eSignal - Spreads

ICE Data Services -

eSignal 10.6 - Spreads

Spreads (also known as pairs) are created in eSignal by creating spread symbols. The creation of spread symbols is performed in the Spread Symbols Settings window found under the Tools menu.

This window allows the user to create their own custom symbols by specifying a simple or complicated spread using parenthesis or multiple operators (+ - * /). In addition to using multiple symbols in a spread, the user can also use numerical constants such as MSFT + 50. Once a spread symbol has been created, this can be entered into other windows such as a Quote window or a Chart window to plot the results of the spread. You may also use the new spread symbol to calculate other spreads.

Steps to create new Spread Symbol
1. Open Spread Symbol Settings dialog from Main Menu > Tools > Spread Symbols Settings. Enter a name for the symbol that is to be created, select the Add button and Close.



2.  The newly created symbol can be used in a Quote Window or Quote Board to display the spread price,  or in an Advanced Chart Window. 


Calculation of Spreads
Spreads displayed on intraday charts are calculated by taking the open, high, low, and close of each 1-minute bar, and then recompiled into the selected interval. This results in more accurate spreads then previous versions of eSignal, but it also requires more data to be downloaded and processed. For instance, on a 60 minute spread chart instead of doing 1 calculation per bar, eSignal now has to request 60 times more data and perform 60 calculations just to come up with 1 bar. Depending on the complexity of the spread and the number of symbols in the spread, this can lead to a significant increase in the amount of time to display a spread chart.

daily vs. intraday spreads
For daily bars, only the ohlc (open, high, low, close) of the bars for each piece of the spread is available.  Consequently, the high and low values for spreads cannot be properly represented as they likely occurred at completely different times of the day.  The opens, highs, lows, and closes are all compared based on the math of the spread, and then the bar is formed as follows:

Open - The results of the math on the opens of each symbol

High - The highest value of all 4 comparisons of each symbol

Low - The lowest value of all 4 comparisons of each symbol

Close - The results of the math on the closes of each symbol

For intraday intervals, we actually pull down 1 minute bars for each of the symbols in a spread and do the same calculations as above, but on each 1 minute bar. The bar results are then compiled into the actual bars of the interval selected by the user.

Why do I see decimals when I look at Futures spreads?
Some futures symbols in eSignal are shown in fractions. eSignal Advanced Spread charts must convert the fractions into decimals to properly calculate the spread data. For additional info, please see our article on CBOT Bond & Note Pricing.

Can the spread engine use any other field aside from OHLC for it's calculation?
Not at this time. The spread engine is only using the OHLC pricing data for it's calculation and does not look to any other field (volume, bid, ask, etc.). You may want to consider the use of DDE or QLink to get after other data points and use Excel for more complex calculations.

Entering Spreads in eSignal 
To enter a spread in an Advanced Chart, enter the first symbol and follow it with a space; next enter an operator: (-) for subtraction, (+) for addition, (*) for multiplication and (/) for division; then another space and, finally, the second symbol.

Here are few examples of this:

For Futures: ES #F - SP #F        ES #F(space)-(space)SP #F
For Stocks: DELL * IBM               DELL(space)*(space)IBM         

DELL + .3 * MSFT                        DELL(space)+(space).3(space)*(space)MSFT
50 * CSCO - 25 * YHOO              50(space)*((space)CSCO(space)-(space)25(space)*(space)YHOO
11 * INTC / 5 * DELL

For futures contracts beginning with a number such as 6A #F, please include the symbol in apostrophes.
Here are a few of examples of this:
$SPX * '6A #F'
.5 * '6S #F' + .5 * '6A #F'

You also should keep in mind that when you start typing in an advanced chart with a number, it reacts as if you're entering an interval. If the beginning of the symbol you want to use is a number, you need to type any letter to get the entry box open, backspace off the letter, and then enter the symbol.

Are Spreads available for Tick Charts?
In the Advanced Charts, spreads or pairs are currently not compatible with our tick based intervals (i.e. second bars, range bars, volume bars, etc.) These tick bars are created on the desktop so we've been wary about over-working the desktop in light of the spike in market volumes, freezing/performance issues, etc.

More on Spread Symbol Settings 

The Spread Symbol Settings will allow users to create easy and complex spreads based on the samples shown above with the extra feature that the user can use numerical constants with multiple operators (+ - * /).  Use the created spread symbols as part of another spread.  Let's use our TEST1 example.
To create a TEST2 spread symbol for (DELL + MSFT + 3) substracting 2, my spread will be TEST1 - 2, because TEST1 is DELL + MSFT + 3.  Another feature of the Spread Symbol Settings is the decimal formatting.


How much data is available when using spreads?
The amount of data available using a particular spread formula depends on how long the ticker symbols has been active. For example, when using Futures symbols such as GC #F (Gold) and SI #F(Silver), the data will go back as far as 1975, this is using the spread formula GC #F / SI #F.  But if you use the globex symbol GC #F=1 / SI #F=1, the data available will go as far as 02/01/2002 which is the date when the symbols ending with '=1' were implemented.

Can customized formula spreads transfer from eSignal to another computer that runs eSignal?
Formulas created using the "Spread Symbol Setting..." are saved in a file called spreads.xml located in the eSignal folder ( C:/Program Files/eSignal).  Copy that file into a USD flash drive or send it via e-mail.

To save the file into the eSignal directory in the other computer, make sure eSignal is closed completely, save the file in C:/Program Files/eSignal.  It will tell you that the file already exists and if you want to override/replace it, click Yes or Ok.  (Note: if you have any spread formulas in the spreads.xml file that will be override you will lose them).

Open the program, go to "Tools" and click over "Spread Symbols Setting...", The spread formulas in will now be available in eSignal.