Class Roll

Namespace

Balsam

Assembly

Balsam.Backtester.dll

A class used to encapsulate roll information.

public class Roll : ITrade

Inheritance

object

Roll

Implements

ITrade

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

Extension Methods

Excel.ExportToExcel(object)

Clipboard.CopyToClipboard(object)

Constructors

Roll(DateTime, DateTime, DateTime)

Instantiates a new roll object.

public Roll(DateTime date, DateTime oldContractDate, DateTime newContractDate)

Parameters

date DateTime

oldContractDate DateTime

newContractDate DateTime

Properties

Commission

Gets/sets the one side commission per share/contract in local currency terms.

public double Commission { get; set; }

Property Value

double

Date

Gets the date on which the roll took place.

public DateTime Date { get; }

Property Value

DateTime

Instrument

Gets/sets the instrument.

public Instrument Instrument { get; set; }

Property Value

Instrument

NewContractDate

Gets the delivery date of the new contract

public DateTime NewContractDate { get; }

Property Value

DateTime

OldContractDate

Gets the delivery date of the old or expiring contract.

public DateTime OldContractDate { get; }

Property Value

DateTime

Price

Gets/sets the spread price expressed as old contract close minus new contract close.

public double Price { get; set; }

Property Value

double

Quantity

Gets/sets the number of contracts rolled.

public double Quantity { get; set; }

Property Value

double

Slippage

Gets/sets the one side slippage per share/contract in decimal terms (e.g. 0.0001 = 1 tick of slippage for EC)

public double Slippage { get; set; }

Property Value

double

StrategyName

Gets/sets the strategy name.

public string StrategyName { get; set; }

Property Value

string

Symbol

Gets/sets the symbol.

public string Symbol { get; set; }

Property Value

string

TotalCommissions

Gets the total roll commissions in local currency terms.

public double TotalCommissions { get; }

Property Value

double

TotalQuantity

Gets the total number of contracts traded (Quantity * 2)

public double TotalQuantity { get; }

Property Value

double

TotalSlippage

Gets the total roll slippage in local currency terms (does not include the PointValue multiplier).

public double TotalSlippage { get; }

Property Value

double

Methods

ToString()

Returns a string representation of this roll object.

public override string ToString()

Returns

string