Premium spread

[bassam]

Hi,

Is it possible to calculate the spread between the same instrument contracts with expiries ?

for example: the spread between GC 06-08 and GC 08-08 ...etc.


P.s: i'm getting a constant spread of all the times

[NinjaTrader_PatrickH]

Hello bassam,

Thank you for your post.

This is possible through custom programming. For an example of calculating spreads between two instruments please visit the following link: http://www.ninjatrader.com/support/f...d=4&linkid=512

While the above link does not detail expiries, it does give an example of calculating spreads between two instruments.

[bassam]

Thank you Patrick,

If you open a new chart with two instruments added " GC 02-13" and next contract "GC 04-13", you'll notice the following:
-From 29-11-2013 until 30-01-2013 (which is the trading period of GC 02-13), the difference between the close values of the two instruments = constant 1.6$. I tried the same on other instruments like HO still getting constant spread!

What am I missing here ?

[NinjaTrader_PatrickH]

Hello bassam,

Thank you for your response.

Please attach a screenshot of the chart with an incorrect spread to your response so I may investigate this matter further.

I look forward to assisting you further.

[bassam]

Kindly find attached screenshot as per your request.

I've added a small indicator which subtract the closes of those two instrument to be more clear.
Also Rollover indicator to indicate rollover dates.

[NinjaTrader_PatrickH]

Hello bassam,

Thank you for your response.

This is due to the Merge Policy used. You can change the Merge Policy by going to the NinjaTrader Control Center > Tools > Options > Data > Merge Policy.

Set the Merge Policy to DoNotMerge and then reload all historical data on your charts. You should see that there is not a constant difference in the data but a varying value.

For information on Merge Policies please visit the following link: http://www.ninjatrader.com/support/h...rical_data.htm

Please let me know if I may be of further assistance.