Volume Continuous Futures (VolumeContinuousSecurity)

Overview

The VolumeContinuousSecurity class represents a continuous futures contract where the transition (rollover) between contracts occurs based on trading volume or open interest. This differs from ExpirationContinuousSecurity, where switching is performed according to predefined expiration dates.

Both classes inherit from ContinuousSecurity, which in turn inherits from BasketSecurity.

Difference from ExpirationContinuousSecurity

ExpirationContinuousSecurity requires manually specifying transition dates for each contract. VolumeContinuousSecurity automatically switches to the next contract when its trading volume (or open interest) exceeds the specified threshold.

Main Properties

public class VolumeContinuousSecurity : ContinuousSecurity
{
    // List of inner securities (contracts), ordered by rollover sequence
    public SynchronizedList<SecurityId> InnerSecurities { get; }

    // Use open interest instead of volume for rollover determination
    public bool IsOpenInterest { get; set; }

    // Volume threshold at which switching to the next contract occurs
    public Unit VolumeLevel { get; set; }
}

The VolumeLevel property has the Unit type, which allows specifying both absolute and percentage values.

Usage Example

using StockSharp.Algo;
using StockSharp.Messages;

// Create a volume-based continuous futures
var continuous = new VolumeContinuousSecurity
{
    Id = "RTS-CONT@FORTS",
    Board = ExchangeBoard.Forts,
};

// Add contracts in rollover order
continuous.InnerSecurities.AddRange(new[]
{
    "RTS-3.26@FORTS".ToSecurityId(),
    "RTS-6.26@FORTS".ToSecurityId(),
    "RTS-9.26@FORTS".ToSecurityId(),
});

// Set volume threshold for switching
continuous.VolumeLevel = new Unit(10000);

// Or use open interest
continuous.IsOpenInterest = true;
continuous.VolumeLevel = new Unit(50000);

Example with ExpirationContinuousSecurity for Comparison

using StockSharp.Algo;
using StockSharp.Messages;

// Expiration-based continuous futures
var expContinuous = new ExpirationContinuousSecurity
{
    Id = "RTS-CONT-EXP@FORTS",
    Board = ExchangeBoard.Forts,
};

// Specify exact transition dates for each contract
expContinuous.ExpirationJumps.Add(
    "RTS-3.26@FORTS".ToSecurityId(),
    new DateTime(2026, 3, 15)
);
expContinuous.ExpirationJumps.Add(
    "RTS-6.26@FORTS".ToSecurityId(),
    new DateTime(2026, 6, 15)
);

When to Use

VolumeContinuousSecurity is suitable for situations where:

• Exact rollover dates are not known in advance
• Switching based on liquidity (trading volume or open interest) is required
• A more adaptive transition that responds to market conditions is needed

ExpirationContinuousSecurity is preferred when expiration dates are known in advance and deterministic rollover is required.