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Continuous futures

ContinuousSecurity - continuous instrument (typically futures), containing the instruments affected by expiration (expiry of period of activity).

For example, two futures of the ES index - ESM5 and ESU5. When the ESM5 expired it automatically switches to the next instrument - ESU5.

ContinuousSecurity can be traded in the same way as Security. Prior to the RIM5 expiration an algo will be carried with this instrument. After the expiration an algo will be carried with RIU5, etc.

ContinuousSecurity creating

  1. To declare the compound instruments that will be included in the ContinuousSecurity and in the ContinuousSecurity itself:

    private Security _esm5;
    private Security _esu5;
    private ContinuousSecurity _es;
  2. To create the ContinuousSecurity:

    _es = new ContinuousSecurity { ExchangeBoard = ExchangeBoard.Nyse, Id = "ES" };
  3. To add the compound instruments to it, specified the date and time of expiration for each added instrument:

    _es.ExpirationJumps.Add(_esm5, new DateTime(2015, 6, 15, 18, 45, 00));
    _es.ExpirationJumps.Add(_esu5, new DateTime(2015, 9, 15, 18, 45, 00));