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X_TRADER® Documentation

Spread Matrix Calculations

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The calculations made for a Spread Matrix follow:


Outright Prices:

  • Spread ask = (Front Month Ask) – (Back Month Bid)
  • Spread bid = (Front Month Bid) – (Back Month Ask)

Note: This formula applies to calculating a commodity spread price. The formula reverses when calculating financial spd prcs (ES, Russell) and currency (6E, Dollar Index). When buying those spreads, you buy the deferred and sell the near.


Outright Quantities:

  • Best price outright quantity = Lesser of the front month quantity and back month quantity
  • Best price spread quantity = Spread quantity
  • Outright price and spread price are equal = Lesser of the front month quantity and the back month quantity + the spread quantity.


Implied Pricing and Implied from Implied Pricing:

Refer to Setting Implieds.