I try to record book data using JBT around the clock. The
implementation relies on JBT
7.06. I did this for ES / EUR FUT without any flaw.
However, since I try to do this also with EUR FX the problem start.
Recording is fine the whole day, however, each day at around 11pm
(German Time) (11:00 -11:05) data recording stops. JBT shows no
further time change is also shown in the bottom right corner of JBT.
Strangely enough it seems data recording for ES, EUR FUT continues,
according to
the recorded data only EUR FX was discontinued.
This happens every day..
Here is the EUR FX code I used.
protected StrategyEURFX(StrategyParams optimizationParams) throws
JBookTraderException {
super(optimizationParams);
// Specify the contract to trade
Contract contract = ContractFactory.makeCashContract("EUR",
"USD");
// Define trading schedule
TradingSchedule tradingSchedule = new TradingSchedule("0:00",
"23:59", "Europe/Berlin");
// Not sure about the correct schedule: it is basically around
the clock, but it seesm JBT
// does not allow this.
int multiplier = 1;// contract multiplier
double bidAskSpread = 0.0001; // prevalent spread between best
bid and best ask (a bit on the high side)
Commission commission =
CommissionFactory.getForexCommission();
setStrategy(contract, tradingSchedule, multiplier, commission,
bidAskSpread);
}
Any suggestions welcome.
Thanks
Klaus
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