> Today CME started phased implementation of the 10-deep market book. > Deeper order book is already available for CBOT commodity and equity > index futures through Interactive Brokers. Although I don't have any > info regarding GLOBEX futures, I assume ES will eventually get it > too. > > Is JBT ready for 10-deep market book?
Yes, I saw that announcement about the 10 level depth. I already see YM showing 10 levels in TWS. In JBT code, the only reference to the book depth is in this line in TraderAssitant.java: socket.reqMktDepth(ticker, contract, 5); For the next release, I'll refactor this code so that there are no explicit references to book size. That way, JBT would work with any size. In the meanwhile, you guys can change this to socket.reqMktDepth (ticker, contract, 10) for experimentation purposes. It would be very interesting to see what impact the larger depth has on the strategies. --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
