Class RollSettings

Namespace

Balsam.Utility

Assembly

Balsam.Backtester.dll

Roll settings.

public class RollSettings

Inheritance

object

RollSettings

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Extension Methods

Excel.ExportToExcel(object)

Clipboard.CopyToClipboard(object)

Properties

Adjustment

Gets/sets the roll adjustment.

public AdjustmentType Adjustment { get; set; }

Property Value

AdjustmentType

AllowLookahead

When using more than one consecutive days, allow backadjuster to peek into the future.

public bool AllowLookahead { get; set; }

Property Value

bool

CanSkipDelivery

Gets/sets whether the back adjuster is allowed to skip a delivery month when rolling on volume or open interest.

public bool CanSkipDelivery { get; set; }

Property Value

bool

ConsecutiveDays

Gets/sets the numer of consecutive days needed to trigger a roll.

public int ConsecutiveDays { get; set; }

Property Value

int

DayType

Gets/sets the type of day calculation.

public DayType DayType { get; set; }

Property Value

DayType

DaysPrior

Gets/sets the number of days prior to the roll point.

public int DaysPrior { get; set; }

Property Value

int

Default

Gets the default roll settings.

public static RollSettings Default { get; }

Property Value

RollSettings

EndDate

Gets/sets the end date (or null to use all available history).

public DateTime? EndDate { get; set; }

Property Value

DateTime?

Methodology

Gets/sets the type of continuous contract to build.

public ContinuousContractType Methodology { get; set; }

Property Value

ContinuousContractType

MonthsForward

Gets/sets the number of months forward.

public int MonthsForward { get; set; }

Property Value

int

MonthsPrior

Gets/sets the number of months prior to the roll point.

public int MonthsPrior { get; set; }

Property Value

int

ReferenceDate

Gets/sets the anchor date.

public DayAnchor ReferenceDate { get; set; }

Property Value

DayAnchor

RollBy

Gets/sets whether a fail-safe roll will occur irrespective of volume or open interest

public bool RollBy { get; set; }

Property Value

bool

RollTime

Gets/sets the time of day to roll.

public TimeSpan? RollTime { get; set; }

Property Value

TimeSpan?

RollTrigger

Gets/sets the roll trigger.

public RollTrigger RollTrigger { get; set; }

Property Value

RollTrigger

StartDate

Gets/sets the start date (or null to use all available history).

public DateTime? StartDate { get; set; }

Property Value

DateTime?