That seems to be a guaranteed right answer every time (aan het + infinitive at the end of a sentence), but I have seen correct solutions where this element doesn't have to go at the end (one such example is "ik ben aan het wachten op mijn zus"; or simultaneously, "ik ben op mijn zus aan het wachten").
I still don't fully comprehend why this is the case, but I'm assuming it's something to do with Dutch's flexible, yet seemingly rigid syntax.
I don't know about you, but that sounds unnatural to me. "I am in" would be perfectly fine - maybe not something I would say in my dialect, but OK nonetheless - but "I am in, playing" feels like you're artificially making the sentence shorter by sacrificing actual meaning.
Dutch doesn't have exact continuous form, so present form can be used for continuous form. However Dutch use emphasis to say that the person is doing something; one of the ways is using "aan het." "Aan het" is basically "on something". Like for example, "hij is aan het lezen" means "he is on the reading" or something like that.