BRENT 0 volume
#1532
Replies: 1 comment
-
Ah nevermind, it seems one should trade BRENT-LAST not BRENT. No volume for the former on IB... |
Beta Was this translation helpful? Give feedback.
0 replies
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Uh oh!
There was an error while loading. Please reload this page.
-
I was wondering if anyone trades BRENT? I've come across a couple issues that I'm unclear on.
The first, and possibly less interesting, is that while the rollconfig.csv appears to have the Roll Cycle as monthly, the roll calendar in roll_calendars_csv appears to be yearly. So I was curious does one roll it monthly or yearly?
The second is a bit more involved. I used bc-utils to get historical data, and on Barchart, the daily volume for BRENT seems robust. However, once I start updating the data daily from IB, the volume goes to 0 on all contracts, and when pysystemtrade attempts to take a position the log shows
2025-05-28 14:25:53 DEBUG stack_handler {'type': 'run_stack_handler', 'strategy_name': 'carry_trend_dynamic', 'instrument_code': 'BRENT', 'contract_order_id': 1439, 'instrument_order_id': 1396} Cut down order from size [0] to [-1] because of liquidity
which I assume is because it can't execute a trade with no liquidity? In any event, a position is never taken. I guess I'm curious if anyone else has come across this, and could it be due to an issue with the symbol or IB?
Thanks as always,
Beta Was this translation helpful? Give feedback.
All reactions