I just looked, I think the only other security that follows this 3 business days before the 25th (or prior business day to the 25th) logic:
- *MB* - Gulf Coast Sour Crude Oil So probably I need to rename my utility classname, sorry I didn't research this before picking the name. However, I wrote it in such a way, that I can make a base class and reuse it for securities that follow rules like "x business days prior to xyz", etc, etc. So, if you give me another security you like, I'll write unit tests and refactor in such a way. Also, during development, I read something about how IB changes the "label" of the security on expiration day. I think we are ok, because by the time we get to expiration day, we are already using the next security. I just point out that IB does something screwy with the NYMEX ones, due to the nominal security name "Feburary", actually expires in January. I don't think this impacts our logic, but I want to watch the system closely on expiration day to make sure this behavior doesn't translate to anything evil. Marcus On Wed, Jan 9, 2013 at 4:16 PM, Eugene Kononov <[email protected]>wrote: > Thanks, Marcus. I glanced quickly, it looks solid. I'll review more > formally later. Are there any other futures contracts which expire on the > same schedule as CL? > > > On Wed, Jan 9, 2013 at 6:58 PM, Marcus Williford <[email protected]>wrote: > >> Commited the change to my CL feature branch already, so I just merged it >> to default branch and pushed. >> >> Please review, and report back any concerns. Note, the setting for when >> to switch over the contracts is currently 8 business days, which I pulled >> out of thin air. So, some follow-up will be done to adjust this to >> something realistic. >> >> Marcus >> >> >> >> On Wed, Jan 9, 2013 at 3:23 PM, nonlinear <[email protected]>wrote: >> >>> >>> >>> On Wednesday, January 9, 2013 4:29:28 PM UTC-5, mwsailing wrote: >>>> >>>> For those who might be interested, I wrote support for the NYMEX Future >>>> of CL (Light Sweet Crude). The NYMEX security expires 3 business days >>>> prior to the 25th, and if the 25th falls on a weekend, add more days. So >>>> it follows these rules.Marcus >>>> >>>> >>> Marcus, I assigned a "committer" role to you. Feel free to add/commit >>> your code to trunk. I'll review it from there. Thanks for the contribution. >>> >>> -- >>> You received this message because you are subscribed to the Google >>> Groups "JBookTrader" group. >>> To view this discussion on the web visit >>> https://groups.google.com/d/msg/jbooktrader/-/nfUJGJHA7esJ. >>> >>> 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. >>> >> >> -- >> 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. >> > > -- > 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. > -- 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.
