Hello,
you create the symbol with the ConID of two legs. Every e.g. futures contract has a conid, so you can combine to symbols to one symbol e.g. calendar spread. You can get the conid over the api or on the website under contract details,
Contract Identifiers (see screenshot). And this symbol "Combination" receives in TWS also quotes like a single symbol, and you can trade this Combination... like a single symbol.
SecurityType for this is "BAG"!
E.g. to receive calendar spread qoutes for E-MINI S&P 500
Code: Select all
AxTws1.clearComboLegs()
AxTws1.addComboLeg(44664590, "BUY", 1, "GLOBEX", 0)
AxTws1.addComboLeg(44965335, "SELL", 1, "GLOBEX", 0)
AxTws1.reqMktData(1, "ES", "BAG", "", 0, "", "", "GLOBEX", "", "USD", "")
In the API documentation you have to look under
"Place a Combination Order"
http://www.interactivebrokers.com/php/w ... _combo.htm
In the new api version it should possible to receive quotes from more than only one combination...
So maybe in MC you would have to add a new security type (BAG) and work with this conids?
Combination ticker have only bid asd data, no trades. See schreenshot "combo" a calendar spread of ecbot ZG Gold future.