Listed spreads are native on CME, there are separate order books that have the same mechanics (order types, queue priority etc) as outright instruments. Same goes for the "relative products" such as BTIC, for example. Some instruments have an implied spread order system that will match outright futures into a spread if the resulting market is tighter than current spread-book and display it there (I believe WTI is like that, but I might be wrong). It's not a custom combination of securities and, because listed spreads usually have smaller tick size, the added value of the implied spread orders is limited. CME also has a combo system and an RFQ system that allows you to combine multiple securities into a custom order, that's much more like COB on the option exchanges. You can see all that on platforms like CME direct. It's worth learning more about these things for sure. Stuff like equity futures calendar spreads get a lot of liquidity when people are rolling and order books are quite thick. At other times, they could be pretty inefficient.
Thank you for volunteering all that insight, Same Lazy Element, I really appreciate it. One of the must burning questions that I have is, am I understanding it right that the native futures calendar spread order book is hidden? I am with Interactive Brokers, and the bid/ask for calendar spreads that I see are always equal to the respective bid/ask of the individual legs, but never tighter. This is for all equity index major futures markets that looked at (CME, Eurex, etc.) When I called IB, the trader tried to explain that the actual order book of the native spread is hidden, i.e. I have to *blindly* try to get filled with limit or market orders. Is that true, and do you have any specific insight on this?
I signed up to say that I just had the same discussion with IB helpdesk. Options and futures spreads/combos show bid/offer spread that is calculated by providing all the legs together. They claimed that if an order is placed, it will go to the combo order book where it can be executed by someone trading the combo directly even when the individual legs wouldn't have filled it, however one cannot see that book, and interact with it. This is quite disappointing. Surely there must be a way to access the actual RFQ system and the combo order books.
I have to correct my previous post. IB does show the native bid and ask of the futures calendar spreads, if you are subscribed to market data. If not subscribed, then it shows the delayed synthetic bid/ask, not the delayed native bid/ask as I would have expected. In charts of native calendar spreads, they paint the native bid/ask for the time period starting with the moment when you bring up (if "keep chart updated" is selected), but they paint the synthetic bid/ask for any time frame before the moment when you create the chart. Quite annoying. So it's impossible to see a longer bid/ask history of the native spread. Generally, IB has lots of trouble with futures spreads and options spreads, especially ICS spreads. ICS spreads for example are almost unusable.