average priced strips for charts

[TFE]

Is there a way to chart an average of several futures prices at once? I trade Natural gas and crude. We look at summer (April thru Oct) and winter (Nov thru March) strip prices.
Furthermore, can you chart one vs another?

John Nelson

[ACM]

John
Not sure what exactly you are asking.
Taking as an example Crude winter strip do you just want to add up those months and divide by the number of months to determine the average price?
If yes that is easily done by adding the specific contracts while using a weight for each one. For example you would do the following
0.2CL V3 +0.2CL X3 +0.2CL Z3 +0.2CL F4 +0.2CL G4



However how do you reconcile that come September 20th (approx) the October contract expires and therefore is no longer part of the strip?
Also while this is possible it does require some continuous adjustments as the expired contracts change symbol in eSignal.
For example June 2003 Crude is no longer CL M3 but CL M2003.
Lastly while this solution should work for daily charts it will currently have some limitations on intraday as eSignal has a 60 day limit for intraday data. That is about to change and the intraday limit will be raised to approximately 120 days and from there further increased to a maximum of two years worth of data. So while in the future this limitation will not exist it is to be considered for now.
Again I could be misunderstanding completely what you are trying to achieve
Alex

[GasMan]

Strip prices

Alex,

I was looking for a way to track strip prices and came across an old posting asking for the same info. I wondered if you ever resolved the issue posted by the previous user.

Your charting method will definitely work for charting the strip but I think what the other fellow was looking for is the same thing I am looking for. That is, I would like to be able to have a running strip price (simple average) of natural gas prices somewhere in esignal quotes.

In other quote products I have used, you can have formula based entries in the quote window. So for example the entry might be =(NG J4 + NG K4 + NG M4 + NG N4 + NG Q4 + NG U4 + NG V4)/7. This would give a continuous running quote of the 2004 Summer Strip Average in natural gas. Currently, I track several different strips and spreads in Excel using DDE but I would much rather have them reside on my esignal trading screen. I can tell you that anyone trading commodities futures using your product is currently tracking many of these manually and would greatly benefit from a more automated way of doing it. And currently all the major products support this except yours. (Although, you may support it and I just have not been able to figure out how to do it yet

Thanks,
Tim

[ACM]

Tim
First of all it is not "my" product as I do not work for eSignal even though I am one of the moderators of these forums. I am just a user helping out like many others do.
Having said that it is not possible at this time to create spreads in a quote window. eSignal has indicated that it may be implementing this, or similar, feature in version 8 (no release date given) that will have a completely redesigned quote window.
As of now the only way I can see to calculate the strip is through what I have already suggested with the same caveats regarding changing the weighting as the contracts expire.
Alex

[GasMan]

Spreads

Alex,

My apologies for the "your product" comment. I am new to the forums and was ignorant of the fact that you do not work for eSignal.

Thanks for the info about creating the spreads in the charting function. Until eSignal implements a way to use formulas in the quotes window, I will use your method.

Thanks and sorry again for the assumption.

Tim

[TFE]

Spreads

Thanks for replying to my question. I agree with GasMan in that having more functionality to quote strips would greatly enhance the product.
Also, I would like to see a quote product for individual spreads that showed the last price the spreads actually traded on the exchange. Not from last prices.

John Nelson