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QuantConnect.Securities.Interfaces.IContinuousContractModel Interface Reference

Continuous contract model interface. Interfaces is implemented by different classes realizing various methods for modeling continuous security series. Primarily, modeling of continuous futures. Continuous contracts are used in backtesting of otherwise expiring derivative contracts. Continuous contracts are not traded, and are not products traded on exchanges. More...

Public Member Functions

IEnumerator< BaseData > GetContinuousData (DateTime dateTime)
 Method returns continuous prices from the list of current and historical data series for one root symbol. It returns enumerator of stitched continuous quotes, produced by the model. e.g. 6BH15, 6BM15, 6BU15, 6BZ15 will result in one 6B continuous historical series for 2015 More...
 
IEnumerator< DateTime > GetRollDates ()
 Returns the list of roll dates for the contract. More...
 
Symbol GetCurrentSymbol (DateTime dateTime)
 Returns current symbol name that corresponds to the current continuous model, or null if none. More...
 

Properties

AdjustmentType AdjustmentType [get, set]
 Adjustment type, implemented by the model More...
 
IEnumerator< BaseData > InputSeries [get, set]
 List of current and historical data series for one root symbol. e.g. 6BH16, 6BM16, 6BU16, 6BZ16 More...
 

Detailed Description

Continuous contract model interface. Interfaces is implemented by different classes realizing various methods for modeling continuous security series. Primarily, modeling of continuous futures. Continuous contracts are used in backtesting of otherwise expiring derivative contracts. Continuous contracts are not traded, and are not products traded on exchanges.

Definition at line 40 of file IContinuousContractModel.cs.

Member Function Documentation

◆ GetContinuousData()

IEnumerator<BaseData> QuantConnect.Securities.Interfaces.IContinuousContractModel.GetContinuousData ( DateTime  dateTime)

Method returns continuous prices from the list of current and historical data series for one root symbol. It returns enumerator of stitched continuous quotes, produced by the model. e.g. 6BH15, 6BM15, 6BU15, 6BZ15 will result in one 6B continuous historical series for 2015

Returns
Continuous prices

◆ GetRollDates()

IEnumerator<DateTime> QuantConnect.Securities.Interfaces.IContinuousContractModel.GetRollDates ( )

Returns the list of roll dates for the contract.

Returns
The list of roll dates

◆ GetCurrentSymbol()

Symbol QuantConnect.Securities.Interfaces.IContinuousContractModel.GetCurrentSymbol ( DateTime  dateTime)

Returns current symbol name that corresponds to the current continuous model, or null if none.

Returns
Current symbol name

Property Documentation

◆ AdjustmentType

AdjustmentType QuantConnect.Securities.Interfaces.IContinuousContractModel.AdjustmentType
getset

Adjustment type, implemented by the model

Definition at line 45 of file IContinuousContractModel.cs.

◆ InputSeries

IEnumerator<BaseData> QuantConnect.Securities.Interfaces.IContinuousContractModel.InputSeries
getset

List of current and historical data series for one root symbol. e.g. 6BH16, 6BM16, 6BU16, 6BZ16

Definition at line 51 of file IContinuousContractModel.cs.

The documentation for this interface was generated from the following file: