Spread and Pair Trading
Revision as of 11:48, 22 March 2012 by Andrew MultiCharts (talk | contribs) (Created page with "==Exchange Traded Spreads== In MC 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...")
Exchange Traded Spreads
In MC 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 exactly on spread.
Pair Trading
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. 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.
Example: When on first chart a particular condition for order generation is met and the strategy sends a market order to go 1 contract long, through Global Variables this strategy informs the other signal on the second chart to generate a market order to go 1 contract short.