Autospreader
Configuring Common Spreads
Below are listed parameters for configuring common synthetic spreads. These settings are intended for illustrative purposes and may not be the only way to create these spreads. The performance of these synthetic instruments is dependent on market conditions and are in no way guaranteed profitability.
The parameters displayed in the table are entered into the spread configuration fields where labeled in the image below. Note that tick size is entered in the field labeled Override which requires activation of the checkbox. For more information about spread parameters, refer to Spread Configuration.
Crush
Formula: Price Differential Tick Size: 1/1001 |
2 |
3 |
|
Contracts |
ZS / CME |
ZM / CME |
ZL / CME |
Ratio |
-10.0 |
11.0 |
9.0 |
Multiplier |
-1.0 |
2.2 |
11.0 |
CRACK
Formula: Price Differential Tick Size: 1/1001 |
2 |
3 |
|
Contracts |
CL / CME |
RB / CME |
HO / CME |
Ratio |
-3.0 |
2.0 |
1.0 |
Multiplier |
-1 |
28.0 |
14.0 |
ES/YM Ratio
Formula: Ratio Tick Size: default1 |
2 |
|
Contracts |
ES / CME |
YM / CME |
Ratio |
5.0 |
-6.0 |
Multiplier |
50.0 |
5.0 |
TUT
Formula: Net Change Tick Size: 1/81 |
2 |
|
Contracts |
ZT / CME |
ZN / CME |
Ratio |
2.0 |
-1.0 |
Multiplier |
1/8 |
-1/8 |
TUF
Formula: Net Change Tick Size: 1/81 |
2 |
|
Contracts |
ZT / CME |
ZF / CME |
Ratio |
4.0 |
-3.0 |
Multiplier |
1/8 |
-3/32 |
TUB
Formula: Net Change Tick Size: 1/81 |
2 |
|
Contracts |
ZT / CME |
ZB / CME |
Ratio |
6.0 |
-1.0 |
Multiplier |
1/8 |
-1/12 |
FYT
Formula: Net Change Tick Size: 1/41 |
2 |
|
Contracts |
ZF / CME |
ZN / CME |
Ratio |
3.0 |
-2.0 |
Multiplier |
1/4 |
-1/3 |
FOB
Formula: Net Change Tick Size: 1/41 |
2 |
|
Contracts |
ZF / CME |
ZB / CME |
Ratio |
5.0 |
-1.0 |
Multiplier |
1/4 |
-1/5 |
NOB
Formula: Net Change Tick Size: 1/21 |
2 |
|
Contracts |
ZN / CME |
ZB / CME |
Ratio |
3.0 |
-1.0 |
Multiplier |
1/2 |
-1/3 |