How to Plot a Spread in a Footprint Chart

MarketDelta allows the user to create instruments which reflect some arithmetic combination of other instruments. The feature is useful for tracking spreads, butterflies, and straddles in the futures or options markets, or for tracking industry group performance, or simulating the value of a mutual fund or custom index you want to create.

MarketDelta allows the user to setup user-defined instruments which are defined as:

1. The weighted sum of one or more instruments, called the component instruments.
2. The weighted difference between any two component instruments.
3. The weighted ratio of any two component instruments.

The components of a user-defined instrument may themselves be user-defined instruments. Therefore, arbitrarily complex calculations are possible. 

When defining spreads where the strategy is to either sell both or buy both legs of the spread, define the spread custom instrument using the "sum" type. 

When defining a spread where the strategy is to buy one instrument and sell another, setup the user-defined instrument for the spread as a "difference" type where the buy side leg is the first component and the sell side component is the second. When calculating the bid/ask of the difference type spread, MarketDelta assumes the buy side leg is the first component. 

How to Create a Custom Instrument

1. Click Setup | Custom Instrument
2. Makeup a ticker symbol for the custom instrument. Do not use a ticker symbol that might be confused with ticker symbols arriving on your data feed. Ticker symbols may be up to 24 characters in length.
3. Specify whether the custom instrument is a sum, a difference, or a ratio.
4. Choose the components from the instrument selector. Double-clicking adds the component to the component list on the right using the multiplier currently in the multiplier box, usually 1. To change a multiplier after adding a component, remove the element from the right hand list by double-clicking, change the multiplier and add it back again. Difference and ratio custom instruments may have only two components. The sum type may have two or more.
5. We recommend checking the boxes "Monitor Intraday" and "Generate Historical Data When Saving".
6. When the specification is complete, press "Save" to store the definition in the database. If you wish to track the custom instrument intra-day, use the Setup | Ticker Symbols window to mark the newly defined instrument for intra-day data collection.

Calendar Spread Example

Once constructed, here is what a chart might look like of the newly created spread.

Butterfly Spread Example - In the example below, we bought 1 Sept. crude, sold 2 Oct Crude, bought 1 Nov crude. Sum was used and a negative multiplier for the 2 we sold. See below.

More Examples and Information

Finally, the “View Summary” has been added to the bottom of the custom instrument setup window. Clicking this button opens a text window showing the formulas for all of the custom instruments defined to MarketDelta. Here is a sample of what the text window looks like:

Custom Instrument: Testing 456, Session 6
TEST456 = 5.41522 MSFT+ 0.577433 CA+ 7.33491 CSCO+ 0.331131 NTAP+ 0.48169
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Custom Instrument: My Index, Session 6 MYINDEX = ADBE+CA+COMPX+CSCO+IBM+IP+JNPR+MSFT+NEWP+NTAP+ORCL+QQQ+SBUX+T+VNO
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Custom Instrument: Ratio plus a constant, Session 6
CAIBM = 4 CA+IBM+ 15.5 +INDU(lo)
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Custom Instrument: Focus Stock Index, Session 6
$FOCUS = ADBE+CSCO+ORCL+QQQ+IBM+T+CA+MSFT+SBUX+VNO+JNPR+NTAP
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Note that multipliers of 1.0 are implied when the multiplier is not shown. A number followed by a ticker means that number times the price of that ticker. The close price is implied if the ticker is not followed by a price indicator, i.e. INDU means the last price of INDU while INDU(lo) means the low price of INDU. When the price indicator is 1.0, the multiplier becomes a constant so its value is listed in the formula without a ticker. See the third example above. 

A checkbox has been added to the Custom Instrument Setup window for marking custom instruments for intra-day data monitoring and data retention. Formerly, this option had to be adjusted in a less convenient manner using the Setup: Instruments window. 

When setting up custom instruments there is a new checkbox option titled "Monitor Only When Session is Open". Check this box if you wish updating of the custom instrument to end when the session closes. When this box is unchecked, any pricing change in any of the component instruments of the custom instrument will cause the value of the custom instrument to be updated.