On Thu, Aug 22, 2013 at 8:56 AM, Allen Whitt <[email protected]> wrote:
> How is it currently done in JBT? Why not just use traded volume as a > proxy? Usually on roll day the volume will be even and the day after it > will be greater in the roll contract. That's probably what I would use. > (It's what I do now.) > > The way it is currently done in JBT is by manually coding the expiration and expiration rules for each contract (MostLiquidContract.java for the ES, and CLNYMEXMostLiquid.java for the CL). Using the traded volume to determine the most liquid contract is certainly an option. That would require requesting the two nearby contracts using the IB API, and comparing the volume. Is that what you have already built-in, Allen? -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader. For more options, visit https://groups.google.com/groups/opt_out.
