Is there any way to extract the individual legs from an Exchange Traded Spread Instrument?
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
Best Answer
@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.
Thank you Damon.
There is a lot of information available in the API that isn't accessible in ADL.
