Charting software that plots spreads

S

ssg10

Hi, could anyone recommend charting software that can plot spreads?
For example, XOM/SLB
And, be able to export the data to excel or ASCII.

Thanks!
 
I am part of a startup that is working to release a software this August that can do what you are asking. Since I wasn't sure if you wanted a spread or a ratio chart, I'm demonstrating both below. If anybody is interested in this software, please send me a PM.

Ratio (XOM/SLB):
attachment.php


Spread (XOM-SLB):
attachment.php


Spread (SLB-XOM):
attachment.php
 
stockcharts.com does ratio charts. [TICKER1:TICKER2], or, in your example, XOM:SLB. I don't know if they have data export - you may be able to get it in the paid version.
 
I forgot to include the spreadsheet data for those graphs. I attached them to this post. I had to rename the csv files to txt for the upload.
 
I think eSignal does it best. Many can do it, but not as convenient. You can just type in a forumla instead of a symbol, for example: "MSFT - GOOG" or "GOOG / 2*MSFT" and voila.
 
Almost any software can do that.
For example in AmiBroker it's just one formula line.

Code: 
Ticker1 = ParamStr( "Symbol 1", Name() );
Ticker2 = ParamStr( "Symbol 2", Name() );
Spread  = Foreign( Ticker1, "C" ) / Foreign( Ticker2, "C" );

or

Code: 
Ticker1 = ParamStr( "Symbol 1", Name() );
Ticker2 = ParamStr( "Symbol 2", Name() );
Spread  = Foreign( Ticker1, "C" ) / ( Foreign( Ticker2, "C" ) * 2 );

or

Code: 
Ticker1 = ParamStr( "Symbol 1", Name() );
Ticker2 = ParamStr( "Symbol 2", Name() );
Spread  = Foreign( Ticker1, "C" ) - Foreign( Ticker2, "C" );

And in the parameter dialog you input your tickers.

image.png


image.png


Manual or auto export to Excel is possible there also.


Since in compressed bars only Open and Close of each involved ticker have their info available at the same time it makes no sense to plot OHLC if you just have compressed data available (without any intrabar info). High and Low of each Ticker may have their extremums at different times intrabar. You still could plot OHLC but it would be vague. So only tick data makes sense if you want to plot OHLC bars of such ratios.
 
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