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Plot1(h of data2 - h of data3,"PBHigh");
Plot2(l of data2 - l of data3,"PBLow");
The above paintbar, set to update every tick, might
help. I haven't checked it out: use at your own
risk. Obviously, you need data2 and 3 or whatever
in the proper places in charting.
BTW, which futures markets are you trading with
10,000 lot orders?
BW
>From: "Tanoto Sau Ian" <sitanoto@xxxxxxxxxxxxxx>
>To: "List, Omega" <omega-list@xxxxxxxxxx>
>Subject: Re: Regarding Spreads
>Date: Mon, 4 Feb 2002 22:51:18 +0800
>
>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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