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Rolling futures a set number of days before expiry
Liam Kane
edited
Seeking Help Using Data Futures

I have found how to access the auto_close_date for a future, and I see that continuous futures can be set to automatically start referring to the next future at that date, but I cannot find any way to change which contract the continuous future considers active X days before the auto close. When creating the continuous future I have an option to point it a set number of months ahead by default, but that's not what I want. Is there an option to roll by 'calendar with offset'? If not, how can I access the 'backtest today' to compare it to the auto_close_date?

Thanks in advance.

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