I'm excited to see futures on the platform. I recently wrote an algo and have started backtesting it, I noticed that once I entered into a contract it is not automatically rolled to the next contract after expiry (just like real life trading).
The ContinuousFuture data type has a specified way to roll each contract. I was wondering if there was some way to reuse the code to roll historical data for rolling current contracts. For example I would like to use volume to decide when to roll my contracts, the ContinuousFuture does that for historical data why not make it available for live positions.
I think this would be a useful feature.