Charting Exchange Native Future Spreads

[Nick88]

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!

[NinjaTrader_ZachS]

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/forum/local_links_search.php?action=show&literal=1&search=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.

[Nick88]

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.