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Spread Trading (IB): calendar spread


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Spread Trading (IB): calendar spread

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  #1 (permalink)
 ajk1 
London - England
 
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Futures spread trading with IB .. does anyone have any experience ?
They have 2 spread trading tools called "Combo Trader" and Spread Trader".
Does anyone have an idea whether this functionality supports a calendar spread as one of the spread legs ?

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 myrrdin 
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ajk1 View Post
Futures spread trading with IB .. does anyone have any experience ?
They have 2 spread trading tools called "Combo Trader" and Spread Trader".
Does anyone have an idea whether this functionality supports a calendar spread as one of the spread legs ?

Yes, I do. But I do not understand "calendar spread as one of the spread legs". According to my understanding a calendar spread consists of two legs, two options with different expiry date.

Please explain or give an example.

Best regards, Myrrdin

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  #4 (permalink)
 ajk1 
London - England
 
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myrrdin View Post
Yes, I do. But I do not understand "calendar spread as one of the spread legs". According to my understanding a calendar spread consists of two legs, two options with different expiry date.

Please explain or give an example.

Best regards, Myrrdin


Thanks for your reply.
I understand that with IB, we can trade a non-exchange supported futures spreads with their ''spread trader" or "combo trader" tool, like Corn/Wheat, Gold/Silver, SnP/Dow, CL/HeatingOil. All of these examples have an normal outright futures contract in both Leg A and Leg B of the spread.

My questing is can: I trade a spread with their functionality where either Leg A or Leg B (or both) contains a exchange supported futures calendar spread ? For instance, CLZ8CLZ9.

To explain it another way:

Leg A (corn) VS. Leg B (wheat) = yes, we can trade is on IB (i think)
Leg A (corn month X) VS. Leg B (corn calendar spread months Y/Z which is exchange supported) = can this be done ?
Leg A (oil H8M8 futures calendar) VS. Leg B (OIL M8U8 futures calendar) = can this be done ?

Bare in mind that these are exchange supported calendar spreads, they have their own order books etc.
Keen to know whether they can be part of Leg A or Leg A (or both)..
Obviously many platforms support out there as part of their Spreader functionalities, but keen to know whether IB do

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 baywolf 
San Diego, CA
 
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Quoting 
Leg A (corn) VS. Leg B (wheat) = yes, we can trade is on IB (i think)

In TWS, this is supported and will route to exchange as native SP as supported (IB refers to as guaranteed)


Quoting 
Leg A (corn month X) VS. Leg B (corn calendar spread months Y/Z which is exchange supported) = can this be done ?

In TWS, sort of, if the working leg A, you can simulate the hedge order of leg B as a pair trade, but it will not route as native SP, (IB will route via SMART, non-guaranteed)

However, if leg B is the working leg, yes, you can work it as native SP, and attach a PT with leg A


Quoting 
Leg A (oil H8M8 futures calendar) VS. Leg B (OIL M8U8 futures calendar) = can this be done ?

In TWS, the same applies as above. Working leg can be native SP, but there is no way to submit hedge leg as native.

It would be possible to leverage their API and create your own combo orders (bag orders as they are called in the API) then both legs would be native-SP

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 ajk1 
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baywolf View Post
In TWS, this is supported and will route to exchange as native SP as supported (IB refers to as guaranteed)



In TWS, sort of, if the working leg A, you can simulate the hedge order of leg B as a pair trade, but it will not route as native SP, (IB will route via SMART, non-guaranteed)

However, if leg B is the working leg, yes, you can work it as native SP, and attach a PT with leg A



In TWS, the same applies as above. Working leg can be native SP, but there is no way to submit hedge leg as native.

It would be possible to leverage their API and create your own combo orders (bag orders as they are called in the API) then both legs would be native-SP




Thank you, I think thats answers my question..
Apologies for the follow up and I suspect silly question here here, but what does "SP" and "PT" stand for ?

A

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 baywolf 
San Diego, CA
 
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ajk1 View Post
Thank you, I think thats answers my question..
Apologies for the follow up and I suspect silly question here here, but what does "SP" and "PT" stand for ?

A

native exchange traded calendar spread. Calendar spreads are abbreviated as SP in CME documentation.

PT is profit target

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