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.
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.)