Comment on Calendar Spreads

Harkishan Singh commented on 02 Dec 2018, 07:00 PM

Hi,
Karthik Sir

I want to know if I want to consider the Bid/Ask Quote of the two contracts than what shall I consider to calculate the spread. Can I do like this that I take the average of the Best Bid and Ask of the contract and find the spread?
Also, I will build an Algo on this and make sure that it only place the trade when the mid-month contract Bid/Ask spread is less than 2. This ensures that I reduce the slippage (if not eliminate). And take the trade at 2SD instead of 1SD, so that I get a good window length for the order execution. If all the above requirements are met then it shall place the order. Though I will a get a fewer trades, it will of the better probability considering the Live Tick Data.

Please Enlighten Me

I am really a Newbie in Trading.

Thank’s Alot

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