Thanks for clarifying Eugene. I'm working with another programmer on this and I'm keen to get going as I'll be away in September. I think we'll try the "compare the next two contracts" approach as you suggested, using the IB API to check their volume, and see how we get on. Seems like a good approach that should work across all the future symbols anyway. I'll put up the code by the end of the month. If anyone wants to help, we'd be happy to work with them.
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