SeasonAlgo Forum

Dear Sirs,

I would like to create a chart of 2 futures with different value ( Soy Meal vs Bean Oil) .
Could you please let me know how is possible to create a chart were the value of the spread is in USD ?

One more question:
If I would like to create a spread of 2 contract for one leg and 1 contract for the other , how can I do it?

Tks for your patient

Ciccio 2012

Hi Ciccio

Enable "Inter" checkbox under spread definition in builder. Autocomplete will help you with spread. Or enter manually spread name for example SMZ13-BOF14. When value of both legs is different, spread is automatically equity spread (value in USD).

Just add number of contracts for example 2PLJ14-GCQ14. Autocomplete doesn't work in this case and you have to define spread manually.

Roman

Hi

By equity spread do you mean such a weighting of legs that one can take them as equal in value? E.g. Analyze\Builder\Definition entry is ADH15-SFH15 where AUD future contract has a multiplier 100,000 and CHF future contract has a multiplier 125,000. If the symbol "ADH15-SFH15" is an equity spread, does the search engine, in fact, looks for the combination 5*ADH15 minus 4*SFH15?
I have found only one reference to equity spread here http://www.seasonalgo.com/futures-spread-trading. Please explain.

Thank you. AndyXa

Hi AndyXa

If both legs have different point value, then spread is calculated as equity spread, each leg is multiplied by its point value. Spread is then quoted in dollars. Anywhere in our platform spread definitions are same. What you see is what you get ADH15-SFH15 is one contract of AD and one of SF. In Search, hedge ratio is 1:1 for all spreads except GC-2PL. Usually 1:1 hedge ratio is good enough. If you want to be more precise, you can move spread from Search to Analyze and adjust number of contracts e.g. 5ADH15-4SFH15.

You probably noticed Multi Analyze, it works little bit different and gives you more freedom in spread definition. Currently it's only for 3 and more legs spreads, but we will integrate it soon to the whole system. You can define conversion, so spread doesn't have to be calculated as equity, but you can use conversion factor to adjust legs. You can read help for Multi Analyze builder, it's explained there. With integration of multi legs spreads to Search, we will probably include more spreads with different hedge ratios.

Also on my roadmap is to add new tool to Analyze, which will include different methods to calculate better hedge ratios.

Roman