If you have an idea how to convert negative price on a chart into money value-please feel free to share it with us and it will be discussed with our management.
Hi Henry,
To answer your post... On our broker feed (Rithmic), they list calendar spreads which are quoted and traded as a single symbol. For a made-up example, if you want to go long 10 lots of July contract X (XN14) and short 10 lots of August contract X (XQ14), you can do so by buying 10 lots of July-August spread contract X (XN14-XQ14). If this contract is not already listed, a phone call can get it listed, as long as you have the entitlement to trade the individual legs. From that point forward, you can receive bid/ask/trade data for the calendar spread contract, computed by the broker feed in real-time from the underlying legs (with the caveat I'll mention below), and you can buy a single contract to buy/sell the pair (and vice versa). I just did a quick lookup on Rithmic, and there are over 100,000 of these spread symbols currently listed (see image below).
So from the point of view of the MultiCharts application, this is a real, tradeable instrument, and it can have prices that swing from positive to negative depending on whether the market is in backwardation or contango. And yes, you can buy/sell it even if the spread price is negative.
One caveat regarding the quote data... It seems that Rithmic reports bid/ask derived from the underlying legs, and as such there are frequent quotes. But trades seem to be reported only when they occur on the spread contract, which can be very sparse at times, even if the underlying legs are trading actively. So any strat would probably want to have a Data2 and Data3 for the underlying legs, and compute the synthetic spread as an indicator for signals. In this case, we would want the chart/strat to recalculate when Data2 and/or Data3 update, even if Data1 does not. I don't know if this is a setting in MultiCharts?
(And @quantarb, you are right, this synthetic spread computed from Data2 and Data3 could be ratio, log-ratio, or whatever else seemed to be advantageous. But we still need to implement the position by using a difference spread, delivered to us by the broker feed as described above.)
If there is anyone else out there who is interested in backtesting and trading futures spreads, please have a look at the PM issue I opened, and vote for it if you can:
https://www.multicharts.com/pm/viewissu ... no=MC-1585
Thanks!