QuantConnect / QuantConnect/Lean
Supports Multiple Continous Contracts for a Future
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feature
- Dominant language
- C#
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Description
Expected Behavior
Supports multiple continous contracts for a future, e.g. \ES1, \ES2.
Actual Behavior
Lean only support one continous contract per future.
Potential Solution
N/A
Reproducing the Problem
Add two Future objects:
_continuousContract0 = AddFuture(Futures.Indices.SP500EMini, contractDepthOffset: 0);
_continuousContract1 = AddFuture(Futures.Indices.SP500EMini, contractDepthOffset: 1);
Observe that the second one is not updated (prices are zero) and Mapped is always null.
Checklist
- I have completely filled out this template
- I have confirmed that this issue exists on the current
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
- I have provided detailed steps to reproduce the issue
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start with the AddFuture calls in the reproduction and trace how two SP500EMini Future objects with contractDepthOffset values 0 and 1 are registered and updated. Reproduce the issue, then verify that both objects receive nonzero prices and that the second object's Mapped value is populated.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- fintech-quant
- Issue type
- Bug
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100