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CL Spreads
- Thread starter shep1487
- Start date
Basic question. I'm playing around with the spread charting function in futuresource, and I am wondering how you adjust the math for contracts with different bases (e.g. RBOB gas is cents per gallon while crude is $ per barrel).
Do I multiply gas by 42 to "even out" the spread? (i.e. =(42*'XRB X0'-'CL X0')) or just subtract the two?
@grg: What do you mean by "Dec/Dec"? Are you referring to the dec gas/crude spread or the dec WTI/Brent? (Or something else?)
Do I multiply gas by 42 to "even out" the spread? (i.e. =(42*'XRB X0'-'CL X0')) or just subtract the two?
@grg: What do you mean by "Dec/Dec"? Are you referring to the dec gas/crude spread or the dec WTI/Brent? (Or something else?)
Quote from drm7:
Basic question. I'm playing around with the spread charting function in futuresource, and I am wondering how you adjust the math for contracts with different bases (e.g. RBOB gas is cents per gallon while crude is $ per barrel).
Do I multiply gas by 42 to "even out" the spread? (i.e. =(42*'XRB X0'-'CL X0')) or just subtract the two?
@grg: What do you mean by "Dec/Dec"? Are you referring to the dec gas/crude spread or the dec WTI/Brent? (Or something else?)
That's a RBOB Crack spread. Right Now the Oct WTI is trading at $73,65 per barrel
If The October Gasoline is trading at $1.9192 per gallon, you multiplied 1.9192 x 42 gallons (42 gallons equal 1 Barrel)= $80.60 per barrel of Gasoline
80,60-73.65 = $6.95
PD: He's talking about the WTI 2010 DEC contract vs the 2011 DEC contract.
I have a few questions about those charts: the data of the exchange-traded spreads only contains trades that got sent to the exchange via the spread symbol, but no trades from the 2 components, right?
If you compare a chart of an exchange-traded spread with a chart of a user-defind spread in esignal they are not really the same. I guess its because esignal just subtracts the olhc values of the chart, but thats inaccurate because the high or low of symbol a was probably established at a different point in time (intrabar) than than the high/low of symbol b. Open/close should be acurate because they are fixed in time. Whats the best way to get accurate ohlc charts of these things?
If you compare a chart of an exchange-traded spread with a chart of a user-defind spread in esignal they are not really the same. I guess its because esignal just subtracts the olhc values of the chart, but thats inaccurate because the high or low of symbol a was probably established at a different point in time (intrabar) than than the high/low of symbol b. Open/close should be acurate because they are fixed in time. Whats the best way to get accurate ohlc charts of these things?
I know about the user defined spread functionality. What i mean is when i make i.e. a 240 minute chart of a calendar spread, the highs and lows of this chart wont be acurate using the user-defined spread, since esignal will just subtract the 2 individual time-series. Is that not a problem?