Is there any way to extract the individual legs from an Exchange Traded Spread Instrument?

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I am trying to make sure that an Autospreader matches the Exchange Traded Spread Instrument it is spreading.

And checking price vs price doesn't work because the price could be different in the pre-open than the legs show.

Thanks

JFP

Answer 1

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Answer by Damon · Apr 05, 2017 at 06:09 PM

@JFP@ www.algoworkshop.com

Yeah good question..... well we are currently working on building a Custom Spread type block that you can separate Exchange Listed Spread contracts to the individual Legs. However right now there is not an efficient or easy way to accomplish this task I am afraid.

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Answer 2

Answer by JFP · Apr 06, 2017 at 01:03 AM

Thank you Damon.

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Answer 3

Answer by JFP · Apr 06, 2017 at 01:05 AM

There is a lot of information available in the API that isn't accessible in ADL.

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Is there any way to extract the individual legs from an Exchange Traded Spread Instrument?

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