SpreadTrader for futures on TWS

OK, thanks.

I can't figure how the exchange manages 2 different levels( spread and outright ) of limit orders in a single book. To me, if spread limits are filled on outrights orders, the trades are not "simultaned"( sorry, english is not my mother tongue ).

The exchange has to wait for the most unlikely leg to get filled and then fill the other if it is the case.
 
For the spread to be filled it has to be match for 2 of its legs on the exchange at the same time. The spread on the exchange is executed as one transaction even if 2 outright trades are involved. The spread can be filled partially if there is not enough quantity to match.
 
Last question about spread/combo trader on TWS :

Can you setup intercommodity/ interexchange spread limit orders? Perhaps with combo trader?

Thanks.
 
Quote from cmaxb:

This is my question, too. Also, how do you calculate the "tick" value for the intermarket.
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I can answer now for the first question. No, you cannot enter synthetic intercommodity spread.

I don't understand the second question.
 
I thought you could do something like, long NQ, short ES, same calendar month. I'm a spread noob, but how is the value of one icrement in price in a spread like that?
 
Yes, you can do it but you have to enter 2 positions on each leg and not one synthetic spread, so the spread legs are not entered exactly at the same time ...

There is no "value of the tick" as ES and NQ have different tick values, they don't move "in unisson"( I don't know if it's english ... ) .

Typically, ES moves more( in $ value ) than NQ. So for a 2 tick( 25 $ ) upmove in ES you'll have a 2-3 tick move in NQ at the same time( 10-15$ ). If you're long ES-short NQ, you'll make 10-15$, if you're short you'll lose the same amount.
 
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