Autospreaders

Some of what sle is recommended is available through a quantitative execution broker by the name of quantitative brokers.

Cheap retail solutions:
Code something in TT ADL. Can direct you to a programmer who will work with you.
Pay for TT transactional, $50 a month.
Leg in using hotkeys. Pay the spread.
Use CME implied market. It will do all the work for you. Pay the spread.

Several traders on ET are getting by using the approaches I listed. Listen to Bob Morse and sle. They're being generous with their knowledge. Be pragmatic and realistic. There are readily available solutions.
 
dextor said:
Now with T4, everytime I put a spreads trade, the bid ask spread seems to be a lot wider than a trade done in TT. One could debate that volatility, timing could have played a part, but as a person who keeps seeing this; it's down to either I am not setting up my spreads correctly, or that TT has some advantage over T4 - yet to verified this.
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With T4 it'd be TradeSniper right? Perhaps the fact that it's not a submit/cancel style spreader but instead a "sniper" style could be contributing to this?

sle said:
PS. I am surprised someone like IB does not offer a semi-lousy one as a part of their general software
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They actually do - the "combo" instrument trader, and yes: it's lousy. Although perhaps moderately better than manually legging, depending on what you're trading there's a high chance you'll get hung, and it only uses the first level of market depth to quote the "combo" price. So if you're trading something 3:5 and there's a 1 lot on the bid it won't even give you a quote. I think it's "sniper style" meaning no submit/cancel, etc. It's very basic and rudimentary.

The whole implementation (and potentially even the concept) of autospreaders is a bit of a hack anyway, especially the submit/cancel style but unfortunately I cannot see how it can be made any better when we have a landscape of multiple disjoint exchanges who are too busy trying to drive liquidity towards themselves as their primary concern. In some aspects, the fragmentation is good, because it avoids some of the issues we see in the equities markets (latency/SIP arb). But in other ways it can be bad from a technology/big picture aspect because it doesn't promote any kind of standardization (other than de facto standards), any kind of inter-exchange connectivity (for things like this), or take away power from exchanges by commodifying them in a way where they must compete for volume (in a way that doesn't involve contract poaching games).

Gambit said:
Use CME implied market. It will do all the work for you. Pay the spread.
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I don't think people's (atleast in here) primary concern is paying the spread necessarily but simply paying for the technology or being limited in choice. If all the spreads under concern had implied books 90% of people probably wouldn't even be bother with autospreaders (what's the point at that point? it'd be the same as trying to advantageously leg something [risk]). There's also the whole inter-exchange issue where there is no implied book (which is symptomatic of the other issues I was trying to imply [heh]).
 
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I don't think people's (atleast in here) primary concern is paying the spread necessarily but simply paying for the technology or being limited in choice. If all the spreads under concern had implied books 90% of people probably wouldn't even be bother with autospreaders (what's the point at that point? it'd be the same as trying to advantageously leg something [risk]). There's also the whole inter-exchange issue where there is no implied book (which is symptomatic of the other issues I was trying to imply [heh]).
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I agree @i960. I made an assumption in that the OP wanted to trade intramarket spreads exclusively. Still, there is something to be said for an autospreader's ability to trade multiple spreads at once, offer a running p/l, analytics etc. People are still trying to leg into intramarket spreads. Maybe we're fools for trying ;)
 
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Gambit said:
People are still trying to leg into intramarket spreads. Maybe we're fools for trying
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If there's an exchange traded spread for the same spread and it's liquid with a good bid/ask spread it's definitely a fool's errand. The only cases where I've found this to be the case are in exchange traded flies and condors (and from what I've read, ICE is ahead of CME here technologically when it comes to complex implied calculations).

I wouldn't blame anyone for legging a CL fly with 2 CL exchange traded cals, although IMO this is retarded that we even have to worry about this as it should be a solved problem. I would blame them if they tried to leg 2 outrights to make a cal (I can't think of *any* advantage, plus there's more risk).
 
Robert Morse said:
i960,

I could be wrong but I don't expect he is talk about option spreads.
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Definitely not. From the start I had the assumption we're talking future spreads. However if you're noticing my use of fly and thinking it's about options, it isn't. There are distinctly traded exchange provided futures spread instruments (which they call strategies) for flies, condors, and in the case of STIRs, double flies (in fact ICE even has SPAN margin for 5-legged extended double fly strategies although I don't believe they have an actual book for them).

e.g.:

CME Globex Product Reference Sheet
https://www.theice.com/publicdocs/clear_europe/spanParameters/SPAN Margin Parameter layout guide v2.6.pdf

The need for autospreaders and the like with the more complex spreads is that depending on the exchange technology in play (and specific instruments) the more complex strategies don't always benefit from implied liquidity from both the underlying outrights which make up the spread *and* the direct liquidity in the spread books of underlying calendar or fly spreads which can be used to construct flies or double flies respectively (these spreads can imply prices for the complex spreads themselves).

AFAIK ICE is the most advanced in this regard, meaning the deepest level of implication: https://www.tradingtechnologies.com...arket-window/implied-functionality-by-market/), but not all instruments/markets have it enabled. Autospreaders are useful here because rather than trading CLZ18:Z19:Z20BF (a fly) you can get a tighter bid/ask spread by trading the CLZ18:Z19SP - CLZ19:Z20SP cals against each other but you need some kind of spreader to handle it because the cals move independently of each other (note: CME recently enabled implication on CL flies so this might be less of an issue with CL now). I also suspect there are politics ($$$) involved because I once asked ICE where the Brent and Gasoil flies and condors are and they told me at the time they didn't provide those because "much of that business still goes via the brokers."

Aside from all of that, it's *still* not rocket science and when it comes to intra-exchange spreads, exchanges could reduce the need for it by improving their technology (and they have an incentive to do so: messaging rates). I also have a feeling that from their perspective the technological concerns are harder than they appear because for every complex spread you list and provide implication on it creates a potential O(N*M) complexity situation where a single change to either the depth or bid/ask of any component instrument must cascade out to all dependent spreads and vice-versa.

When it comes to inter-exchange, aka the whole other universe where autospreaders are useful, none of the above applies.
 
i960 said:
Definitely not. From the start I had the assumption we're talking future spreads. However if you're noticing my use of fly and thinking it's about options, it isn't. There are distinctly traded exchange provided futures spread instruments (which they call strategies) for flies, condors, and in the case of STIRs, double flies (in fact ICE even has SPAN margin for 5-legged extended double fly strategies although I don't believe they have an actual book for them).
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Gotcha.......
 
FSU said:
You may want to check out WEX as well.
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FSU, I know you like WEX however this is a very complicated platform targeting professionals. When I first joined Lightspeed I was told we offer it but a high number of new traders that have not used it before cancel after the first month. To be fair, those were equity/option traders not futures.
 
RTraderPro has synthetic futures window to create a spread and then trade using market or limit orders but not perfect, also no synthetic orderbook but free to use.
Quick Screen Trading platinum version has synthetic spreader similar to TT/T4 for $300/month.
 
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