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Charting Spreads 3 Ways - Why so different?


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Charting Spreads 3 Ways - Why so different?

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  #11 (permalink)
 jokertrader 
NYC, NY
 
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I have the CL JKM fly both on charts and on the DOM with liquidity (same with June/July/Aug and Sept/Oct/Nov) but lets say i want to trade the 12 month fly, the exchange symbol does not seem to work (in CQG)
I can however chart it using the difference of the calendars but when i put the same on a DOM.. the bid/ask seems very wide..
a) What am i doing wrong?
b) How would one trade this in reality on the DOM? without having to leg into the calendars? or is that the only way?

Not even sure if this value is right

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  #12 (permalink)
 
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 SMCJB 
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adam777 View Post
Ok I've done what you suggested:



As shown above the Exchange Traded CL JKM 18 fly is very similar to the Synthetic fly constructed out of 2 calendars using TT autospreader. The fly constructed out of j,k,m outright contracts seems a little similar to the calendar fly using TT daily charts, but there are differences. I'm a little worried about the differences.

If your using daily bars, then the 3 charts should be the same, as the settlement price's should be the same (unless it's using last price). The right chart with outrights a) looks too volatile and b) obviously has a very bad print. As kevin said early, on daily bars this will look the worst as the time stamps on the last prices won't be the same.


adam777 View Post
The following was charted using a free spread chart website using outright prices. The shape seems similar to the calendar fly. Both TT charts and the free charts use outrights to construct the fly, but the free charts seem more accurate or closer in shape to the exchange traded fly:


Looks very similar to mine


adam777 View Post
Some questions:

1. What's wrong with the TT daily outright fly spread charts? Is CQG a better option?
2. Is it safe to model these flys and calendars using charts constructed out of outright settlement prices?
3. Is this free spread charting a viable option to simplify a portion of the analysis? If it is a viable option it allows me do do this:


1. I'm still on XTrader Pro not the new TT. So sorry can't answer your question as I don't know enough about either. (XTrader Pro does have a charting package XStudy, but it is dependent upon your brokers price server. The few times I looked into XStudy the prices were so incomplete it wasn't worth using.)
2. For settlements yes.
3. Sure seems to be.

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  #13 (permalink)
 
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 SMCJB 
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jokertrader View Post
I have the CL JKM fly both on charts and on the DOM with liquidity (same with June/July/Aug and Sept/Oct/Nov) but lets say i want to trade the 12 month fly, the exchange symbol does not seem to work (in CQG)
I can however chart it using the difference of the calendars but when i put the same on a DOM.. the bid/ask seems very wide..
a) What am i doing wrong?
b) How would one trade this in reality on the DOM? without having to leg into the calendars? or is that the only way?

The only exchange listed 12 month flies are m8m9m0 and z8z9z0. These are normally 2-3 ticks wide. If you want to trade any of the other 12 month flies you will have to spread the calendars. z9z0z1 should be 3-5 ticks wide, z0z1z2 can vary. Anything further back can be very illiquid. I'm not sure how you put something like this on a DOM without an autospreader. I guess it's showing what would have if you hit the bid in one spread and lifted the offer in the other. If you have an autospreader, it will work orders between the bid-ask trying to fill the spread.

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  #14 (permalink)
 adam777 
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Thanks @SMCJB . It's more just thinking out loud. I've just got to find past fly and calendar data, instead of outright data from Quandl as flys constructed of outrights have lots of spikes that don't appear on the exchange traded spreads. Then I can start understanding the difference between the scatter plots with exchange traded charts: 1,3 vs 1,2,3; compared to 1 v 1,2,3 etc and how that all works with the forward curves. I think I'm beginning to see how it all fits together. My maths engineering background helps.

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