Need help spreading US treasuries by net change

[j_d_dolan]

I need help trying to spread the FIT (5-year versus 10-year) by net change in a candlestick chart. I don't want to use the exchange traded spreads (ZF H9IV:ZNH9 ). I want to calculate my own value using the net changes. Any help would be greatly appreciated.

[ScottJ]

I think this will do the trick. I just set-up a spread symbol (Tools/Spread Symbols) and created $TNX - $FVX. Seems to chart just fine as the difference between the two values.

[j_d_dolan]

Thanks for the help, but I don't think this is exactly what I'm looking for. I want to know if there is a way to chart the net change of the contract FV M9 versus the net change in the contract TY M9. I believe the equation would look like this: 3 * FVM9 - 2 * TY M9. The only problem is this charts buy price and not net change.

Thanks

[ScottJ]

What do the integers in that formula represent (the 3 and the 2)? Can you do the formula in excel, confirm the net value looks good and then post it here? Thx

[j_d_dolan]

the integers represent the weighting that I would like to give each net change. For example if the 5-year net change was +2 and the 10-year net change was +3, I would want the chart to show a value of 0. Unfortunately, I cannot get the net change in the equation, only the price.

[ScottJ]

So, you're looking for something like this:

(TY M9 (Last - prev) * 2) - (FV M9 (last - prev) *3) = XX

Don't quite understand how the weighting gets you to zero but the spread symbol engine is only using "last" to derive values. To create a more complex spread, you can try EFS or use DDE links (althought that would display in Excel not eSignal).

I'll keep playing with this in case I have another thought...

Thanks.