Trading Exchange Based Spreads

Discussion in 'Automated Trading' started by garywernick, Mar 11, 2009.

  1. Hi

    I wish to start trading Interest Rate Futures on LIFFE including their exchange based calendar spreads:

    esignal ticker I M0:IU0-EIR
    Bloomberg Ticker ERM0U0

    I have looked at Ninja Trader, Pats IQ Trader, CQG, and Trading Bullet, but none of these cheaper automatic trading systems can deal in these exchange based spreads as they have two expiry dates.

    Can anybody suggest a cheaper alternative to Pats ProMark and TT Pro, as which can both do the job but cost £1000per month (but don't even give charts or back-testing for this money). Basically the opportunities that I have spotted come along fairly infrequently and so I don't want to be paying large sums for a trading system when it's not trading.

    As a bare minimum, all I want is something which can link to a PATS FIX interface (my broker GNI wants £1000per month to connect to their TT API, is there a broker which doesn't charge this much, esp as the PATS Fix API can't correctly handle the margin reqs for spreads), link to Excel (or similar) for the black box code, and keep a record of the deals executed.

    Nice to haves would be

    a) an autospreader (but not essential as I can code this up, [the exchange based spreads seem to have tighter bid-offer spreads than the outrights and g'tee that one won't be legged out])

    b) a simulation account

    c) historical back testing from flat files, (esignal doesn't do Tick data for LIFFE STIRs, just one minute interval)

    d) some pretty charts

    Any suggestions for a software package

  2. Gary, have you looked into OEC? They claim to offer exchange supported spreads (although I think you need to contact them to turn it on in demo) and offer access to LIFFE. I've been lookinh at their API over the last 2 weeks and its really not all that bad considering they're primarily known for their front end.
  3. Have contacted Open Quant who were very helpful but their system can't handle these spreads.

    Have downloaded the demo of OEC - and awaiting them to tell me whether or not they can handle these spreads.....


  4. zzt


    IB's trader workstation lets you trade excahnge listed calendars etc through the 'Spread Trader' feature. For some reason this doesn't include energy spreads on ICE...which is very lame imho.

    They do however support LIFFE exchange listed spreads. Am looking at listed spreads out to DEC09 as I write this
  5. zzt

    zzt can automate through their API if you can code
  6. You might also give NeoTicker a shot.
  7. OEC certainly appears to do what I want - and the price is right (it's free even if they charge me a little bit more on the commission they are quoting me USD 2 + exchange fees per side if I only make a small deposit). The only thing missing is an autospreader but I can code this in Excel if I need it.

    This is certainly a lot cheaper than the PATS / TT X Trader Pro options.

    I will look at Neo Ticker and IB TWS.

    This is a pretty nifty forum