spread charts

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valabhi
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spread charts

Postby valabhi » 29 Jul 2009

How can i plot Spread charts i.e. spread between two symbols.

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TJ
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Postby TJ » 29 Jul 2009

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 !
Last edited by TJ on 05 Feb 2010, edited 2 times in total.

valabhi
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Postby valabhi » 30 Jul 2009

TJ so quick..! Thank you

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Andrew Kirillov
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Postby Andrew Kirillov » 30 Jul 2009

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.

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TJ
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Postby TJ » 30 Jul 2009

That's fantastic Andrew.

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Andrew Kirillov
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Postby Andrew Kirillov » 30 Jul 2009

I do agree!

valabhi
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Postby valabhi » 30 Jul 2009

Thank you Andrew, willregular indicators such as RSI will work with it?
will it be available this year?

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Postby janus » 30 Jul 2009

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?

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TJ
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Postby TJ » 30 Jul 2009

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

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Andrew Kirillov
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Postby Andrew Kirillov » 31 Jul 2009

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.

synonym
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Postby synonym » 07 Aug 2009

This really is very good news. It'll be a fantastic addition to MC's functionality. I can't wait.

synonym
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Postby synonym » 13 Aug 2009

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

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Andrew Kirillov
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Postby Andrew Kirillov » 13 Aug 2009



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.

synonym
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Postby synonym » 14 Aug 2009

Hi Andrew
thanks for your prompt and clear reply.
regards
Syn

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Andrew Kirillov
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Postby Andrew Kirillov » 14 Aug 2009

You are welcome.

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pivot
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Postby pivot » 16 Dec 2009

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 :)

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pivot
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Postby pivot » 22 Dec 2009

Was wondering if someone can update us on the spread trading and pair trading additions?

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Re: spread trading and pair trading additions?

Postby templ » 13 May 2011

pivot wrote:Was wondering if someone can update us on the spread trading and pair trading additions?


Yes please.

cosmic
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Re: spread charts

Postby cosmic » 17 Aug 2011

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

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TJ
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Re: spread charts

Postby TJ » 17 Aug 2011

cosmic wrote: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.

cosmic
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Re: spread charts

Postby cosmic » 18 Aug 2011

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.

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Re: spread charts

Postby momentum » 24 Aug 2011

+1 pls

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Henry MultiСharts
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Re: spread charts

Postby Henry MultiСharts » 14 Oct 2011

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.


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