That's what I do at work. I don't have it done in JBT but that's what I would do, and probably will do when I pick JBT back up again.
On Thu, Aug 22, 2013 at 8:07 AM, Eugene Kononov <[email protected]>wrote: > > 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. > -- 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.
