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I would like to create my own intercommidity chart that mimics the prices of the CBOT exchange contract. WHY, you ask? Because the CBOT contract trades infrequently and yet the outright spreads trade constantly (there is Leg risk though).
If I were to create it IE. 3*FV- 2*ty(FITE) I would get a price. Unfortunatley that price would not replicate the CBOT spread prices. The CBOT use NET CHANGES not outright prices. What do I do to accomplish the feat?
If I were to create it IE. 3*FV- 2*ty(FITE) I would get a price. Unfortunatley that price would not replicate the CBOT spread prices. The CBOT use NET CHANGES not outright prices. What do I do to accomplish the feat?