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Support on "back contracts" of continuous futures

Open LouisSzeto opened this issue 3 years ago • 0 comments

Expected Behavior

using contractDepthOffset = n could get both front and back contracts in particular.

Actual Behavior

https://www.quantconnect.com/forum/discussion/12644/continuous-futures-support/p1/comment-39158 The maximum contract depth is unknown, so back contract cannot be fetched.

Potential Solution

Provide MaximumContractDepth attribute on continuous futures, or allow contractDepthOffset = -1, etc.

Reproducing the Problem

N/A

System Information

N/A

Checklist

  • [X] I have completely filled out this template
  • [X] I have confirmed that this issue exists on the current master branch
  • [X] I have confirmed that this is not a duplicate issue by searching issues
  • [ ] I have provided detailed steps to reproduce the issue

LouisSzeto avatar Mar 29 '22 01:03 LouisSzeto