Why VeighNa Spread Trading Cannot Submit SHFE Standard Spread Contracts

Summary

The post explains why a VeighNa user may be able to retrieve an SHFE standard spread contract through contract lookup but fail to submit an order. It attributes the problem to a mismatch between exchange combination contracts and the spread trading module’s order path: the module is designed to construct spreads from two individual futures legs and send separate orders for those legs. The post says this path uses a single-leg open offset, while SHFE combination orders require combination-style offset fields, which the described CTP mapping does not provide.

As a workaround, it recommends defining the two outright contracts as separate spread legs and trading them through the spread algorithm. This is a software-specific explanation based on the author’s account of documentation and source code, rather than independent confirmation of every broker’s behavior. It also does not discuss legging risk, margin treatment, or whether separately submitted legs reproduce the execution and fee characteristics of an exchange-listed spread.

Key ideas

• The post distinguishes exchange-defined spread contracts from spreads assembled by a trading application.
• It says VeighNa’s spread module submits orders for individual legs rather than the SHFE combination contract.
• The described CTP order mapping uses a single-leg offset that may not satisfy combination-order requirements.
• The suggested workaround is to configure the two outright futures as separate legs and trade the constructed spread.
• Separate leg orders can have execution characteristics that differ from a single exchange combination order.

Tags

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