I am half way through the implementation of this new mechanism for the determination of the most liquid contract. Specifically, as Alexander suggested, for a given ticker, I request 7 contracts, with the expiration month starting from the current month, and incrementing the expiration month by 1. Then I compare the volume, and the contract with the highest volume is chosen as the "most liquid" contract. This appears to work well for the ES, but unexpectedly, I got the wrong results for the CL. The most liquid CL contract should be the October 2013 contract, but my implementation resulted in the January 2014 contract. So, to see what's going on, I requested all 7 CL contracts in TWS. I attached the screenshot of the results. As can be seen, the October 2013 contract does have higher volume than the November 20013 and the December 2013 contracts, as expected. However, the January 2014 contract has an even higher volume, so it wins. I should note that it's about 7:15 pm EST, barely the beginning of the new trading session, so perhaps this explains the discrepancy.
Or perhaps there is some other explanation? On Mon, Aug 26, 2013 at 10:23 AM, Mick O'Donnell <[email protected]>wrote: > 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. > -- 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.
<<attachment: oilContracts.png>>
