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Charting Exchange Native Future Spreads

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    Charting Exchange Native Future Spreads

    Hi,

    I wonder if anyone knows how to set up a chart of an 'Exchange Native Future Spread', using Interactive Brokers for data?

    By 'Exchange Native Future Spread' I mean for instance: DEC 2014 ZN - SEP 2014 ZN or SEP 2014 VIX - AUG 2014 VIX (intermonth spreads). In this case these spreads are traded on the CME and CFE.

    I get the data for these in IB's TWS, but how do I chart them with NinjaTrader? More specifically: how do I set them up in the Instrument Manager?

    Thanks!

    #2
    Hello Nick88,

    Thank you for your post.

    Unfortunately spread charts are not supported in NinjaTrader by default.

    However it is possible using NinjaScript to plot the difference between 2 instruments. You would need a custom indicator that will plot the difference of two instruments.

    There are a few custom created spread indicators available on our forum. I have included a link to the search results for "Spread".

    http://www.ninjatrader.com/support/f...=spread&desc=1

    Additionally, you may be able to create these custom instruments but I am not certain what the symbol mapping would be or if it would be compatible with NinjaTrader. Our IB users may have some better insight into this for you.
    Zach S.NinjaTrader Customer Service

    Comment


      #3
      Hi Zach,

      Thank you for your reply. The thing is, these exchange traded spreads have their own bid/ask prices and volume. Just substracting two different contract months with the use of an indicator doesn't give the same info. An extra is that these spreads trade at a minimum interval of half a tick.

      Lets see if others have some info about this.

      Thanks.

      Comment

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