Need an help as newbie.
How can I program a new custom strategy using a specific spread math formula at any time?
The spread is beetween two instruments (futures) on different expirations (calendar spread) and will be running tick by tick or on seconds/minuts bars.
I'd like to compute the spread not on last price, but on bid and ask prices on both futures.
The further development will be on 3/4/..10 different futures
The example formula on the ES (miniS&P future) is:
ES 06-12 Ask - ES 03-12 Bid - ES 06-12 Bid + ES 03-12 Ask
The input should be : when "formula >= 2" Sell ES 03-12 and at the same time Buy ES 06-12 (or viceversa, it's just an example)
When "formula <=0" close both spread legs (Buy ES 03-12 and Sell ES 06-12 or viceversa)
Must I create the formula as a new indicator?
please help.
thanks
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