DataSeries for futures spreads
Author: BarisKaya
Creation Date: 8/13/2014 3:22 AM
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BarisKaya

#1
hi,

is there an easy way to build a new data series for futures spreads i.e. CZ14-CU14 ?

thank you
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Eugene

#2
Hi,

Like question, like answer:

Sure there is. Just subtract a series of one futures contract from another. For more information please refer to the QuickRef and WealthScript Programming Guide > DataSeries > Accessing Secondary Symbols.

Educated guess:

But my gut feel suggests that you may be looking for ways of creating a new Bars object for that spread?

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Related post(s):

Futures Spread Trading Strategies
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BarisKaya

#3
i've seen that post.
you'r right on your educated guess ;) ... any recommendations where i should start re: new bars object?

thanks
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Eugene

#4
See the QuickRef for Bars.SaveToFile, for example. Next helpful resource in this context will be the FAQ:

Is it possible to create a DataSet from bars generated using SaveToFile (*.WL)?