Hello - just playing with Inter commodity spreads (TUT) in my TT Sim account - I understand the ICS prices are quoted as net change but what I don't understand is how does a trade take place when the price has not traded at that location in one of the legs. For ex: I bought the spread at -0.020 - which resulted in a long position at 107'268 in ZT and a short around 128'255 in ZN. I don't understand how the contract went short at 128'255 when the prices was trading at least 30 price levels above? who is taking the otherside of this position. I've read the https://www.cmegroup.com/trading/interest-rates/files/TreasurySwap_SpreadOverview.pdf a few times but it doesn't (or rather I can't seem to parse an explanation from it) address my question. I've attached some screenshot here:
I’ve been away from ET for several years but I have some time this next week to answer good questions. Your answer is that TT sim is wrong. This wouldn’t happen live. Sometimes you get an out of market price but there are banding rules on what the exchange will produce as the leg prices. More importantly, don’t worry about it. The leg prices are synthetically generated and will always match the ICS price correctly.
I did the same with the NOB in CQG Sim. On the DOM look like I got 1 tick profit but looked at P/L and showed both legs at loss...huh? Maybe I made some mistake so will try this again and try to post with pics
I read this a few times but still a bit lost - https://quantitativebrokers.com/wp-content/uploads/2017/05/intercommodity.pdf. If there's anyone who trades ICS in live account - maybe they can shed some light on the exact workings,