Hi all I like to chart some spreads I trade, for most of this Sierra chart works pretty good. However, it seems to me that Sierra is limited to spreads of only 2 instruments. So for example I can chart the Bund/Bobl spread, but I cannot chart the Bund/Bobl/Schatz fly :-/// I can do this in Interactive Brokers TWS charts, but it is really not nice and does not run very smooth (like most of the TWS ) so I look for alternatives now... Do you know a software that will allow me to chart spreads/ synthetics with more than 2 legs, for example Bund, Bobl, Schatz fly, or the Crack spread ? Thank you !
AmiBroker does it also. i.e. should be like this one I guess Code: // IB symbol strings BUNDstr = "FGBL Jun 15-DTB-FUT-EUR"; BOBLstr = "FGBM Jun 15-DTB-FUT-EUR"; SCHATZstr = "FGBS Jun 15-DTB-FUT-EUR"; // myvar = Foreign( BUNDstr, "C", fixup = 1 ) / Foreign( BOBLstr, "C", fixup ) / Foreign( SCHATZstr, "C", fixup ); // Plot( myvar, "Foreign Variable", colorRed, styleLine | styleDots, Null, Null, 0, 0, -20 ); //
Okay, so both IB and SC can do this - but they both have various annoyances. IB in that the way the charts are actually rendered I never know how much I can even trust their multi-leg chart calculations vs a simple calendar spread. SC in the pure tediousness needed to do anything outside the box. IMO, the dev team thinks it's perfectly reasonable to require any chart using a difference, ratio, or overlay study to require an entirely new chart just to provide input to said study (I think that's overly tedious and only valuable when doing really complex stuff). Using -CLM5+2CLN5-1CLQ5 as an example: To do it with IB you just use standard combos and for a butterfly I've always used the "pair or leg-by-leg" tab. I also made a "reverse calendar" chart using the leg-by-leg tab just to see it as a component chart here but technically neither of the front and back month spreads are needed just to chart a butterfly: To do it with SC you use these steps: Create a new chartbook just to keep it all in one place. Create a new front-month chart (or dupe it from another chartbook into this new chartbook) - and then (unless it's an inter-commodity spread) disable continuous contracts on it (#1 aka CLM5). Dupe that first chart and change the contract month to the middle month (#2 aka CLN5) Dupe that first chart again and change the contract month to the far month (#3 aka CLQ5). This is where it gets more complicated: Take the middle month chart (#2 aka CLN5) and dupe it 2 more times until it's the 4th and 5th charts in the chartbook (which are now also CLN5 and CLN5). On chart #4 (CLN5), use the difference (bar) study and use chart #3 (CLQ5) as the input to the study. Important: set the study to "display as main price graph". This results in one chart that is just CLN5-CLQ5: On chart #5 (CLN5), use the difference (bar) study and use chart #1 (CLM5) as the input to the study. Important: set the study to "display as main price graph". This results in one chart that is just CLN5-CLM5. On chart #5 (which is now CLN5-CLM5), add a overlay (bar) study and use chart #4 (CLN5-CLQ5) as the input and set region to 2. You now have the front and back spreads as region 1 and region 2. Note: Technically you don't need this overlay region as it's just a nice to have. On chart #5, use another difference (bar) study and use chart #4 (CLN5-CLQ5) as the input to the study and make sure that the study setting "chart 2 multiplier" is set to -1. Set region to 3. This results in a region that is made up of this math (remember the study is using the main price graph [CLN5-CLM5] as the "chart 1" side): (1 * (CLN5-CLM5)) - (-1 * (CLN5-CLQ5)) aka (CLN5-CLM5) - (CLQ5-CLN5) aka -CLM5+2CLN5-CLQ5 You can now add bollinger bands or whatever else you want to each region in the chart. BTW: if you screw up and set chart 2 multiplier to 1 (the default), you'll get this: (1 * (CLN5-CLM5)) - (1 * (CLN5-CLQ5)) aka (CLN5-CLM5) - (CLN5-CLQ5) aka CLQ5-CLM5 Which is Jun/Aug and not what you want. If you screw up and set chart 1 multiplier to -1, you'll get this: (-1 * (CLN5-CLM5)) - (1 * (CLN5-CLQ5)) aka (CLM5-CLN5) - (CLN5-CLQ5) aka +CLM5-2CLN5+CLQ5 Which is the inverse of what you want (or maybe it's what you want). The spreads can be made further accurate by following these directions such that high/low differences are computed correctly intra-bar: http://www.sierrachart.com/index.php?page=doc/helpdetails61.html I haven't setup a butterfly spread chart with those directions just due to the pure complexity but I might try just to see if it can be done. Now you see why most people use X_Trader or CQG. The really annoying/lame part is that this is *not hard* stuff. There's literally no reason both SC and IB cannot graph spread charts at high accuracy so people can get their work done without so much hair pulling.
I think this is right for a Schatz/Bobl/Bund fly of which a ratio of 4:3:1 seems to be used due to 8:3 GBS/GBM and 3:2 GBM/GBL. I don't trade this spread, but this is what I was able to come up with so someone correct any errors: (+8GBS-3GBM)-(+3GBM-2GBL) => +8GBS-3GBM-3GBM+2GBL => +8GBS-6GBM+2GBL => +4GBS-3GBM+1GBL 3 charts total for GBL, GBM, GBS to give SC source charts for diff studies. 4th chart based on GBM for (3GBM-2GBL) using diff study w/ chart 1 mult of 3 and chart 2 mult of 2: 5th chart based on GBS for (8GBS-3GBM) using diff study w/ chart 1 mult of 8 and chart 2 mult of 3 plus 1 region for diff study w/ chart #5-#4 aka (8GBS-3GBM)-(3GBM-2GBL) => 4GBS-3GBM+1GBL:
No problem. BTW: It looks like they may have some more specific studies which might make this easier: http://www.sierrachart.com/index.php?page=doc/doc_TechnicalStudiesReference.html#s53 Also, the calc is off for a 4:3:1 ratio in the fly chart, the chart 1/2 calc settings for the bottom diff study should be 0.5 for both as it's computing the delta for a 8:6:2 ratio above.