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PostPosted: Tue Jan 13, 2009 10:33 am 
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Joined: Sat Sep 27, 2003 8:53 am
Posts: 19
I am trying to get this to work using IB.

Contract details I am using are (taken from the contract info description page in IB)

Underlying CL
Security Type Calendar Spread
Contract - (1)CLH9 + (1)CLK9
Exchange NYMEX
Currency USD

I have tried using
- (1)CLH9 + (1)CLK9
as the symbol, and many variations of it without success.

Could it be OQ does not have the security type : Calendar Spread ?
Is multileg only for TT ?


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 Post subject:
PostPosted: Tue Feb 10, 2009 2:40 pm 
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Site Admin

Joined: Thu Jul 17, 2003 10:39 am
Posts: 1478
Hi,

MultiLeg instrument type is only supported by TT API, because this plugin does not require an additional instrument settings such as legs to determine correct contract on TT side. IB needs to define instrument legs, but OQ instrument class does not have appropriate fields and methods for this purposes.

Regards,
Alex

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SmartQuant Development Team


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PostPosted: Wed Sep 16, 2009 8:02 pm 
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Joined: Wed Sep 16, 2009 7:21 pm
Posts: 1
Any changes for support of multi-leg exchange traded contracts? I would like to use TT FIX or Pats. The problem with using XTAPI is that it requires a pro-license which is expensive and runs through the desktop trading system only. Also, clarification somewhere on your website would be useful. Just about any commodity contract has calendar spreads which are often more liquid than the underlying contract especially past two expirations. Not being able to trade these spreads with OQ is a shame.


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 Post subject:
PostPosted: Tue Jul 20, 2010 10:02 pm 
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Joined: Sun Nov 02, 2008 1:52 am
Posts: 3
Hi

I am trying to create spread price for 6E and ES using XTAPI.
Could you anyone know how to do that ?

I tried like follwing:

Symbol= 1x6E SEP10:-1xES SEP10
Type = MultiLeg
Exchange = TTSIM

But I don't get any price data..

Thanks


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 Post subject:
PostPosted: Wed Jul 21, 2010 10:49 am 
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Site Admin

Joined: Thu Jul 17, 2003 10:39 am
Posts: 1478
Hi,

Could you tell me how this contract looks in XTrader?

Regards,
Alex

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SmartQuant Development Team


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 Post subject:
PostPosted: Wed Jul 21, 2010 6:39 pm 
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Joined: Sun Nov 02, 2008 1:52 am
Posts: 3
They look like this in MD Trader & Market Explorer of X_Trader. Thanks!


Attachments:
contract.jpg
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 Post subject:
PostPosted: Mon Jul 26, 2010 2:28 pm 
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Site Admin

Joined: Thu Jul 17, 2003 10:39 am
Posts: 1478
There is no way to create 'spread price' instrument.
You need to define two different instruments - 6E and ES futures with Sep10 expiration, subscribe them to market data separately and manipulate by prices in any manner.

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