E mini Spreads from SI Thread

[dloomis]

From: ToTradeWell

Hello David,
Thanks for that formula you helped me with:

http://www.siliconinvestor.com/stocktalk/msg.gsp?msgid=18241622

I typed it into my formula editor and have it up and running. ES Z2 has been changed to ES H3.

Quick question about the formula:

function preMain()
{setCursorLabelName("Spread"); setStudyTitle("Spread")}
function main() {var BL=0;
return new Array(getValue("Close", 0, -1,"$spx") -
getValue("Close", 0, -1,"es h3=2"),BL);}

The formula compares the spread between emini S&P and futures cash price ($SPX)

Can you tell me what interval this formula is set to? I am not sure what all the "get value" & other numbers refer to.
Can I change the interval?

I would like the smallest interval possible that will work with ES H3 and $SPX. I have my chart set to 1 day, 9:30 - 4:00 EST. A tick chart or second chart would be great.

Thanks for any info you can give me.
John

[dloomis]

Hi TTW

Intervals are set by the chart, whatever interval the chart is set to determines the interval of the formulas.

To set a tick chart, left click on the chart, type

,1T then hit enter

To set a 1 second chart, similar setup, just type

,1s and hit enter.

good luck.

[Emini Gambler]

Thanks for the info and for starting this thread. Although the emini trades almost 24hrs, I am going to have to wait till the cash S&P opens Monday to try out new intervals & play with this chart.

Does anyone know how often the cash S&P ($SPX) updates in Esignal during regular market hours?

I know the trading floor in the pit has something called "fast cash" I don't know if this is avalaible in Esignal or not.

I think the frequency of updates of $SPX will affect the accuracy of this chart.

I want to use this chart to determine when the futures price is at a premium or discount to the cash price.

Any input from anyone will be much appreciated.

TTW

[ACM]

Re: Reply to post 'E mini Spreads from SI Thread'

gambler

Does anyone know how often the cash S&P ($SPX) updates in
Esignal during regular market hours?

I believe it is every 15 seconds
Alex

[Emini Gambler]

A couple quick questions -

A 1 minute time interval will work with a user defined day (from 9:30 - 4:00 pm, but Tick and second charts only seem to work with dynamic default defined intervals & a 0:00 - 24:00 time frame. Is this correct?

Also, if I try a tick chart for the emini S&P with a dynamic 0:00 - 24:00 setting it seems to never load and locks up.
I guess there are too many ticks, but I don't know.

[ACM]

Re: Reply to post 'E mini Spreads from SI Thread'

gambler

As to your first question that is correct. Time Templates are not
applicable - as of now - to Tick/Tick Bar/Seconds charts.

In general there are a lot of ticks in a 24hr period of ES. Irrespective it
also depends on how many days you could be requesting.
Create a new Chart Window (not an Advanced Chart). Then type ES H3 as the
symbol and go to the Properties/General tab. There should be a setting for number of
days. Set it at 1 or 2 and that should reduce the amount of data being
requested (and as a consequence the download time).

Alex

[VTtrader]

Gambler,

It sounds like what you want to do is plot the premium between the S&P futures and the cash index. This is accesible directly by the symbol $PREM, and can be plotted directly in an advanced chart.

Hope this helps,

VT