Using IB's generic combo function, I created a spread quote for (NQ - ES). NQ's price is currently 3925 and ES is 1920. The spread price IB displays is -877. I know the multipliers are 50 and 20 for ES and NQ, respectively, but I still can't figure out how it gets -877 as the spread price. Any insights appreciated!
I called IB with my question. The first customer service rep I spoke to did not know the answer, so he escalated me to the Trade Desk. The Trade Desk was initially stumped, too (which was satisfying to me that it wasn't a dumb question). After waiting on hold a few minutes while they tried to figure it out, they came back with the answer: When the spread is initially setup (in my case, using the Generic Combo Leg-by-Leg screen), the system assigns a multipler to the spread (the composite of all the legs). You have to take note of that multiplier value in the Contract Description window that is displayed upon creation of the combo since it does not appear anywhere else that I could find once you close that window and move on to the quote screen. Depending on the spread you define, there may also be a Price Increment shown for the spread which may be worth noting, too, although not required to calculate the spread price. To calculate the spread price, compute the notional value of each leg (contract price x contract multiplier), then take the difference of the notional values as defined by the spread, and finally divide by the spread multiplier. Using the figures in my previous post: IB spread price = [ (3925 x 20) - (1920 x 50) ] / x where x is the spread multiplier, in this case, 20. IB spread price = [ 78500 - 96000 ] / 20 IB spread price = -875 or approx -877
Update: I just discovered that you can see the multiplier by right-clicking on the quote line (NOT the order line) and selecting Contract Info/Description.