I've been having an issue with TT Standard's simulator and the autospreader, where I would create a synthetic fly or double fly futures spread out of exchange traded calendars. All the calendars have decent liquidity in the back leg. Products include Eurodollars, CL and various other products. I have been trying various combinations and various futures products for the last Month or so and I can't get a fill in the legs. On the autospreader ladder and chart, it often shows that price has dropped and traded below my autospreader limit order. I don't know if I'm doing something wrong, or if the sim has limited functionality? I contacted Trading Technologies support and asked, and they responded with: "For EPIQ we try to mimic queue position as best we can in simulation, but is not as accurate as live." I've been trying to work out this whole issue for the last month or so, and I'm wondering if someone can explain what's really happening?
Next time it happens, right click and hold your bid or offer in the ladder and throw it up at market like 10 prices above. Tell me if it gets filled then. If it does, then it's something to do with the conditions for entry, or the sim itself. For example, when I'm doing the Bund v Buxl spread and I set my condition of the Buxl to only clip market if more than 10-lots appear, it's possible that 2 prices better will appear and I won't get filled simply because it's only a 6-lot inside market to hit. It's better than the price I want, but this is how it is if you want to get "safer fills".
Hi s0mmi Thank you for your help. As you suggested I set my bid on the autospreader ladder, then right clicked and pushed it into the offer, and it was filled immediately. It's only a 1 lot as I'm a noob backtesting some ideas, and trying to learn as fast as I can. Yes it does sound like it's either the Sim orderflow estimate for TT, or how I set up the synthetic spread. I've PM'd a screenshot of one of the times price went past the limit order on the autospreader ladder, and the setup for this synthetic double fly. The same thing is happening for all my double flys, so this is just one example. Maybe I'm doing something wrong, and you have an idea what's happening and how to fix it.
It can appear to trade below your price in autospreader. You have to understand what autospreader is really doing. It is working an order at a price that it knows it can get filled at. So if you are trying to buy, and the market trades on the bid of the first leg and the offer of the second the implied price could be at or below where you are working in the spread market. Since the autospreader can't expect to get filled on the offer of the second leg, it could be working a price below the best bid in the first leg. I hope this helps. Remember an autospreader ladder isn't a real ladder. You almost need to be buying the offer or selling the bid to get a fill.
Also the more legs you add, the harder it is to get filled and the more inaccurate the ladder will appear.
Do you mean for this double fly, the first leg gets filled at the limit order, and then the remaining 3 legs become market orders. Hence when you add it all together, 3/4 of the entry is a market order? ... I'll have to think about this. I've been looking at the individual ladders to see where price is trading. Sounds like I need to pay more attention to these individual ladders for each leg, looking reasons to trade each leg ...
Look at the prices that that are being quoted. A 4 legged spread is going to so far off of the market to be useless. Try running the spreader on the individual flys. Meaning buy one and sell the other.
Thanks. Ok I'll have a look at just having 2 legs. At the moment the legs are "exchange traded calendars", each with a spread one tick wide, so I guess the double fly starts off at 4 ticks wide when using the 4 legs.
If you do a double fly by spreads, it should only be 3 legs. Get to know the spreader using two legs before increasing complexity. I have found it pretty useless at greater than 2 legs.
Do you mean only leg inside to out? ... so limit order the body (treating it as one leg), and market the 2x wings? ... or fly and 2 calendars? I guess its the same thing. Thank you for pointing me in the right direction. I guess I should start with flys and condors before I look at more complicated spreads