The good folks at the CME have pointed me to this link as a tool for calculating the above margin: http://www.cmegroup.com/clearing/margins/intras.html#e=CME&a=INTEREST+RATES&p=ED However, it is time consuming as there are many many pages to wade through. Anybody know of quick and dirty way to perform this calc? My broker IB is not much better set up to inform the trader before he puts on the trade, so any help etc etc ....
I just right click on the spread in IB and hit check margin... not to get off topic but do you know if IB handles stops for cme futures spreads such as the ED spreads? Thanks.
Thanks. I have tried that. And that wld be the most practical way of being informed as IB charges more then exchange min. for > U15. When I add combos in TWS and click 'Check Margin' it just returns 'No data available' regardless of whether I choose SMART/CME/Globex when setting up the combo or whether the market is open or not. You can only put Trailing Limit orders for combos with IB. I always leg into my spreads manually, so not a problem.
you can drill down by selecting CME, interest rate , eurodollar that leads to only 20 pages. page 3 shows regular calendar spreads as an example I copied a calendar spread shows as 101 A 09/2012, 06/2013 B 09/2013, 06/2014 A and B corresponds to short and long legs dates near them shows possible contracts for this spread whose margin is 608 usd initial, 450 usd maint
Thanks etemtezcan. Yes, I am aware you can wade through all those pages each time. I was looking for something more you can do on the fly. I called Clearing Risk Management at the Merc who admitted that is wasn't the most practical tool, and maybe they will add a page where traders can just enter the legs of the spread and get the margin.