Hello Michael, Thank you very much for your testing efforts. Initially, I thought of some sort of automated test for it, but since the most liquid contract changes over time, it would be difficult to set such an automation. So, the manual testing that you are doing is just fine for our purposes. I do have a suggestion that should make your testing easier. The calculation of the most liquid contract only happens when you restart JBT and kick off the strategy in either the "trade" ode, or the "forward test" mode. So, to test a particular futures contract, it's enough to just start the corresponding strategy in the "forward test" mode, some time before the regular trading session starts. For example, the ES regular hours are 9:30am EDT to 4pm EDT. Since the ES trades pretty much around the clock, it would be sufficient to start an ES strategy any time before 9:30am EDT on any particular day, and verify that JBT selects the contract with the highest volume. There is no need to run that strategy all day, since the most liquid contract would not be recalculated until JBT restarts. Consequently, you don't need multiple IB user accounts to test multiple futures, because you can just test them in sequence (i.e., test a couple, restart JBT, test another couple, etc.).
Please make sure you have the latest code from the Mercurial/HG code repository. Thanks again, Eugene. On Mon, Sep 30, 2013 at 9:23 AM, Mick O'Donnell <[email protected]>wrote: > Hi all, > > I'm testing out the new contract code Eugene implemented in 9.02. I'm > collecting data on most of the follow symbols, following Eugene's comment > above: > > "Equity: ES, YM, NQ > Energy: CL, NG > Interest Rates: ZN, ZF, ZB, GE > Forex: 6E, 6J, 6A, 6B > Agriculture: ZC, ZS, ZL, ZW > Metals: GC, SI, HG" > > I ran out of IB user accounts to collect data for 6B (GBP), ZL, HG & SI, > if someone would like to collect data on these, we can share in the future. > I'm updating a spreadsheet each morning to keep track of each contract JBT > to collecting data on for each symbol. This is just in case, for some > reason, it isn't collecting data on the contract with the highest volume. > The spreadsheet is here: > > https://docs.google.com/spreadsheet/ccc?key=0AhnMZSbcxSoHdEhpX0c1bXhZLXZESDNjd1hKdUROTUE#gid=0 > > I'm restarting JBT at 08:30 each morning. I'm worried that starting JBT > too early (I'm in Europe) could have an impact of the contract selection > (early in the day, low volume, etc). Or is volume calculated over the last > 24 hours? If anyone has any thoughts on this, could they let me know, > thanks. > > regards, > > 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.
