IContinuousContractModel
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.
input_series: IEnumerator[BaseData]
List of current and historical data series for one root symbol. e.g. 6BH16, 6BM16, 6BU16, 6BZ16
get_continuous_data(
date_time: Union[datetime, date],
) -> IEnumerator[BaseData]
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:
| Type | Description |
|---|---|
IEnumerator[BaseData]
|
Continuous prices. |
get_current_symbol(
date_time: Union[datetime, date],
) -> Symbol
Returns current symbol name that corresponds to the current continuous model, or null if none.
Returns:
| Type | Description |
|---|---|
Symbol
|
Current symbol name. |
get_roll_dates() -> IEnumerator[datetime]
Returns the list of roll dates for the contract.
Returns:
| Type | Description |
|---|---|
IEnumerator[datetime]
|
The list of roll dates. |