Hello Michael, Thank you very much for continuing to test contract expirations every day. I noticed that in the spreadsheet, the most liquid CL contract changed from Dec 2013 to Jan 2014, as expected. Regarding the GE, do you remember the time of the day when you encountered that issue with the changing expiration?
Thanks, E. On Monday, October 28, 2013 7:55:35 AM UTC-4, Mick O'Donnell wrote: > > Hi Eugene, > > I've been testing the volume checking code each morning and recording the > results. You can see there was a slight issue when the GE contract > temporarily jumped to 201403, before returning to 201312 (highlighted in > red): > > https://docs.google.com/spreadsheet/ccc?key=0AhnMZSbcxSoHdEhpX0c1bXhZLXZESDNjd1hKdUROTUE&usp=drive_web#gid=0 > > I think it would be slightly safer to check 4 months for each strategy, > and 7 for the grains (ZC, ZS, ZW) as Alex suggested. I made this change > locally by adding a parameter to the setStrategy method, as below, in each > base strategy: > > .... > int contractMonths = 7; // contract months to check for volume > .... > setStrategy(contract, tradingSchedule, multiplier, commission, > bidAskSpread, contractMonths); > > ... and I'm using that int in the Strategy and TradeAssistant classes > (attached). I'll continue monitoring the volume checks to see if there's > anything else that could upset the data. > > 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.
