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I am trying to handle rolling futures and would like to roll based on OI. I am having problems figuring out how often the futures chain is passed through the OnData. I am using minute resolution and am not getting any futuresChains data. I assume this data comes in once per day?
I have two questions:
- What is the resolution of the FuturesChain OnData?
- How do you filter through this? I have copied this example from the documentation and the forum but it seems like I have no luck. (For a reference example I used this)
Thanks in advance!
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