Quotes from my new CTA client: Regarding the massive amount of files and materials delivered: "Man you were not joking Pete" On the quality of the materials: "thank you- seriously Pete, I am impressed"
Just to make known a point from a PM, I have several clients using the CTS4 execution platform. With the proliferation of the exchange supported spread, probably the best use for an "Auto Spreader" type functionality in terms of futures would be for higher frequency inter market spreads.
Some charting platforms have much more capability than others to utilize exchange supported spread expressions. If you are or want to spread trade futures, you should absolutely be using the exchange spreads if you can.
One of the great things about exchange spreads is that they use a singular order book ticket, and they will accommodate any type of order that the flat price futures product will ( MOO, MOC, OCO, limit, etc. ).
To get a sense of the substantial margin credits a trader gets for spread positions, take a look at the intra and inter tabs for CME performance Bond / Margins. http://www.cmegroup.com/clearing/margins/intras.html#e=all&a=all&p=all
On Open Interest: the CME site is easy. ICE and Eurex it is very difficult to hunt and peck through their site to find open interest. One alternative is to find out if your charting platform publishes OI. Much easier and faster.
I have blocked out most of the day tomorrow to transfer to my new client the necessary materials and files. It typically takes a client about four weeks ( or longer ) to get through it all first pass. I use both the clients email and a secure remote drop box to transfer files.
When new clients build out their charting platform pages, they notice that some spread combinations in the same product suite - most notably calendar spread pairs, will have a curve shape that looks almost identical. I typically weed out most of those to just include the pairs that are furthest out in the curve and have the most open interest. I personally don't like calendar spread pairs that include the prompt months, because I find them to typically be very delta directional with the flat price outright product ( which we want to avoid ). Also, spread combinations utilizing the prompt months are subject to roll risks that are very difficult to model and account with the notable exception of the ETF and "Goldman" roll.
The other day I learned that ICE offers options on KC spreads - meaning the underlying is the spread itself (2 different ones). Nothing mind blowing about that but it does seem like a funny derivative rabbit hole to me - its like a derivative on a derivative of which you can then take to another level with option spreads. Anyway, does CME offer similar products?