ContinuousSecurity

var sv = new ContinuousSecurity { Id = "SV", Code = "SV", MinStepSize = 0.01M, Exchange = Exchange.Rts, };
sv.ExpirationJumps.Add(new Security { Id = "SVH2@RTS", MinStepSize = 0.01M, Exchange = Exchange.Rts, }, new DateTime(2012, 3, 15, 18, 45, 00));
sv.ExpirationJumps.Add(new Security { Id = "SVM2@RTS", MinStepSize = 0.01M, Exchange = Exchange.Rts, }, new DateTime(2012, 6, 15, 18, 45, 00));
sv.ExpirationJumps.Add(new Security { Id = "SVU2@RTS", MinStepSize = 0.01M, Exchange = Exchange.Rts, }, new DateTime(2012, 9, 15, 18, 45, 00));
sv.ExpirationJumps.Add(new Security { Id = "SVZ2@RTS", MinStepSize = 0.01M, Exchange = Exchange.Rts, }, new DateTime(2012, 12, 15, 18, 45, 00));
            
var portfolio = new Portfolio { Name = "test account", BeginValue = 1000000m };

var storageRegistry = new StorageRegistry();
((LocalMarketDataDrive) storageRegistry.DefaultDrive).Path = @"C:\Worke\MDD";

_emulationTrader = new EmulationTrader(
    new[] { sv },
    new[] { portfolio })
    {
       StorageRegistry = storageRegistry,
       UseMarketDepth = false,
       TradesKeepTime = new TimeSpan(4),
    };

var strategy = new VoprosStrategy(_emulationTrader, sv, portfolio);

_emulationTrader.Connect();
_emulationTrader.StartExport();
_emulationTrader.Start(new DateTime(2012, 01, 01), new DateTime(2012, 12, 31));

strategy.Start();

protected override void OnStarted()
{
    var candleManager = new CandleManager(Trader);
    var series = new CandleSeries(typeof(TimeFrameCandle), Security, TimeSpan.FromHours(1));
    candleManager.Start(series);
            
    Security
       .WhenNewTrades()
       .Do(ProcessTrades)
       .Apply(this);

    series
       .WhenCandlesFinished()
       .Do(ProcessCandle)
       .Apply(this);
    
    base.OnStarted();
}