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After watching this in real time it doesn't
seem to plot the way I thought it would:
I thought the paint bar would drag across
the range of the spread during the time
in question (it doesn't).
The previous post that plots the highs and
lows of the spread would give you some idea,
but I think that data might be suspect as the
highs and lows of the two data streams occur
at different times.
It would seem the most accurate TS solution
would be to plot the spread on a separate
chart using very short time frames and arrange
it as if it's a subgraph under the the primary
chart. Not what you want, but at least the data
should be right.
I bet Neoticker
http://www.tickquest.com/NeoTicker/index.shtml
has a cleaner solution.
BW
>From: "Bill Wynne" <tradewynne@xxxxxxxxxxx>
>To: tradewynne@xxxxxxxxxxx, sitanoto@xxxxxxxxxxxxxx, omega-list@xxxxxxxxxx
>Subject: Re: Regarding Spreads
>Date: Mon, 04 Feb 2002 07:41:28 -0800
>
> Plot1(c of data2 - c of data3,"PBHigh");
> {?}Plot2(c of data2 - c of data3,"PBLow");
>
>After another cup of coffee it occurs to me
>this might be better (I'm not sure you
>even need Plot2), but it needs to be left running
>in real time and update "every tick" to actually
>see the highs and lows of the spread. After the
>fact you'll only see the close of your time
>frame as a dot.
>
>Again, use at your own risk: untested.
>
>BW
>
>
>
>>From: "Bill Wynne" <tradewynne@xxxxxxxxxxx>
>>To: sitanoto@xxxxxxxxxxxxxx, omega-list@xxxxxxxxxx
>>Subject: Re: Regarding Spreads
>>Date: Mon, 04 Feb 2002 07:16:16 -0800
>>
>>
>> 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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