Wondering if anyone can steer me into the right direction. I'm a current Esignal user. It does the trick for the most part but I need a charting package that can chart spreads more accurately.
Esignal uses only the open and close of the underlying symbols to calculate the spread and populate a chart. Without getting too involved in the technical elements of charting a spread price, what this means is that while you get an idea of where a spread traded, the candles plotted are very inaccurate. This applies to 1-min all the way to daily/weekly, but longer the time frame, the less accurate the chart. This is because esignal use the opening price of each underlying to calculate the spread and open the candle (at the selected interval) and the closing price of each underlying calculation to close the candle thus ignoring all the prices the spread traded in between the open and the close. For other technical reasons, such as a late stock opening by the NYSE specialist, this can mean that what should be a green/up candle, is actually plotted as a red/down candle and visa versa. Obviously this is very frustrating for backtesting and many other reasons.
There are several ways to plot a spread accurately. I think CQG is probably the best. They take the 1 min open and close data of each underlying symbol and extrapolate that do determine how each time frame is plotted. The most accurate would obviously be tick by tick calculation, but there are computing/bandwidth issues to contend with. The next best would probably be a 1-min vwap or 1-min pivot (HLC/3) of each underlying symbol and use that to plot the spread.
So far I have used, esignal, dtn prophet x, and ensign.
Esignal: Great fast data, pulls and calculates the historical data quickly, but inaccurately.
Prophet X: Great for commodities spreads, but the "synthetic spreads" use some funny math to simulate the wicks of the candles and equity pairs/spreads end up being inaccurate.
Ensign: Awesome and versatile package. "synthetic spreads" are calculated tick by tick and are 100% accurate but there is no way to get this on a historical basis. Spread overlays are not helpful because they plot the first symbol of the underlying in the y-axis and not the spread price.
I think that linnsoft does a good job as well, but their GUI is a little frustrating (same goes for ensign). Data vendors and charges are also a consideration so I am less inclined to use CQG (because I will have to pay professional data fees).
If any spread traders out there would like to weigh in it would be greatly appreciated.
Esignal uses only the open and close of the underlying symbols to calculate the spread and populate a chart. Without getting too involved in the technical elements of charting a spread price, what this means is that while you get an idea of where a spread traded, the candles plotted are very inaccurate. This applies to 1-min all the way to daily/weekly, but longer the time frame, the less accurate the chart. This is because esignal use the opening price of each underlying to calculate the spread and open the candle (at the selected interval) and the closing price of each underlying calculation to close the candle thus ignoring all the prices the spread traded in between the open and the close. For other technical reasons, such as a late stock opening by the NYSE specialist, this can mean that what should be a green/up candle, is actually plotted as a red/down candle and visa versa. Obviously this is very frustrating for backtesting and many other reasons.
There are several ways to plot a spread accurately. I think CQG is probably the best. They take the 1 min open and close data of each underlying symbol and extrapolate that do determine how each time frame is plotted. The most accurate would obviously be tick by tick calculation, but there are computing/bandwidth issues to contend with. The next best would probably be a 1-min vwap or 1-min pivot (HLC/3) of each underlying symbol and use that to plot the spread.
So far I have used, esignal, dtn prophet x, and ensign.
Esignal: Great fast data, pulls and calculates the historical data quickly, but inaccurately.
Prophet X: Great for commodities spreads, but the "synthetic spreads" use some funny math to simulate the wicks of the candles and equity pairs/spreads end up being inaccurate.
Ensign: Awesome and versatile package. "synthetic spreads" are calculated tick by tick and are 100% accurate but there is no way to get this on a historical basis. Spread overlays are not helpful because they plot the first symbol of the underlying in the y-axis and not the spread price.
I think that linnsoft does a good job as well, but their GUI is a little frustrating (same goes for ensign). Data vendors and charges are also a consideration so I am less inclined to use CQG (because I will have to pay professional data fees).
If any spread traders out there would like to weigh in it would be greatly appreciated.
