Spy to ES Converter

[josh18955]

I was wondering if anyone has made a indicator that converts SPY levels to ES levels. Reason why I am asking is because I have been using SPY & QQQ volume profiles which have been way more accurate, but I am now have to use tradingview because they have a indicator to convert levels. Any info on where to get started would be great, or if anyone has seen this indicator

[NinjaTrader_ChelseaB]

Hello josh18955,

I'm not aware of this existing indicator, however you can develop your own.

Below is a link to a forum post with helpful resources on getting started with C# and NinjaScript.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/indicator-development/97575-sample-scripts#post786040

To add a series use AddDataSeries().

Below are links to the help guide.

https://ninjatrader.com/support/helpGuides/nt8/adddataseries.htm

https://ninjatrader.com/support/helpGuides/nt8/barsinprogress.htm

To plot this, add a plot with AddPlot(), return the Values[plot index] as a public, and set the value to your calculation.

Below is a link to a forum post on what is needed for plots.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/indicator-development/1182243-exposing-the-wavetrend-indicator-for-strategy-builder#post1182264

[alanlopen]

what is the math formula to convert ES into spy and spy into ES ?

[NinjaTrader_ChelseaB]

Hello alanlopen,

I would not be able to provide this custom calculation.

How are you wanting to convert this?

Are you wanting to wanting to find the open of the SPY and open of the ES and divide to get a multiple, then multiply the rest of the days data by that multiple?

[QuantKey_Bruce]

The quick and partially correct answer would be SPY trades at 1/10 the price of ES. A better answer would be the futures price is partially decoupled from the underlying's price by the fact that there is a carry cost involved in futures contracts, and the number of days to rollover plays a role because of the interest cost, and as well traders' expectations regarding the price of SPY on the expiration date play a role as well. Still, by far the strongest contributing component to the price of ES is the price of SPY. If you are trying to project over very many days, you will want to take into account that as the price approaches the rollover/expiration of the futures contract, the number of days interest imputed into the futures price changes. So, for instance, presently, SPY is a little under $400 and ES is currently a little over $4000. The reasons it isn't exactly 10x SPY include the factors above as well as, of course, routine supply and demand forces in the short-term.