Building a Semi-Automated Commodity Futures Calendar Spread Tool

Summary

This article explains how to build an interactive tool for calendar spread trading in commodity futures. It outlines checking the CTP connection, fetching quotes for two delivery months, calculating their price difference, and plotting that spread over time. The chart is intended to help traders observe recent spread movements; it does not itself generate an entry or exit signal.

The execution example adds strategy controls for increasing or reducing either side of a hedge. Commands are read from the platform and routed through a task queue, with callbacks placing the corresponding order in the second contract after the first order returns. This creates a semi-automatic workflow in which the trader initiates actions while the tool handles paired order steps. The article notes that intertemporal arbitrage is not risk-free: a spread can continue moving against a position and produce a floating loss. It presents no performance results, hedge sizing method, exit rules, or treatment of partial fills, so risk control and order behavior require additional design.

Key ideas

• A calendar spread compares prices for two delivery months of the same commodity futures contract.
• The tool calculates and plots the difference between the selected contract prices.
• Interactive commands let a trader initiate paired orders through a task queue.
• The second leg is submitted in a callback after the first leg returns.
• A spread position can lose while the price difference moves further in an adverse direction.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.