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» @ES# roll based on volume
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| Author | Topic: @ES# roll based on volume (2 messages, Page 1 of 1) |
 jpm -Interested User- Posts: 5 Joined: Dec 13, 2012 
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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 :) |
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iDoc -Interested User- Posts: 4 Joined: Oct 16, 2014 |
Posted: Dec 10, 2015 01:18 PM
Msg. 2 of 2
Yes please roll on Friday for ES#. Continuous data should follow contract that has most volume.
Also thanks for providing unbundled tick data. |
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