Software for charting spreads/ synthetics with more than 2 legs ?

C

CALLumbus

Hi all :-)

I like to chart some spreads I trade, for most of this Sierra chart works pretty good. However, it seems to me that Sierra is limited to spreads of only 2 instruments. So for example I can chart the Bund/Bobl spread, but I cannot chart the Bund/Bobl/Schatz fly :-///

I can do this in Interactive Brokers TWS charts, but it is really not nice and does not run very smooth (like most of the TWS :-P ) so I look for alternatives now...

Do you know a software that will allow me to chart spreads/ synthetics with more than 2 legs, for example Bund, Bobl, Schatz fly, or the Crack spread ?

Thank you !
 
CALLumbus said:
Hi all :)

I like to chart some spreads I trade, for most of this Sierra chart works pretty good. However, it seems to me that Sierra is limited to spreads of only 2 instruments. So for example I can chart the Bund/Bobl spread, but I cannot chart the Bund/Bobl/Schatz fly :-///

I can do this in Interactive Brokers TWS charts, but it is really not nice and does not run very smooth (like most of the TWS :p ) so I look for alternatives now...

Do you know a software that will allow me to chart spreads/ synthetics with more than 2 legs, for example Bund, Bobl, Schatz fly, or the Crack spread ?

Thank you !
More...

CQG does all of this.
 
AmiBroker does it also.

i.e. should be like this one I guess

Code: 
// IB symbol strings
BUNDstr = "FGBL Jun 15-DTB-FUT-EUR";
BOBLstr = "FGBM Jun 15-DTB-FUT-EUR";
SCHATZstr = "FGBS Jun 15-DTB-FUT-EUR";
//
myvar = Foreign( BUNDstr, "C", fixup = 1 ) /
        Foreign( BOBLstr, "C", fixup ) /
        Foreign( SCHATZstr, "C", fixup );
//
Plot( myvar, "Foreign Variable", colorRed, styleLine | styleDots, Null, Null, 0, 0, -20 );
//
 
Okay, so both IB and SC can do this - but they both have various annoyances. IB in that the way the charts are actually rendered I never know how much I can even trust their multi-leg chart calculations vs a simple calendar spread. SC in the pure tediousness needed to do anything outside the box. IMO, the dev team thinks it's perfectly reasonable to require any chart using a difference, ratio, or overlay study to require an entirely new chart just to provide input to said study (I think that's overly tedious and only valuable when doing really complex stuff).

Using -CLM5+2CLN5-1CLQ5 as an example:

To do it with IB you just use standard combos and for a butterfly I've always used the "pair or leg-by-leg" tab. I also made a "reverse calendar" chart using the leg-by-leg tab just to see it as a component chart here but technically neither of the front and back month spreads are needed just to chart a butterfly:

cl_fly_ib0.png


To do it with SC you use these steps:
  • Create a new chartbook just to keep it all in one place.
  • Create a new front-month chart (or dupe it from another chartbook into this new chartbook) - and then (unless it's an inter-commodity spread) disable continuous contracts on it (#1 aka CLM5).
  • Dupe that first chart and change the contract month to the middle month (#2 aka CLN5)
  • Dupe that first chart again and change the contract month to the far month (#3 aka CLQ5).
This is where it gets more complicated:
  • Take the middle month chart (#2 aka CLN5) and dupe it 2 more times until it's the 4th and 5th charts in the chartbook (which are now also CLN5 and CLN5).
  • On chart #4 (CLN5), use the difference (bar) study and use chart #3 (CLQ5) as the input to the study. Important: set the study to "display as main price graph". This results in one chart that is just CLN5-CLQ5:
cl_fly_sc1.png

  • On chart #5 (CLN5), use the difference (bar) study and use chart #1 (CLM5) as the input to the study. Important: set the study to "display as main price graph". This results in one chart that is just CLN5-CLM5.
  • On chart #5 (which is now CLN5-CLM5), add a overlay (bar) study and use chart #4 (CLN5-CLQ5) as the input and set region to 2. You now have the front and back spreads as region 1 and region 2. Note: Technically you don't need this overlay region as it's just a nice to have.
  • On chart #5, use another difference (bar) study and use chart #4 (CLN5-CLQ5) as the input to the study and make sure that the study setting "chart 2 multiplier" is set to -1. Set region to 3. This results in a region that is made up of this math (remember the study is using the main price graph [CLN5-CLM5] as the "chart 1" side):
(1 * (CLN5-CLM5)) - (-1 * (CLN5-CLQ5)) aka
(CLN5-CLM5) - (CLQ5-CLN5) aka
-CLM5+2CLN5-CLQ5​

cl_fly_sc0.png


You can now add bollinger bands or whatever else you want to each region in the chart.

BTW: if you screw up and set chart 2 multiplier to 1 (the default), you'll get this:

(1 * (CLN5-CLM5)) - (1 * (CLN5-CLQ5)) aka
(CLN5-CLM5) - (CLN5-CLQ5) aka
CLQ5-CLM5​

Which is Jun/Aug and not what you want. If you screw up and set chart 1 multiplier to -1, you'll get this:

(-1 * (CLN5-CLM5)) - (1 * (CLN5-CLQ5)) aka
(CLM5-CLN5) - (CLN5-CLQ5) aka
+CLM5-2CLN5+CLQ5​

Which is the inverse of what you want (or maybe it's what you want).

The spreads can be made further accurate by following these directions such that high/low differences are computed correctly intra-bar: http://www.sierrachart.com/index.php?page=doc/helpdetails61.html

I haven't setup a butterfly spread chart with those directions just due to the pure complexity but I might try just to see if it can be done.

Now you see why most people use X_Trader or CQG. The really annoying/lame part is that this is *not hard* stuff. There's literally no reason both SC and IB cannot graph spread charts at high accuracy so people can get their work done without so much hair pulling.
 
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I think this is right for a Schatz/Bobl/Bund fly of which a ratio of 4:3:1 seems to be used due to 8:3 GBS/GBM and 3:2 GBM/GBL. I don't trade this spread, but this is what I was able to come up with so someone correct any errors:

(+8GBS-3GBM)-(+3GBM-2GBL)
=> +8GBS-3GBM-3GBM+2GBL
=> +8GBS-6GBM+2GBL
=> +4GBS-3GBM+1GBL​
  • 3 charts total for GBL, GBM, GBS to give SC source charts for diff studies.
  • 4th chart based on GBM for (3GBM-2GBL) using diff study w/ chart 1 mult of 3 and chart 2 mult of 2:
3gbm_2gbl_sc1.png

  • 5th chart based on GBS for (8GBS-3GBM) using diff study w/ chart 1 mult of 8 and chart 2 mult of 3 plus 1 region for diff study w/ chart #5-#4 aka (8GBS-3GBM)-(3GBM-2GBL) => 4GBS-3GBM+1GBL:
4gbs_3gbm_1gbl_sc0.png
 
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