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The spreads I am working on are intra-commodity spreads, which means that I
will be buying a particular month and selling another. In regards to the
highs and lows of the day, they are usually created at around the same time,
although not at the very exact time as order flows are not 100% consistent;
a 10,000 lot buy order for a month does not always immediately result in
equivalent orders for the rest of the months in the series. It is the job of
the spreaders then to so-called arbitrage to make the spreads in line again
when the market is out of wack. Thus, u do get some intraday fluctuation and
on top of that, the arbitragers themselves can be wrong as well because fair
values are dynamic.
Therefore, it would be most helpful if we could chart the spread prices as
bar charts, with open, high, low and close. Could someone tell me if this is
possible with TS and be kind enough to enlighten me on the method?
Millions of tks
tsi
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