QuantConnect / QuantConnect/Lean

Add Automatic Contract Rollover

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#4,734 2 comments 23 reactions 1 assignee View on GitHub

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feature
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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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  • I have confirmed that this issue exists on the current master branch
  • I have confirmed that this is not a duplicate issue by searching issues
  • I have provided detailed steps to reproduce the issue

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  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Assessment

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