Understanding IB Spread Charts

Discussion in 'Commodity Futures' started by Here2learn, Apr 21, 2012.

  1. I'm trying to increase my understanding of calendar spread charts in IB. Any info/suggestions are appreciated, but I have two main questions:

    When charting such as in the screenshot, the candlesticks show long tails on both ends... is price fluctiating and orders being filled at these levels such as in standard candlestick charts, or are the tails representative of something else?

    Also, the charting options give me the choice of bid/ask or midpoint which essentially show the same image. What is the difference?

    Thanks for the clarification. Image attached.
  2. They are what it says on the chart. The higher and lower end are the max ask and min bid, respectively. The middle thick bit is where the mid point had been. I usually just look at the middle bit as this is most likely what the fair value for the spread is.
  3. bone

    bone ET Sponsor

    I have posted your IB chart below as compared to the exchange supported spread:




    I do not have an IB account, and I am not sure if the IB market you are looking at is the actual exchange supported implied market data feed or some sort of IB derivation using TWS or whatever.
  4. just21


    IB do not list exchange traded spreads.
  5. bone

    bone ET Sponsor

    My clients who come to me clearing IB almost always have to switch clearing firms for that very reason.
  6. Bone, is that TT?
  7. bone

    bone ET Sponsor

    No, that is an eSignal chart of the exchange traded spread. CQG, Bloomberg, and I believe TradeStation ( and I am sure there are more data vendors ) all distribute the exchange traded spread data.

    In terms of execution platforms, I know from personal experience that TT and CTS and CQG-Net can pull up the exchange traded spread order tickets ( DOM window ). Again, I am sure there are likely other execution platforms for exchange spreads.
  8. bone

    bone ET Sponsor

    One of my clients informed me that TradeStation does NOT distribute exchange traded spread data.
  9. TraDaToR


    IB spread charts are useless. I think they derive a 5 min - Jun + Dec CL candlestick from Highest asks and lowest bids of outrghts during those 5 Minutes. For example, to compute the highest high of the spread bar, they use lowest bid of Jun expiry at , let's say, 15:02 and the highest ask of the december expiry at 15:04...It's not even simultaneous I think.

    If you filter those stupid highs and lows and just consider the body of the candlestick, you have Bone's eSignal datas inverted.
  10. Agreed about your take on their construction and imo it's worse than useless - it's misleading.
    #10     Apr 23, 2012