Amibroker trading spreads ?

Discussion in 'Automated Trading' started by evogel, Apr 14, 2008.

  1. evogel


    Hello all !

    I'm a newbie to Amibroker, trying to implement simple automated trading system, so can anyone explain one thing about Amibroker and IB interoperability.

    IB can give quotes for spreads between futures, that trades as spread by itself. For instance CLK8 quote can be 100.5 bid, 99.5 ask, CLZ8 can be 98 bid 99 ask (very wide quotes), but spread that trades by itself can be 1.45 bid, 1.55 ask.

    I do not want to calculate spread as difference between futures price, I'd like to request it directly from IB. There should be another security type instead of 'FUT', I guess it is 'COMB' or 'BAG' for such tickers.
    I tried 'CLK8-CLZ8-NYMEX-BAG' and ' CLK8-CLZ8-NYMEX-COMB', but both do not work.

    Support service do not tell anything clear...

    May be there is another trading platform, that will allow to do that ? The only one possible solution at the moment is Excel with twsdde.xls, but this one is very error-prone. Any ideas ?

    Thanks in advance..
  2. FWIW: we did answer via support channel. TWS API does not provide historical data (backfill) on combos, and backfill is required to get any chart or run any strategy, therefore you need to calculate spread out of base instrument data using Foreign() function and/or GetRTDataForeign for Bid/Ask