QuantConnect / QuantConnect/Lean
Add Automatic Contract Rollover
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feature
- Dominant language
- C#
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Description
Expected Behavior
Have user-defined future/option control rollover rules. This will be useful for trading continuous contracts for futures and
certain option strategies that rely on rollovers.
Actual Behavior
Currently, contracts expire and positions are liquidated.
Potential Solution
Have user-defined rollover module which allows contracts to rollover on expiration.
Reproducing the Problem
Holding a contract until expiration liquidates our position and doesn't rollover.
System Information
Windows 10
Checklist
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Assessment
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