exchange traded spreads?
- Thread starter ducatista
- Start date
are you 100% sure? becasue if you are then that means there is legging risk? I think IB does allow you to trade the native calendar spread !
I am with IB. IB lets you trade native spreads, but sadly doesn't display the native quotes. That means you are trading "blindly". At least that's the best I was able to do. I use equity index futures as an investment, and this results in a slight disadvantage and hassle for me if I try to avoid paying the bid/ask span of the calendar roll using limit orders.
The Depth of Market (IB calls it book trader I think) though is real native spread bid and ask! correct ?
I don't know because I never tried the book trader, but I doubt. Why would they display only the indicative quotes in the portfolio and other windows, when they have the depth of book of the spread in booktrader? Can you try out? I just use equity index futures and I'm not sure if there is any one to test before the September roll. If correct, the bid/ask span should be tighter than the sum of the bid/ask spans of the components.
That's possible. I remember when I used IB to trade calendars, they were displaying the real native spreads order book but only best bid and best offer. I was only talking about chart display, you can really place orders in the native book with IB( I still do sometimes but I don't subscribe to datas as I use TT for most of my trading ). TT, CQG, CTS and other professional grade standalone platforms display native spreads. I am sure some brokers in-house platforms do as well but I don' know which ones.
I just tried the IB book trader with the Sep/Dec ES calendar spread. It seems to show the exact same bid/ask quotes as in the Portfolio or Pending Orders windows, which are the synthetic bid/ask (the sum of the leg components). I don't use market data, but I would expect to see the delayed native quotes. I don't want to use market data for this, because the calendar spreads are usually very stable so market data wouldn't be worth it for me. There is a button "deep book - Globex" on the book trader window, but it doesn't work without market data; I'm not sure if it would show the "deep book" of the synthetic quotes or the native quotes. I just want to see the native (delayed) quotes so that I don't have to roll over my futures blindly. Can you guys please try, am I doing something wrong?
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That's what I do, but I pay the bid/ask span more often that way. The native spread quotes are not always exactly at the mid point of the synthetic bid/ask.