How do I track the 321 Crack Spread in TradeStation?

June 10, 2010 admin 31 comments

Question: A customer asked how to track the 321 Crack Spread in TradeStation, like he has seen on a Bloomberg terminal and other platforms.

Answer: The 321 Crack Spread is based on shorting 3 contracts of Crude Oil, being long 2 contracts of Gasoline and being long 1 contract of Heating Oil. Calculating the 321 Crack Spread involves three data streams. Traditionally for Gasoline one would use the NY Harbor Unleaded (HU) contract which no longer exists. The E-mini Gasoline (QU) contract follows HU well, but has little liquidity. So I have replaced the HU contract with the highly liquid NY Harbor Blendstock (RB) contract in the following formula:

CrackSpread = -3 * (Close Data1) + 2 * (Close Data2 * 42) + 1 * (Close Data3 * 42);

Data1 = @CL
Data2 = @RB (replacement for the defunct @HU contract)
Data3 = @HO

Let me know by email and I’ll provide you with a more detailed EasyLanguage indicator and an example workspace charting the CrackSpread.

There is more information about the 321 Crack Spread here:

321 Crack Spread explanation

321 Crack Spread Q&A

Regards,

David O’Dell

Questions & Answers none

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How do I track the 321 Crack Spread in TradeStation?

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