Exchange-traded spread instrument positions are displayed on DOMTrader, Order Ticket, and Orders and Positions window (Open Position Summary) for calendar, butterfly, pack, strip, bundle, and intercommodity spreads.
Spread positions entered manually are also included.
The position is calculated synthetically using a matching algorithm. First, the system creates two groups of spreads. The first group includes spreads that were traded on the current system. The second group includes all available exchange-traded spreads for that commodity. Then, the system sorts the spreads by type - calendar, butterfly, pack, strip, and then bundle. One by one, the system attempts to match outright trades to an exchange-traded spread.
For example, you enter Buy 1 EDAS3M7. The legs are filled, and your system shows fills Buy 1 EDAM7 and Sell 1 EDAU7. Then, the matching algorithm begins. EDAS3 is in the first group of spreads (those traded on the system). The second group includes all EDA spreads. The spreads are sorted by group, calendar in this case. The system then tries to group orders that match the EDAS3. Buy 1 EDAM7 and Sell 1 EDAU7 are appropriate positions for EDAS3M7, and so they are grouped. The spread position is then +1 EDAS3M7.
Spread position information must be enabled in Trading Preferences.
On Order Ticket and DOMTrader, spreads are displayed in italic font in OTE area.
Combined net position for relative commodities applies to spreads also, if enabled in preferences.
You can liquidate spread positions using the X All/Liq All button.
Spread Position Calculation by Execution
CQG offers the ability to calculate native and synthetic spread positions either
•by execution of the strategy (based on trade data)
•by exchange trades, i.e. outright leg positions (based on clearing data)
By offering two calculation modes: by execution and by exchange trades, CQG provides a comprehensive picture of the current account state.
The calculation mode is determined in Strategy Order preferences. Select the Group strategy positions by filled spread orders check box to calculate position by execution.
When this option is selected, the Use native strategy quotes to calculate OTE check box is selected and disabled, and the Show combined net position for relative commodities check box is cleared and disabled.
Only the current day is considered in this calculation.
If a synthetic spread has a “bond when issued” leg, then that leg fill is ignored when calculating P&L for the entire spread.
If a synthetic spread has all option legs, then the spread is treated as an option itself and contributes to the MVO and UPL value. If a synthetic spread has a mixture of non-option and option legs, then the spread is treated as a future. The OTE value of its position is a sum of the OTE value accumulated over its non-option legs and the UPL value accumulated over its option legs.
Average price of an open position on yield synthetic spreads is converted to yield units using averaging over prices (converted to yield) of concrete leg positions associated with each of the spread order fills converted into the spread’s open position.
The position calculation mode does not apply to aggregation-only strategies (no spreads).
If a synthetic strategy uses a fractional trade ratio, all fills executed for the strategy are taken into account in individual leg positions of this fractional strategy, rather than strategy as a whole.
Incomplete leg fills are not part of the by execution spread calculation.
Expiration information is provided for outrights only.
If synthetic spread legs have different currencies, then the current reporting currency of the account is used. The currency will not be changed later if the reporting currency of the account is changed.
Synthetic strategies that differ only by working leg parameter are considered different synthetic strategies. For example, SPREAD(EP-ENQ, L1,,1:1) shows a long position, while SPREAD(EP-ENQ, L2,,1:1) shows no position.