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Very interesting Ned, thank you for reporting your findings. Since posting my question I have executed several live spread orders on Interactive Brokers (or rather: Interactive Brokers has executed the orders for me) with bracket orders attached. Not from the DOM but from charts. All positions...

That's an excellent question tomorton. I was backtesting a strategy on different instruments and to my surprise found out that it works better on (some) spreads. Subsequently I started doing research on how exactly spreads work, discovered exchange traded spreads and am now trying to figure out...

I'll try to bump this one time and if there is no answer, I'll let the thread die. Does anyone have an answer? Please excuse my insolence.

Hi all I've searched the Web near and far but could not find an answer to my question. Could a kind soul please help out? Consider the following situation: I want to buy an exchange traded spread, e.g. the NOB, and hold for several days. Let's say the NOB is unchanged for the day. I pull up a...

Got it, thanks!

For longer term charting, are there back adjusted native ICS contracts available? Does my question even make sense?

I'm pretty new to spreading so my opinion should not have much weight, but to me it seems that the biggest advantage of spreads is that you can basically construct your own market, i.e. something that moves in a (more or less) predictable pattern.

One more question please: I was looking at the CME site Inters/Intex/Supers. http://www.cmegroup.com/clearing/margins/inters.html#exchange=CMX&sector=METALS&clearingCode=CX-GC&pageNumber=1 Am I interpreting this correctly that if I traded the exchange traded spread, it would be a 1:1 ratio?

Got it, thanks a lot!

Makes sense, thank you Robert. Could you help me out with calculating the dollar neutral ratios for metals? For GC, the contract unit is 100 troy ounces. For SI, it's 5000 ounces. Is this correct: Dollar neutral ratio for gold and silver: GC-50*SI But what about Copper? The contract unit is...

Hi I'm sorry if this has been asked before, but how does one correctly calculate the number of contracts to buy or sell when spreading (futures)? E.g. if I wanted to buy NQ vs YM, would I have to look at the notional price of each leg: (current NQ price*20)/(current YM price*5)? How about...

Thanks for your reply. There is surprisingly little information on the web regarding order routing, or maybe I just didn't look hard enough. I re-read the thread and one thing MrMuppet said stood out to me: Things are starting to make more sense to me. What I did not know is that TT has it's...

Got it thanks. To those interested, I found a good article about futures transaction flow here: https://www.finextra.com/blogposting/13551/understanding-futures-transaction-flow---basic-introduction What I still don't quite understand (and I'm beginning to think that I have a fundamental...

Thanks you, much appreciated (and also noted that you used CQG as an example :D). So it would go like this: Trader clicks -> software sends it to the servers owned by the software company -> from there it goes to the assigned server owned by the broker (e.g. HK, London) for a risk check ->...

Please help a newbie here: What exactly happens after I click a buy/sell order? Does the order go from the order entry software (TT, Jigsaw) to the broker and then to the exchange gateway or does it go directly from the order entry software to the exchange gateway?