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Collecting a data series on calculated fields
Now that you know how to use the Data Series tool to collect data
on more than one field, you can go one step further and use
the Data Series tool to collect data on a calculated field.
One of the most-watched indicators in the American equity markets
is the spread between the S&P near Futures contract (SPc1)
and the S&P Market index (.SPX). Index arbitrage professionals
calculate the fair value of the futures contract on a daily
basis. If the futures contract rises too far above fair value,
computer generated buy programs would be triggered. If the futures
contract falls too far below its fair value, computer generated
sell programs would occur. Monitoring the spread between the
S&P near Futures contract and the S&P Market Index and
being able to see which direction it is moving are very important
for equity traders and investors.
To create this monitor, use the Data Series tool and these steps:
- Use the Quote tool to bring the real-time
data for the PRIM ACT 1 field for SPc1 (the S&P near Futures
contract) and for the LAST field for the .SPX (S&P 500 Index).
Calculate the spread by subtracting the value of .SPX from the
value of SPc1.
- Use the Data Series tool to create the
data series. In Step 1 of the wizard, click in the Data Range
text box and select the cell that contains the spread. In the
illustration below, it would be cell C6. Go through the remaining
steps of the wizard and in Step 5 be sure to chart your data.
If either the value of the futures contract or the market index
changes, the spread will recalculate and will be added to the
time series database. The chart will update automatically and
you will be able to track the spread throughout the trading
session. An example of the spread tracking monitor is shown
below.
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