Can the API request the volume for all contracts of say ES and we pick the highest volume contract
Yes. > , or even better, the API just requests the top volume contract for ES on > a given morning > I don't think so. Expired contracts won't have volume right? > Correct. > Do we need to compare two contracts, and hence, need to know all the > expiry dates for every symbol? > > We need to know the expiration months, but we don't need the exact dates. For example for the ES, we need to compare the September and the December contracts. The other alternative is to simply request subsequent months (September, October, November, December), and ignore the errors. What do you think, Allen? > > > > > On Thursday, August 22, 2013 3:25:02 PM UTC+2, Eugene Kononov wrote: >> >> >> Yes, JBT would have to know what the two nearby contracts are. For >>> example, if I wanted to know what the most liquid ES contract right now, >>> I'd need to request the June and December contracts through the IB API, and >>> compare the volumes. >>> >> >> Correction: the June contract has already expired, so the comparison >> would need to be between the September and the December ES contracts. >> > -- > 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.
