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Intraday Futures Calendar Spreads

This tutorial demonstrates the mechanics of intraday trading of futures calendar spreads. Uses crude oil futures and 1-minute bid/ask bars from Interactive Brokers with a Bollinger Band mean reversion strategy. Runs in Moonshot.

Native vs non-native spreads

For backtesting, non-native spreads are used. That is, the spread is computed in the Moonshot code from the historical market data of the individual legs.

For live/paper trading, exchange native combos are used. Native combos typically offer narrower bid-ask spreads compared to trading the legs separately. Interactive Brokers provides real-time market data for native combos but does not provide historical data for native combos, hence the need to backtest with non-native spreads.

(For more on combos, see the usage guide.)

Backtesting (non-native spreads)

Live/Paper trading (native spreads)