Calendar spreads on TWS API?

Discussion in 'Retail Brokers' started by TraDaToR, Nov 17, 2008.

  1. TraDaToR



    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.
  2. Tums


    what is real exchange calendar spread market?
  3. TraDaToR


    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.