I have been looking into calendar spreads for a few weeks and it looks to me that what you experience is intended this way. By default and documented as such in the tool tips, TWS seems to
If you BUY 1 spread of RTYU4-Z4 you will get positions: -1 RTYU4 and +1 RTYZ4
If you SELL 1 spread of RTYU4-Z4 you will get positions: +1 RTYU4 and -1 RTYZ4
With the "Spread Trader" in TWS or via the API you can define this the other way around, but I got myself turned around a few time when buying and selling the various combinations. So I decided to stay with that "front -1, back +1" convention for my TWS API implementation calendar spread order placement.
闯ü谤驳别苍
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On Mon, Jun 24, 2024 at 03:52 AM, Brian wrote:
Hi all,
I was trying to roll my future to the next expiry (RTY Sep, CME -> RTY Dec, CME) with a negative current position (RTY Sep, CME: -1) on TWS GUI, i.e.
from?
RTY Sep, CME: -1
RTY Dec, CME: 0
to
RTY Sep, CME: 0
RTY Dec, CME: -1
I'm also connecting to TWS through TWS API. However, when the callback function "openOrder" is called, i get the wrong action (BUY/SELL) for the respective orders.
Details:
637533627: RTY Sep, CME
654503362: RTY Dec, CME
contract.comboLegsDescrip: ?637533627|-1|CME,654503362|1|CME
Leg. conId: 637533627 action: SELL
Leg. conId: 654503362 action: BUY
To my best knowledge, isn't it supposed to be
contract.comboLegsDescrip: ?637533627|1|CME,654503362|-1|CME
Leg. conId: 637533627 action: BUY
Leg. conId: 654503362 action: SELL
However, in the end, i'm able to get the correct execution details:
637533627: BOT
654503362: SLD
So I was wondering if I misunderstood the definition, or could this be a bug from TWS?
