To create spread QFormulas

While spreads can be set up and traded directly on trading applications, it’s best to create a spread QFormula. Complex spreads are more easily entered on trading applications by typing a QNumber than by typing a complicated formula.

1.  Click the Formula button to open Formula Builder.

2.  Click the QFormulas tab.

3.  Click the New button.

4.  Type a name for the QFormula.

5.  Click OK. The new QFormula is displayed in the list, and the next QNumber in the series is automatically assigned to it. Click the arrow to change the QNumber, or type a new number.

6.  Enter your spread strategy in the Formula Editor. As soon as you have typed SPREAD( the system displays the spread formula and an example to assist you. Replace the @ in SPREAD(@) with your strategy.

Alternatively, you can enter the common notation (e.g. CLE-ET), and then apply the Spread function.

7.  If you prefer to select calculation settings using a parameters window instead of typing them into the formula editor, click the Setup button. This button is active when the spread formula is selected.

The Setup Synthetic Spread Calculation Parameters window opens. Make your selections, and then close the window.

This is also the way to apply net change and yield to the spread formula.

8.  Click the Trading Execution Patterns button to set trading parameters. Choose which legs to work, the order type, volume ratio, stacked orders parameters, and incomplete order behavior.

9.  Close Formula Builder. Now, you’re able to enter the QFormula number directly on the DOMTrader and Order Ticket.

It is displayed as a number, name, or formula depending on your display format setting.

In the Formula Editor, hover the mouse over a part of the strategy to display a tooltip. That tooltip identifies the element of the formula you’re pointing to.

Net Change and Yield Spreads

Net change and yield are calculated as if all of the legs are wrapped in Yield operator, so that these calculations are identical:

YIELD(SPREAD(leg1-leg2+5))

SPREAD(YIELD(leg1)-YIELD(leg2)+5)

And these calculations are identical:

NC(SPREAD(leg1-leg2+5))

SPREAD(NC(leg1)-NC(leg2)+5)

Offsets are calculated as is.

You can apply net change and yield to a spread using the Setup Synthetic Spread Calculation Parameters window.

Net Change

You can trade spreads based on net change, the difference between today’s current price and the settlement price. Order duration is limited to DAY, but all order types are supported.

Net change formulas are identified on the tabs.

Yield

You can trade spreads based on yield for cash symbols. You can trade any order type. Outrights can be traded with any duration. For spreads, only day orders are accepted.

Yield formulas are identified on the tabs. Instead of price in the price column, the difference in yield is displayed. Yields for the legs are displayed in the right-most column of the DOM ladder. You can change the location of the column in Trading Preferences.

Setting Synthetic Spread Calculation Parameters (Setup Button)

Click the Setup button to open the calculation parameters window. If the Setup button is not active, make sure the spread formula is selected in the Formula Editor.

Changes entered here are reflected in the spread formula in the editor. For example, SPREAD(CLEH2-CLEJ2,L1) becomes SPREAD(CLEH2-CLEJ2,CUR) if you change the calculation mode to currency.

By selecting Yes for Yield, SPREAD(1.6*TYA-USA, , , 5:3) becomes SPREAD(1.6*YIELD(TYA)-YIELD(USA), , , 5:3).

Field definitions