exchange-traded spread if you're using one of SC's data feeds. For "SC Data - All Services" it is under CBOT -> "NOB~.FUT_SPREAD.CBOT | 10-Year T-Note vs T-Bond SPREAD" Date Time Of Last Edit: 2022-03-15 13:47:31
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| [2022-03-15 13:54:00] |
| User795226 - Posts: 9 |
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Thank you very much!!! Do you have a website who is calculating the ratios / CME / CBOT / etc ? |
| [2022-03-15 14:13:38] |
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Let us know if more help is needed. The relevant information is: Custom Calculated Symbols (To calculate the ratio) Average True Range (For the average true range) Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2022-03-15 14:22:47] |
| 1+1=10 - Posts: 270 |
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For treasuries/interest rate spreads, this link has the ratios for the most common pairs: https://www.cmegroup.com/trading/interest-rates/intercommodity-spread.html The above link is recommended but I will also explain the generic way that works for any products traded on the CME Group. All the exchange-traded spread margin & ratios are actually listed on each product's website on the CME but depending on the product there can be hundreds of inter-commodity pairs. Thus, you have to download the data to a spreadsheet and then search that way. For example: 1. navigate to: https://www.cmegroup.com/ 2. near top right click on search icon 3. enter product code, "CL", or name "crude oil" 4. in search results click result with "Overview" in title such as "Crude Oil Overview" -- this will take you to product's page. 5. Near middle-left of page you'll see "Overview" is highlighted. On the same row you'll see a button "Margin" -- click on it. 6. When margin page loads underneath the large, bold "Crude Oil - Margins" button there will be a button to "Intras" and "Inters". The former will give you intracommodity, such as CLJ22-CLK22. The latter will give you margins and ratios for intercommodity like we've been talking about. Again, this same process applies for ZN, ZB, or any other CME Group Product. Date Time Of Last Edit: 2022-03-15 14:23:38
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