{"id":20077,"date":"2019-10-17T11:00:04","date_gmt":"2019-10-17T15:00:04","guid":{"rendered":"https:\/\/ibkrcampus.com\/?p=20077"},"modified":"2024-05-17T12:59:00","modified_gmt":"2024-05-17T16:59:00","slug":"intraday-futures-calendar-spreads","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/ibkr-quant-news\/intraday-futures-calendar-spreads\/","title":{"rendered":"Intraday Futures Calendar Spreads and the Impact of Transaction Costs"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\"><strong>Excerpt<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>The mechanics of trading calendar spreads<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\">To backtest an intraday calendar spread strategy for crude oil futures (symbol CL), I first collect 1-minute bid\/ask bars for all CL futures contracts from Interactive Brokers.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">After loading the prices into a <code>pandas <\/code><strong>DataFrame<\/strong>, I use the function&nbsp;<code>get_contract_nums_reindexed_like<\/code>&nbsp;to obtain a DataFrame showing each contract&#8217;s numerical sequence in the contract chain as of any given date:<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>>>> from quantrocket.master import get_contract_nums_reindexed_like\n>>> contract_nums = get_contract_nums_reindexed_like(bids, limit=3)\n>>> contract_nums.head()\nConId            CLM9       CLZ9       CLK9       CLJ9       CLN9\nDate\n2019-03-04        3.0        NaN        2.0        1.0        NaN\n2019-03-05        3.0        NaN        2.0        1.0        NaN\n2019-03-06        3.0        NaN        2.0        1.0        NaN\n2019-03-07        2.0        NaN        1.0        NaN        3.0\n2019-03-08        2.0        NaN        1.0        NaN        3.0\n2019-03-11        2.0        NaN        1.0        NaN        3.0<\/code><\/pre>\n\n\n\n<p class=\"wp-block-paragraph\">I isolate the bids and asks for contract months 1 and 2 by masking the prices with the respective contract nums and taking the mean of each row. In taking the mean, I rely on the fact that the mask leaves only one non-null observation per row, thus the mean simply gives us that observation.<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>are_month_1_contracts = contacts_nums == 1\nmonth_1_bids = bids.where(are_month_1_contracts).mean(axis=1)\nmonth_1_asks = asks.where(are_month_1_contracts).mean(axis=1)\n\nare_month_2_contracts = contacts_nums == 2\nmonth_2_bids = bids.where(are_month_2_contracts).mean(axis=1)\nmonth_2_asks = asks.where(are_month_2_contracts).mean(axis=1)<\/code><\/pre>\n\n\n\n<p class=\"wp-block-paragraph\">I then use the bids and asks to compute the calendar spread. To reflect the fact that I must buy at the ask and sell at the bid, I compute the spread differently for the purpose of identifying long vs short opportunities:<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code># Buying the spread means buying the month 1 contract at the ask and\n# selling the month 2 contract at the bid\nspreads_for_buys = month_1_asks - month_2_bids\n\n...\n\n# Selling the spread means selling the month 1 contract at the bid\n# and buying the month 2 contract at the ask\nspreads_for_sells = month_1_bids - month_2_asks<\/code><\/pre>\n\n\n\n<p class=\"wp-block-paragraph\">I use the spreads to construct Bollinger Bands set two standard deviations away from the spread&#8217;s 60-minute moving average, and I buy (sell) the spread when it moves below (above) its lower (upper) band.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><em>Any trading symbols displayed are for illustrative purposes only and are not intended to portray recommendations.<\/em><\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><em>Visit QuantRocket website to read the full article and to download the code<\/em>:<br> <a href=\"https:\/\/www.quantrocket.com\/blog\/intraday-futures-calendar-spreads\">https:\/\/www.quantrocket.com\/blog\/intraday-futures-calendar-spreads<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>To backtest an intraday calendar spread strategy for crude oil futures (symbol CL), I first collect 1-minute bid\/ask bars for all CL futures contracts from Interactive Brokers.<\/p>\n<p>After loading the prices into a <code>pandas <\/code><strong>DataFrame<\/strong>, I use the function&nbsp;<code>get_contract_nums_reindexed_like<\/code>&nbsp;to obtain a DataFrame showing each contract&#8217;s numerical sequence in the contract chain as of any given date.<\/p>\n","protected":false},"author":186,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":true,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":"","jetpack_post_was_ever_published":false},"categories":[339,338,341,352,344],"tags":[851,4676,4582,852,1224,595,494],"contributors-categories":[13675],"class_list":["post-20077","post","type-post","status-publish","format-standard","category-data-science","category-ibkr-quant-news","category-quant-development","category-quant-north-america","category-quant-regions","tag-algo-trading","tag-bollinger-bands","tag-dataframe","tag-machine-learning","tag-pandas","tag-python","tag-quant","contributors-categories-quantrocket-llc"],"pp_statuses_selecting_workflow":false,"pp_workflow_action":"current","pp_status_selection":"publish","acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v26.9 (Yoast SEO v28.0) - https:\/\/yoast.com\/product\/yoast-seo-premium-wordpress\/ -->\n<title>Intraday Futures Calendar Spreads and the Impact of Transaction Costs<\/title>\n<meta name=\"description\" content=\"Backtesting an intraday calendar spread strategy for crude oil futures with pandas DataFrame. 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