Calendar spreads on TWS API?

Hello,

I think I 've already posted this one time before, but does someone know if we can get futures calendar spreads quotes on TWS API( excel )?

I am talking about the real exchange calendar spread market and not the combination of expiry( like I think we get using "combo legs" to get quotes ).

Should someone from IB answer this?

Thanks a lot.

 

what is real exchange calendar spread market?

 

A calendar spread market with a distinct order book from the 2 outright expiry markets.

I believe that if you use Combo legs in TWS API to buy a spread, they give you the further expiry ask minus front month bid instead of the "real exchange calendat spread"( LOL ) ask.

Capiche?

 

Hi,

I realize this is an old thread but haven't found anything more recent on this. Does anyone know anything about this by any chance?
I am looking at trading and getting market data for calendar spreads through the TWS API.

Thanks

 

create a BAG instrument

Code:

    def createBag( conidOne,  conidTwo, symbol, exchange='NYMEX'):
        leg1 =  ComboLeg()
        leg2 =  ComboLeg()
        addAllLegs = []

        print "conid in bag %s" % (conidOne)
        leg1.m_conId = conidOne
        leg1.m_ratio = 1
        leg1.m_action = "BUY"
        leg1.m_exchange = exchange
        leg1.m_openClose = 0
        leg1.m_shortSaleSlot = 0
        leg1.m_designatedLocation = ""

        leg2.m_conId = conidTwo
        leg2.m_ratio = 1
        leg2.m_action = "SELL"
        leg2.m_exchange = exchange
        leg2.m_openClose = 0
        leg2.m_shortSaleSlot = 0
        leg2.m_designatedLocation = ""

        addAllLegs.append(leg1)
        addAllLegs.append(leg2)

        contract = Contract()
        contract.m_symbol = "USD"     # For combo order use ?USD? as the symbol value all the time
        contract.m_secType = "BAG"   # BAG is the security type for COMBO order
        contract.m_exchange = exchange
        contract.m_currency = "USD"
        contract.m_comboLegs = addAllLegs #including combo order in contract object
        contract.m_symbol = symbol
        return contract

 

Great thanks, will give this a try.
Do you know by any chance if it is possible to get market data for this also? I looked in the API and it seems that getting data for BAG is not supported?
Although I might be wrong...

 

I was definitely getting the native spread datas through the excel DDE API. It was really long to gather all the conid ids though...