Spread Strategy

[runner]

Hello.
Need an help as newbie.
How can I program a new custom strategy using a specific spread math formula at any time?
The spread is beetween two instruments (futures) on different expirations (calendar spread) and will be running tick by tick or on seconds/minuts bars.
I'd like to compute the spread not on last price, but on bid and ask prices on both futures.
The further development will be on 3/4/..10 different futures

The example formula on the ES (miniS&P future) is:
ES 06-12 Ask - ES 03-12 Bid - ES 06-12 Bid + ES 03-12 Ask

The input should be : when "formula >= 2" Sell ES 03-12 and at the same time Buy ES 06-12 (or viceversa, it's just an example)
When "formula <=0" close both spread legs (Buy ES 03-12 and Sell ES 06-12 or viceversa)
Must I create the formula as a new indicator?
please help.
thanks
mark

[NinjaTrader_Joydeep]

Hello Mark,
Thanks for your post and I am happy to assist you.
You have to code a multi-instrument strategy to achieve the same.
For example if you are viewing ES 03-12 Bid chart, then you can add the ES 06-12 Ask as a secondary bar series in the initialize section, like

protected override void Initialize()
{
	Add("ES 03-12", PeriodType.Second, 10, MarketDataType.Ask);
//rest of the code
}

And in OnBarUpdate you can put up the logic like,

protected override void OnBarUpdate()
{
	if (Closes[0][0] > Closes[1][0])
	{
		//do stuffs
	}
}

For more details please refer to here http://www.ninjatrader.com/support/h...nstruments.htm.
Also please have a look at the SampleMultiInstrument and SampleMultiTimeframe strategies that comes with NinjaTrader (in Control Center menu bar goto Tools>Edit NinjaScript>Strategies…, in the Strategies dialog, double click the said strategies).

Both indicators and strategies supports multi-instrument coding, so its really upto you how you want to code it.
Please let me know if I can assist you any further.

[runner]

I'll have a look at what you suggested.
Thanks for now
I'll be back for sure

[NinjaTrader_Joydeep]

Hello Mark,
Please do not hesitate to contact us in case of any issues.
I look forward to assist you further.

[runner]

Looking around on other posts I found that someone suggested to use something like:
" double mySpread = GetCurrentAsk () - GetCurrent Bid()"
Does it make sense?
How can I use also the Bid & Ask of a differet instrument (not the "current one" already named, of course)?
thanks
mark

[NinjaTrader_Joydeep]

Hello Mark,
Yes you can do that way as well, however you have to add an additional bar series.
Like

protected override void Initialize()
{
        Add("ES 06-12", PeriodType.Second, 10);

	//other codes
}

Access the data as

if (this.GetCurrentAsk(0) == this.GetCurrentBid(1))
{
	//do stuff
}

Please let me know if I can assist you any further.

[runner]

Will try both. Keep you informed.
Thanks Joydeep

[NinjaTrader_Joydeep]

Hello Mark,
Best of luck.
Please let me know if I can assist you any further.

[runner]

still having some problems for the strategy.
may i send to you?
with some explaination on what I'd like to do?
thanks

[NinjaTrader_Joydeep]

Hello Mark,
Please send the strategy to support[AT]ninjatrader[DOT]com with Attn:Joydeep in the subject line and the reference to this thread in the email body.

I look forward to assisting you further.