Butterfly spreads provided by exchanges I checked on TT are very different from those synthesized using autospreader, and I want to know what causes this difference.

I know that ICS spreads reset daily, but BF spreads don't seem to reset daily, and I don't know why the difference is so big.




There is also a question about the margin of the butterfly spread. After I calculated it through the SPAN computer, the margin for a butterfly spread is $359. The butterfly spread is the spread listed on the exchange. There are 4 contracts included. A total of about $40,000 of margin is required to open a single position. If I trade the spread directly, do I only need to have more than $359 in margin in my account to trade, or do I need to have more than $40,000 in margin to trade?

opi5981 

Butterfly spreads provided by exchanges I checked on TT are very different from those synthesized using autospreader, and I want to know what causes this difference.

The Exchange listed Butterfly will show all trades in that product. Some of the deferred CL Butterflys may not trade for weeks so the chart will show no activity.
The chart of the synthetic butterfly on the other hand charts TT's "estimated trades" rather than real trades. In your case the -$7.36 print back in March is distorting the scales so much you really can't see what the fly has done over the last few months as its minute in comparison.
How are you constructing the Butterfly? I think if your synethic is 2 legged spread butterfly 'buy ZF & sell FG' you'll get much better results than the 3 legged fly 'buy Z, Sell 2 F & Buy G."

opi5981 

There is also a question about the margin of the butterfly spread. After I calculated it through the SPAN computer, the margin for a butterfly spread is $359. The butterfly spread is the spread listed on the exchange. There are 4 contracts included. A total of about $40,000 of margin is required to open a single position. If I trade the spread directly, do I only need to have more than $359 in margin in my account to trade, or do I need to have more than $40,000 in margin to trade?

At EOD exchange margin will be $359.

SMCJB 

The Exchange listed Butterfly will show all trades in that product. Some of the deferred CL Butterflys may not trade for weeks so the chart will show no activity. The chart of the synthetic butterfly on the other hand charts TT's "estimated trades" rather than real trades. In your case the -$7.36 print back in March is distorting the scales so much you really can't see what the fly has done over the last few months as its minute in comparison. How are you constructing the Butterfly? I think if your synethic is 2 legged spread butterfly 'buy ZF & sell FG' you'll get much better results than the 3 legged fly 'buy Z, Sell 2 F & Buy G." At EOD exchange margin will be $359.

(re-edited once) Thanks for your reply, I used 3 legs to build the butterfly, I found the difference, from the spread matrix, on the symbol that has opened the implied market, like eurodollar, the butterfly spread will be drawn from the calendar Get liquidity. But I can only observe the price difference listed on the exchange, the TT provided on tradestation does not support me to synthesize the price difference between two calendars on autospreader.

opi5981 

(re-edited once) Thanks for your reply, I used 3 legs to build the butterfly, I found the difference, from the spread matrix, on the symbol that has opened the implied market, like eurodollar, the butterfly spread will be drawn from the calendar Get liquidity. But I can only observe the price difference listed on the exchange, the TT provided on tradestation does not support me to synthesize the price difference between two calendars on autospreader.

In almost every case the bid-ask on two spreads will be significantly tighter than on 3 outrights. In many products the spreads even have a reduced tick size meaning a spread built fly will much much tighter. This is CL ZFG in TT