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»Forums Index »Product Support »ProphetX Support »Bar Charting Spreads
Author Topic: Bar Charting Spreads (11 messages, Page 1 of 1)

RHBailin
-Interested User-
Posts: 44
Joined: Oct 3, 2005


Posted: Mar 1, 2006 12:09 PM          Msg. 1 of 11
This is an old bugga-boo for me. Apparently, the system does not handle spreads like other data streams.

At the CME (and other exchanges) spreads are quoted out like other symbols. Spreads that are executed in the Pit need to be charted as calculated quotes because 1) the traders do not report them every time they trade them and 2) they do not trade often and therefore will change based on the component legs of the spread but not have a spread quote provided.

IN the EuroDollars your system 1) refuses to show a Bar chart on a calculated spread, it switches to line chart, and 2) give any kind of useful chart for exchange quoted and implied spreads traded on GLOBEX.

mbrowne
-Interested User-
Posts: 4
Joined: Oct 10, 2005


Posted: Mar 1, 2006 01:14 PM          Msg. 2 of 11
Traded spreads are processed just like any other data from the exchanges. They are not synthesized if there are no qutoes or trades. For calculated spreads, use our new Synthetic module. Open the docking pane on the left hand side of the app, go to Studies (the F(x) tab) and right click on Synthetic to create a new Synthetic Spread. Enter your spread formula in this dialog box by entering symbols and weights, then give the Synthetic a name. Now, this sythetic symbol can be used in many displays within ProphetX simply by typing :name (a coln followed by the name you used), or by dragging it from the list of Synthetics in the chosen display. By using this synthetic dialog, you wil see that you can now utilize bar charts, candlesticks, or even Market Profile with synthetic/calculated spreads. You will also get a High and Low in the quote sheet as well as Previous Close and Change. This is a very powerful new tool in Version 3.0

RHBailin
-Interested User-
Posts: 44
Joined: Oct 3, 2005


Posted: Mar 3, 2006 08:49 AM          Msg. 3 of 11
I'm sure this is simpler than my lack of results are indicating.
I got to the 'Synthetic Symbols' dialog box fine.
On the first line below the colume headed 'Symbol' I typed '@edu6-@edh7' and left the weight at '1' since the instructions in the manual read "In the second line type the next base symbol or formula."
I gave it a name beginning with ':'
I Clicked 'OK'
I got an 'Error Spread Creation' msg "Spreads must have two or more symbols."

Either the feature does not work or your instructions are not explicit enough for my level of understanding.

mbrowne
-Interested User-
Posts: 4
Joined: Oct 10, 2005


Posted: Mar 3, 2006 08:56 AM          Msg. 4 of 11
Mr Bailin, you're close: Use @edu6 Weight 1 and @edh7 Weight -1 and this should do the trick. Each symbol gets entered on a seperate line with the appropriate weight.

RHBailin
-Interested User-
Posts: 44
Joined: Oct 3, 2005


Posted: Mar 3, 2006 10:36 AM          Msg. 5 of 11
I put

@edm6 - 1.00 on the first line
@edu6 - -1.00 on the second line

Named it ':Edspr1'

I hit 'OK'

The 'Syntetic Symbols' dialog box dissappeared. Notheing else happened. No listing of ':EDspr1' anywhere. Not in the Quote Sheet not in the Studies area.
This is not self evidently easy.

margep
-DTN Evangelist-
Posts: 119
Joined: Sep 13, 2005


Posted: Mar 3, 2006 11:52 AM          Msg. 6 of 11
I can see how the documentation might be confusing as rather than showing a simple spread we got into how to more complex spreads. I'll get that fixed.
On the first line all you do is enter the first symbol and select a weight , no minus sign
On the second line, type the second symbol and now type the - sign and the weight.
@edm6 1
@edu6 -1

Name it Edspr1 without the colon

Then, when you type it on the quote sheet, type :Edspr1

Try it again and let us know....thks

RHBailin
-Interested User-
Posts: 44
Joined: Oct 3, 2005


Posted: Mar 3, 2006 01:46 PM          Msg. 7 of 11
EUREKA

There remain several problems, either perceived on my part or real, with how you handle spreads in the EuroDollars at the CME.

1) I posted up the EDM6-EDU6 using your synthetic module. I have quotes that appears correct AND I have a bar chart. The high and low quoted on the Quote Sheet DO NOT agree with the high and low indicated on the bar chart.

The QS shows range as H=0.0825 L=0.0525
The Chart shows it to be H=0.0800 L=0.0600

If both do not agree then I can not trust either.

2) I know that GLOBEX supports an extensive list of quoted spreads and more complex strategies such as butterflys and others.
My understanding is that in order to access the exchange quoted simple June /Sept sprerad in the EuroDollars I need to type '@EDM6@EDU6' for which I get an apparently correct quote and high and low but the chart will not come up.

3) I am concerned that you may not be properly accessing the full set of CME/GLOBEX supported symbols for the spreads. There is a reference file which obviously changes fairly often as the front months mature. They suggest if you feel this is a problem that you call GLOBEX Control at 312)456-2391 and they will put your tech people in touch with two groups (called C-Set and GSA) who will verify that your system is accurately accessing the symbol directory file correctly.

margep
-DTN Evangelist-
Posts: 119
Joined: Sep 13, 2005


Posted: Mar 3, 2006 02:22 PM          Msg. 8 of 11
Please call me at the 800 support number....I'd like to discuss this in detail - thks

RHBailin
-Interested User-
Posts: 44
Joined: Oct 3, 2005


Posted: Mar 23, 2006 11:15 AM          Msg. 9 of 11
Do you have some further resolution of the CME supported ED spread situation situation. I had the flu so I am not completely clear on whether you wanted more feedback from me on this. If my membry serves, the way we left it was that 3.0 was not accessing the info properly. Do we need to communicate further on this?

There are continuing discrepencies in the quote sheet data and the charts. There is also a problem with the scaling .

The system seems not to recognize that the EDs trade in half and, for front month contracts, quarter point ticks. On the charts the scaling labels seem to be random, selected only as to overall fit but disregard the particular pricing of the subject data.

In the quote sheet the Synthetic Spread edu6 - edm6 is giving me 0.0247 to 0.0653 as a range.

The Cursor in the chart shows 0.0314 to 0.0546.

The two not only do not agree but both cannot be accurate because the legs of the spread trade in half or quarter point increments and therefore all spread quotes, including highs and lows must be integral (X) multiples of 1/4 points or X*(.025)

I oppologise if this is redundant with my last post about this. If this is a major problem that you cannot deal with immediately I will drop it. I am just not certain how we left it last time.

margep
-DTN Evangelist-
Posts: 119
Joined: Sep 13, 2005


Posted: Mar 23, 2006 12:57 PM          Msg. 10 of 11
No resolution at this time - it's in the queue and will be evaluated for a future release. I need to research the synthetics again as I've been out of office quite a bit and need to get back to it.
Thanks.
 

 

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