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Continuous Future Prices

Hello,

Is there a continuous future price in the future chains? What kind of method is used for the roll-over?

Thanks

Update Backtest








We haven't implemented continuous contracts yet.
When a contract expires, it is delisted and the algorithm liquidates it, so you need to have some logic in place to open a position with the next contract. 

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That's a stopper for futures backtesting. It's a relatively complex piece of code, and it's quite hard to do outside of the data management component (i.e. by a user of the system like all of us).

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Thanks Ivan, its on our list =) Thank you for your patience.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Jared is there an ETA on this? I really like QC but can't backtest futures without a continuous time series.

I'm looking at the logic you posted above. Could we create a time-series and record prices from the contract with highest volume, then when a new contract is identified, add/subtract the difference to shift the entire series? That should create a continuous time-series, but I am new to QC and don't know if this is actually feasible.

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Update Backtest





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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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