SmartQuant Discussion

[yap]

I am trying to get this to work using IB.

Contract details I am using are (taken from the contract info description page in IB)

Underlying CL
Security Type Calendar Spread
Contract - (1)CLH9 + (1)CLK9
Exchange NYMEX
Currency USD

I have tried using
- (1)CLH9 + (1)CLK9
as the symbol, and many variations of it without success.

Could it be OQ does not have the security type : Calendar Spread ?
Is multileg only for TT ?

[Alexei Kurov]

Hi,

MultiLeg instrument type is only supported by TT API, because this plugin does not require an additional instrument settings such as legs to determine correct contract on TT side. IB needs to define instrument legs, but OQ instrument class does not have appropriate fields and methods for this purposes.

Regards,
Alex

[arktrader]

Any changes for support of multi-leg exchange traded contracts? I would like to use TT FIX or Pats. The problem with using XTAPI is that it requires a pro-license which is expensive and runs through the desktop trading system only. Also, clarification somewhere on your website would be useful. Just about any commodity contract has calendar spreads which are often more liquid than the underlying contract especially past two expirations. Not being able to trade these spreads with OQ is a shame.

[dbonneau]

Hi

I am trying to create spread price for 6E and ES using XTAPI.
Could you anyone know how to do that ?

I tried like follwing:

Symbol= 1x6E SEP10:-1xES SEP10
Type = MultiLeg
Exchange = TTSIM

But I don't get any price data..

Thanks

[Alexei Kurov]

Hi,

Could you tell me how this contract looks in XTrader?

Regards,
Alex

[dbonneau]

They look like this in MD Trader & Market Explorer of X_Trader. Thanks!

[Alexei Kurov]

There is no way to create 'spread price' instrument.
You need to define two different instruments - 6E and ES futures with Sep10 expiration, subscribe them to market data separately and manipulate by prices in any manner.