Support Board
Date/Time: Sun, 06 Jul 2025 19:48:17 +0000
Post From: ascil: how to get underlying contract name for a continuous futures trade
| [2019-06-05 05:18:00] |
| uM8137 - Posts: 183 |
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For cross-referencing, when using continuous futures contracts, is it possible to get the underlying contract that an order filled with? (in a backtest, from within ASCIL DLL code). For example, though all /CL trades might be labelled with CLN19 (the front month at the time of this writing) for the purposes of reporting in the trade activity log, within the DLL code I would like to learn which trades were actually filed against which of CLM19, CLK19, CLJ19, CLH19... historically. Is there a way to get the actual contract symbols for the backtest orders? Or a way to learn the crossover timepoints used so that I can figure it out from the date of the trade? Thanks a ton!
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