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Never forget to adjust for different volatility in the leg's of the spread.
----- Original Message -----
From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, March 23, 2004 3:59 PM
Subject: Re: Spread
> Cameron,
>
> >Does anybody have some killer "Spread" code to share with me ? :O)
> >
> >my whim of this week is to investigate spread trading indicators......
> >boring i know but all help is very appreciated
>
> Two ways to do this:
>
> 1. Have two data streams, data1 and data2. Calculate
> sprd = close data 1 - close data 2;
> on each bar, and do all your subsequent analysis on sprd, which is now
> your price.
>
> 2. Build a data file in a 3rd party directory that has the spread
> data, then import that into a data stream as if it was any other
> security.
>
> --
> ,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
> // +__> Director of Research and Development
> // \
> // __) Unicorn Research Corporation -- http://unicorn.us.com
>
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