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spread charts
Posted: 29 Jul 2009
by valabhi
How can i plot Spread charts i.e. spread between two symbols.
Posted: 29 Jul 2009
by TJ
First, load your symbols into the chart.
in your Format Symbol window,
under the Style tab, set the chart type to "Invisible bars".
Next, create and apply this indicator to your chart:
[edit] added data multiplier
Code: Select all
{---------- beginning of indicator ----------}
// indicator: Spread
// version: beta 0.2
// author: TJ
// license: public use
//
input:
data1.multiplier(1),
data2.multiplier(1);
var:
spread.h(0),
spread.l(0),
spread.o(0),
spread.c(0);
spread.h = high data1 * data1.multiplier - high data2 * data2.multiplier;
spread.l = low data1 * data1.multiplier - low data2 * data2.multiplier;
spread.o = open data1 * data1.multiplier - open data2 * data2.multiplier;
spread.c = close data1 * data1.multiplier - close data2 * data2.multiplier;
plotpb(spread.h, spread.l, spread.o, spread.c);
{---------- end of indicator ----------}
enjoy !
Posted: 30 Jul 2009
by valabhi
TJ so quick..! Thank you
Posted: 30 Jul 2009
by Andrew Kirillov
Thanks TJ!.
I just want to inform you that we are working on native spread support in MultiCharts. So you will just type what you want or construct it visually. It will be flexible and allow you to create composites, spreads and etc.
Posted: 30 Jul 2009
by TJ
That's fantastic Andrew.
Posted: 30 Jul 2009
by Andrew Kirillov
I do agree!
Posted: 30 Jul 2009
by valabhi
Thank you Andrew, willregular indicators such as RSI will work with it?
will it be available this year?
Posted: 30 Jul 2009
by janus
That's cool. Will we be able to plot say the mid-point of the ask and bid price without loading them into the plot window and hiding them?
Posted: 30 Jul 2009
by TJ
Thank you Andrew, willregular indicators such as RSI will work with it?
will it be available this year?
before the new version arrives,
you can try this method for indicators:
http://www.traderslaboratory.com/forums ... -6372.html
Posted: 31 Jul 2009
by Andrew Kirillov
Thank you Andrew, will regular indicators such as RSI will work with it?
will it be available this year?
Sure. You will be able to apply any indicator or strategy to the spreads.
That's cool. Will we be able to plot say the mid-point of the ask and bid price without loading them into the plot window and hiding them?
It is not confirmed that you will be able to reference different price fields, but we will try to keep it in mind.
Posted: 07 Aug 2009
by synonym
This really is very good news. It'll be a fantastic addition to MC's functionality. I can't wait.
Posted: 13 Aug 2009
by synonym
Hi Andrew
I have a number of questions i'd like to ask re MC's forthcoming spreadtrading backtesting funtcionality.
1. As you are probably aware, in order to effectively backtest calender spreads you need your software to run the backtest on the individual contracts rather than a continuous contract, which destroys the differential you are trading between the contracts and therefore means your backtesting results will be useless. Will MC be able to do this and automatically roll over from one single contract to the next when backtesting?
2. Also will MC facilitate weighting between the contracts in its backtetsing, for example, to be long 2 contracts of market A and be short of 1 contract of market b?
I'm eager to hear your anwers.
Thanks
Syn
Posted: 13 Aug 2009
by Andrew Kirillov
1. As you are probably aware, in order to effectively backtest calender spreads you need your software to run the backtest on the individual contracts rather than a continuous contract, which destroys the differential you are trading between the contracts and therefore means your backtesting results will be useless. Will MC be able to do this and automatically roll over from one single contract to the next when backtesting?
As far as I understand you want to apply a strategy to a spread ESU9- ESZ9.
In this case the strategy will be applied to the differential. However the software will not roll over, because we will have roll over functionality for individual futures only, not spreads.
2. Also will MC facilitate weighting between the contracts in its backtetsing, for example, to be long 2 contracts of market A and be short of 1 contract of market b?
Not in the first release. However we will do it later to accommodate fully-features pair trading.
Posted: 14 Aug 2009
by synonym
Hi Andrew
thanks for your prompt and clear reply.
regards
Syn
Posted: 14 Aug 2009
by Andrew Kirillov
You are welcome.
Posted: 16 Dec 2009
by pivot
Andrew I would be interested to know when this spread trader / pair trader will be release can you update the likely release of this?
thxs
Pivot
Posted: 22 Dec 2009
by pivot
Was wondering if someone can update us on the spread trading and pair trading additions?
Re: spread trading and pair trading additions?
Posted: 13 May 2011
by templ
Was wondering if someone can update us on the spread trading and pair trading additions?
Yes please.
Re: spread charts
Posted: 17 Aug 2011
by cosmic
Hey guys, any update on this feature?
I saw as example a spread on the same symbol, so frontmonth vs soon to be frontmonth for example.
Can one also setup for example ESU11- YMZ11?
TIA,
cosmic
Re: spread charts
Posted: 17 Aug 2011
by TJ
Hey guys, any update on this feature?
I saw as example a spread on the same symbol, so frontmonth vs soon to be frontmonth for example.
Can one also setup for example ESU11- YMZ11?
TIA,
cosmic
you can easily do this with the code posted above.
Re: spread charts
Posted: 18 Aug 2011
by cosmic
That's right TJ, thanks - but I was more interested in the native support Andrew talked about, where I would not need to work with indicators to achieve this function.
Re: spread charts
Posted: 24 Aug 2011
by momentum
+1 pls
Re: spread charts
Posted: 14 Oct 2011
by Henry MultiŠ”harts
High quality spread charts mean implementation on a tick by tick basis.
This implementation requires a lot of resources.
Unfortunately we do not have estimated time for implementation of this feature.
Re: spread charts
Posted: 18 Jan 2019
by waldem
hallo, i want ask you an update on this very old topic.
is possible now to create an index that is data1/data2?
i know TJ indicator and work good, but i want plot my indicator on spread chart and is impossible to plot indicator of indicator..
thank you
Re: spread charts
Posted: 13 May 2019
by brendanh
Was this ever implemented? As others have said, indicators are no substitute for real composite symbols. Would massively improve the value of MultiCharts IMO.
Re: spread charts
Posted: 13 May 2019
by TJ
Was this ever implemented? As others have said, indicators are no substitute for real composite symbols. Would massively improve the value of MultiCharts IMO.
Composite symbols are only valuable
IF and ONLY IF you can trade them.
For that to happen, the symbol must come from your broker.