Hi Alexander, Thank you for that clear explanation. That makes complete sense. I have three follow up questions if you don't mind:
1. In terms of determining the correct contract, is checking the daily volume adequate, or should we be checking a second data point (possibly spread)? If so, which would take priority? 2. What is the difference between "Volume" and "Volume Min" and which should we use to determine the most liquid contract? 3. For this new method, can we simply check the seven months and let JBT decide, once a comparison has been made with the Dev/Nov contract) not to use the Sept contracts for the grains as the volume will likely be lower in Sept? Or should we write a specific exemption for Sept into the method for ZC, ZW & ZS? I presume there is no real harm if, in the unlikely event that a Sept contract does happen to have the highest volume for a day, it is used. Or would cause an issue? Many thanks again, Michael. -- 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.
