A continuous futures series is a splice, not a single instrument. Front-month contracts expire, trading rolls to the next one, and if that handoff isn't adjusted for, the price series has an artificial jump sitting in it at every roll date — sized by whatever the front-to-next-month spread happened to be that day, with no relationship to anything the strategy is actually reacting to. A stop-loss set the day before a roll is now measured against a price series that moved for a reason unrelated to the market.
Configuring the roll
roll_cycle_months and roll_days_before_monthend, set per-ticker via ticker_overrides, control when a continuous contract rolls and how far ahead of month-end it happens — quarterly, monthly, whatever the underlying contract's own cycle actually is. Left empty, the default, rolling is disabled entirely, identical to today's behavior for a ticker that doesn't need it.
cfg = reamer_py.DefaultExecutionModelConfig()
cfg.roll_cycle_months = [3, 6, 9, 12] # quarterly cycle
cfg.roll_days_before_monthend = 5 # business days before month-end; default
What the roll actually adjusts
The roll is a ratio-rebase applied to execution-model bookkeeping — an open position's entry price, any attached take-profit or stop-loss, and any resting order price levels are all ratio-adjusted forward from the roll date, so a stop set relative to the old contract stays correctly positioned relative to the new one. That's what actually prevents the fake-gap problem from corrupting a strategy's risk levels across a roll, and every applied roll is logged — ticker, timestamp, and the exact ratio used — so which adjustments fired is always inspectable after the fact rather than trusted blindly.
The one real limit — this doesn't rewrite history
Roll adjustment fixes execution bookkeeping. It does not rewrite historical bars — a strategy's own price history still shows the raw splice jump across the roll boundary exactly as it was in the source data. Anything computed from a lookback window that spans a roll date — a moving average, a breakout level, a volatility measure — sees the same discontinuity it would see with roll adjustment turned off entirely. Calling this a general-purpose continuous-contract price adjustment would be exactly the kind of overclaim Reamer's approach to execution modeling exists to avoid — it protects the bookkeeping around a position, not the price series a strategy reads from.
Full reference: docs · The execution model this rests on: execution specification · The workflow this maps onto: reamerlabs.com