Spread and Pair Trading
Exchange Traded Spreads
In MultiCharts one is able to trade on a spread only if it is exchange traded spread and it is provided by your data vendor as a single separate instrument that is added to QuoteManager database (see Adding Symbols to Database) and mapped correctly to the corresponding broker instrument in Symbol Mapping window. If there is no such instrument on data source end and at your broker, then it is not possible to trade such spread.
Visual Spread on Chart
To see a spread histogram of 2 instruments, one needs to plot a chart window with 2 symbols as data series 1 and data series 2. In the list of our prebuilt studies there are 2 spread indicators that can be applied to such chart: Spread - Diff and Spread - Ratio. See the following article on how to use studies in MultiCharts. The default studies can be modified to plot the spread you need, e.g. using the PlotPaintBar keyword to create OHLC bars.
Pair Trading in Real-Time
One can only send orders to buy or sell one or another instrument of a pair in MultiCharts, but to reach this goal the following system should be developed:
- 2 separate chart windows should be plotted with both symbols of a pair on the charts.
- On the first chart the symbol A should be plotted on subchart 1. The symbol B should be plotted on subchart 2.
- On the second chart the symbol B should be plotted on subchart 1. The symbol A should be plotted on subchart 2.
- On both charts the strategies that have similar but reversed logic should be applied to buy for the 1st chart and to sell for the 2nd one (orders can be placed only on data series 1).
There is also another, a more complex way to pair trade:
- 2 separate chart windows should be plotted. 1 symbol of a pair per chart.
- 2 separate signals should be applied to each of the charts.
- Each signal script should use Global Variables in its script to pass values between the charts.
Pair Trading in MultiCharts .NET in Real-Time
In MultiCharts .NET it is possible to send one order to different symbols/accounts/brokers at same time without Global Variables in real-time trading.
Pair Trading in Backtesting
It is not possible to use Global Variables for backtesting of your pair-trading strategy either in regular MultiCharts, or in MultiCharts .NET. However it is possible for both products in Portfolio Trader by means of Global Variables. Multiple data series should be allocated in correct order in Portfolio Trader, so it is possible to perform pair trading, using GV, because of vertical bar-by-bar calculation of the strategy on all of your data series.