Joined: Dec 13, 2012
Posted: Sep 12, 2013 08:03 AM
Msg. 1 of 2
I have a minor suggestion for your consideration of implementation: It would be great if @ES# roll would take into consideration volume traded before rolling to the next month's contract. For example, today IQFeed rolled over to EPZ3, meanwhile EPU3 is more active (based on volume traded).
It would of been great if IQFeed would of checked EPU3's volume before rolling to EPZ3 this morning, as the volume on EPU3 was > than EPZ3 so it shouldn't of rolled, if it was less than EPZ3 then it should of rolled.
IQFeed is an awesome service, keep up the great work :)