Gary (IB Rep UK)
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jmreeve,
Are you using an API connection? Butterflys are not accessible from the API. Only directly from the TWS.
Are you using an API connection? Butterflys are not accessible from the API. Only directly from the TWS.
Gary (IB Rep UK)
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Thirteen,
There are more than 2 people on the help desk. If you are getting frequently disconnected. There are no IB network connectivity problems at the moment, the problem probably lies with your ISP. Please call 00800 42 276 537 (toll free) for technical assistance.
There are more than 2 people on the help desk. If you are getting frequently disconnected. There are no IB network connectivity problems at the moment, the problem probably lies with your ISP. Please call 00800 42 276 537 (toll free) for technical assistance.
jmreeve
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Gary-
I was entering the spread in TWS.
However, I have another app that connects to the API that has nothing to do with spreads and this reported a TWS disconnected from IB error message.
Are you sure that you cannot use butterflys from the API?
Combination orders are supported by the API and the methods to add individual legs are available.
I was entering the spread in TWS.
However, I have another app that connects to the API that has nothing to do with spreads and this reported a TWS disconnected from IB error message.
Are you sure that you cannot use butterflys from the API?
Combination orders are supported by the API and the methods to add individual legs are available.
Gary (IB Rep UK)
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jmreeve,
What combo are you trying to list?
What combo are you trying to list?
jmreeve
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For short sterling:
buy 1 Dec04
sell 2 Jun05
buy 1 Dec05
I wasn't going to trade this, I just wanted to see if the system would accept it.
Would appreciate if you could confirm if the API is capable of supporting this type of order via the API combo methods as I may with to use this facility.
buy 1 Dec04
sell 2 Jun05
buy 1 Dec05
I wasn't going to trade this, I just wanted to see if the system would accept it.
Would appreciate if you could confirm if the API is capable of supporting this type of order via the API combo methods as I may with to use this facility.
Gary (IB Rep UK)
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jmreeve,
I can list this on the TWS, I get an implied price of 3 bid at 9. I will check the API functionality.
I can list this on the TWS, I get an implied price of 3 bid at 9. I will check the API functionality.
Trader 333:
I agree with JonnyT, I have found TWS to be very reliable and maybe it is to do with the intersteller interference between Earth and your quoted location of Mars ?
One of the funniest posts to date! lol.
I do have a question about flys and condors:
I'm familiar with the idea of turning a losing cal spread into a break even trade by turning the cal into a fly or condor and then legging out of the position. However, the more legs I add to a Eurodollar (or any spread trade) the more I'm going to be in the hole? (surely)
If I have 4 legs on, then I'm going to be 4 ticks back (MINIMUM) due to the bid-offer difference. when I take my commissions into account (I'm looking to hold for 2 weeks minimum) I guess this strategy wont be so advantageous due to my higher costs due to less buisness for the broker??? Then I may have a few ticks slippage....
Ok, I guess the answer is going to be 'well you only take this tactic under the right circumstances, not as a general rule to applied at all unprofitable positions', but I thought I'd ask.
Do any of you guys trade spreads over the longer term, or just on an intraday basis???
I agree with JonnyT, I have found TWS to be very reliable and maybe it is to do with the intersteller interference between Earth and your quoted location of Mars ?
One of the funniest posts to date! lol.
I do have a question about flys and condors:
I'm familiar with the idea of turning a losing cal spread into a break even trade by turning the cal into a fly or condor and then legging out of the position. However, the more legs I add to a Eurodollar (or any spread trade) the more I'm going to be in the hole? (surely)
If I have 4 legs on, then I'm going to be 4 ticks back (MINIMUM) due to the bid-offer difference. when I take my commissions into account (I'm looking to hold for 2 weeks minimum) I guess this strategy wont be so advantageous due to my higher costs due to less buisness for the broker??? Then I may have a few ticks slippage....
Ok, I guess the answer is going to be 'well you only take this tactic under the right circumstances, not as a general rule to applied at all unprofitable positions', but I thought I'd ask.
Do any of you guys trade spreads over the longer term, or just on an intraday basis???
TWI
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J,
Ultimately if you are looking at tick data you are right about the spreads as they are quoted as a seperate product. Liffe will supply data for a fee. When it comes to intraday it is very important to look at volume at a particular level. For example right now in Euribor Z/H5 you have 16.5 at 17 with 4500 on bid and 225 on offer. Although 17 will likely trade out it doesn't stop orders coming through at 17 due sell orders "at market". Therefore you have to be careful when trying to test a system on this data, many traded prices will not be tradable unless they have traded completely out, best to always go with minimum volume price as tradable price.
Personally I chart daily closes for overview of where market is heading but keep hourly DDE updates of lowest volume price on bid/offer to spreadsheet DB for running my trading model.
Ultimately if you are looking at tick data you are right about the spreads as they are quoted as a seperate product. Liffe will supply data for a fee. When it comes to intraday it is very important to look at volume at a particular level. For example right now in Euribor Z/H5 you have 16.5 at 17 with 4500 on bid and 225 on offer. Although 17 will likely trade out it doesn't stop orders coming through at 17 due sell orders "at market". Therefore you have to be careful when trying to test a system on this data, many traded prices will not be tradable unless they have traded completely out, best to always go with minimum volume price as tradable price.
Personally I chart daily closes for overview of where market is heading but keep hourly DDE updates of lowest volume price on bid/offer to spreadsheet DB for running my trading model.
jmreeve
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twalker-
The bid-ask spread on the quoted spread often seems wider than you would predict from the legs.
for instance looking at euribor jun04 - jun05
I have 500 - 535.
Working out the spread from the legs should give me 525 - 535
If the tighter spread is available in the underlying legs why doesn't this reflect in the quoted spread price?
The bid-ask spread on the quoted spread often seems wider than you would predict from the legs.
for instance looking at euribor jun04 - jun05
I have 500 - 535.
Working out the spread from the legs should give me 525 - 535
If the tighter spread is available in the underlying legs why doesn't this reflect in the quoted spread price?
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TWI
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You have to look at the price in three ways
1. The spread price, where people have sprecific spread orders working this is the wider one in the cal you are looking at
2. The outright product which is simply one outright +/- the other
3. the Price implied from other spreads and outrights in combination
There is a forth which is the implied price from other implied prices and other spreads and outrights.
Ultimately systems work this out for you and just give you best price but fortunately different colours allow you to determine if it is real or implied.
If you get Liffe spread data it will only give you the first. You need best price data really and not sure where you get that from so outright spread may be best.
1. The spread price, where people have sprecific spread orders working this is the wider one in the cal you are looking at
2. The outright product which is simply one outright +/- the other
3. the Price implied from other spreads and outrights in combination
There is a forth which is the implied price from other implied prices and other spreads and outrights.
Ultimately systems work this out for you and just give you best price but fortunately different colours allow you to determine if it is real or implied.
If you get Liffe spread data it will only give you the first. You need best price data really and not sure where you get that from so outright spread may be best.
JM - I'm only investigating at the mo' (or should that read procrastinating??!!)
So, I'm using free java charts on the web
(www.tradesignals.com).
When I get my act together, I will either go for barcharts.com, nextrend.com. Depends on whether I get my data from my broker or other source.
I'm not looking to trade the spread intraday though. I'm thinking of entering and closing at either the open or with moc orders (market on close). Any experience of which is best would be appreciated from any one with experience....
So, I'm using free java charts on the web
(www.tradesignals.com).
When I get my act together, I will either go for barcharts.com, nextrend.com. Depends on whether I get my data from my broker or other source.
I'm not looking to trade the spread intraday though. I'm thinking of entering and closing at either the open or with moc orders (market on close). Any experience of which is best would be appreciated from any one with experience....
...currently, that charting package is showing an interesting set up, looking at the EDm4-edm5 spread - a sanity check from you guys would help.
Fundamental points: I have read recently a few articles that suggest a change in Fed interest rate policydue to the trouble they are in and the Japs battering of the $. Wont go into that here...
Technical reason: The spread seems to have been moving through a range since March (5th). Bollinger bands show a low at the start of the range outside the BB, with a lower low inside. This is backed by momentum indicators showing a bullish divergence. This with the BB is a reliable tech set up (imo).
So - I'd bid the spread if it breaks out of the range at 1.12 with a moc order. I guess the 1.12 on the chart is the differential/spread. I'd look to hold until a correction low of the spread was violated suggesting a change in the trend?
What do you guys think?
A/ Give it up BBB, and check yourself in at the salad bowl
B/ I think you've got some more learning to do.
C/ Could work, but not with my money mate!
D/ Excellent BBB. They don't call you 'razor' for nothing do they!
E/ Hand this guy a Nobel prize someone - he's gunna cure the world of all debt problems! (If I donate my takings to charity - which of course begins at home!!)
Fundamental points: I have read recently a few articles that suggest a change in Fed interest rate policydue to the trouble they are in and the Japs battering of the $. Wont go into that here...
Technical reason: The spread seems to have been moving through a range since March (5th). Bollinger bands show a low at the start of the range outside the BB, with a lower low inside. This is backed by momentum indicators showing a bullish divergence. This with the BB is a reliable tech set up (imo).
So - I'd bid the spread if it breaks out of the range at 1.12 with a moc order. I guess the 1.12 on the chart is the differential/spread. I'd look to hold until a correction low of the spread was violated suggesting a change in the trend?
What do you guys think?
A/ Give it up BBB, and check yourself in at the salad bowl
B/ I think you've got some more learning to do.
C/ Could work, but not with my money mate!
D/ Excellent BBB. They don't call you 'razor' for nothing do they!
E/ Hand this guy a Nobel prize someone - he's gunna cure the world of all debt problems! (If I donate my takings to charity - which of course begins at home!!)
jmreeve
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twalker-
think its the idea of implied spreads that is giving me the problem.
So if I understand this correctly,
the prices I can see for spreads are the bids/offers for just the spread orders. However at the same time there is an implied price made by the individual contracts.
All the contracts for one future are matched by a single electronic matching engine. So in the case above, If I had put in a offer at 525 in the spread market, the exchange would have been able to match this immediately against the individual legs where an implied bid of 525 was available.
Hence, the actual best bid or offer at any point in time is not very transparent.
Is this how it works or am I getting this totally wrong?
What system are you using that calculates the best prices?
When you talked about volume do you mean volume in the spreads or volume in the legs? Do LIFFE provide data for spread volume?
I have all the quotes for the straight contracts so I can calculate mid price data for a spread based on these. This will probably be good enough as I am looking longer term so small pricing errors will not have a big impact on results.
Is the idea of continous contracts valid for STIR spreads?
think its the idea of implied spreads that is giving me the problem.
So if I understand this correctly,
the prices I can see for spreads are the bids/offers for just the spread orders. However at the same time there is an implied price made by the individual contracts.
All the contracts for one future are matched by a single electronic matching engine. So in the case above, If I had put in a offer at 525 in the spread market, the exchange would have been able to match this immediately against the individual legs where an implied bid of 525 was available.
Hence, the actual best bid or offer at any point in time is not very transparent.
Is this how it works or am I getting this totally wrong?
What system are you using that calculates the best prices?
When you talked about volume do you mean volume in the spreads or volume in the legs? Do LIFFE provide data for spread volume?
I have all the quotes for the straight contracts so I can calculate mid price data for a spread based on these. This will probably be good enough as I am looking longer term so small pricing errors will not have a big impact on results.
Is the idea of continous contracts valid for STIR spreads?
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....building on JM's questions, does anyone have experience of EAGLE on GLOBEX?
What are the implications of the pro-rata algorythms used to fill STIR contracts? Do you get half fills often (i.e. am I better sticking to FIFO matched markets?)
Are Twalkers 3 prices a function of the front end (TT?) or is this actual Connect output (the spontaneous implied price from the outrights), if so, would there be arb opportunities in taking the spread price and making a profit by legging out in the outrights? I guess this would only be for the 20 cans of red bull a day trader!
Anyway, no Harry Hindsight here my friends - any of you guys spot my ED M4-M5 'paper trade' take off??(score me an E
) Shame my immature 'system'/idea wouldn't have got me in as I plan to use moc orders (too late for this move?), as I wouldn't of had confirmation at the open when the opportunity was spotted....
What are the implications of the pro-rata algorythms used to fill STIR contracts? Do you get half fills often (i.e. am I better sticking to FIFO matched markets?)
Are Twalkers 3 prices a function of the front end (TT?) or is this actual Connect output (the spontaneous implied price from the outrights), if so, would there be arb opportunities in taking the spread price and making a profit by legging out in the outrights? I guess this would only be for the 20 cans of red bull a day trader!
Anyway, no Harry Hindsight here my friends - any of you guys spot my ED M4-M5 'paper trade' take off??(score me an E
) Shame my immature 'system'/idea wouldn't have got me in as I plan to use moc orders (too late for this move?), as I wouldn't of had confirmation at the open when the opportunity was spotted....
