Hi, how can I create a continous contract for ES or other futures using Interactive Brokers data?
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Hello tarnation,
Thanks for your post.
Continuous contracts are not supported with IB.
You can use the default merge policy of MergeBackAdjsuted and open the current front month to have past contracts merge to the current and adjust for gaps at rollover similar to a continuous contract. This setting is under Tools> Options> Data
Below I have provided a link to the Understanding Merge Policies section of the help guide.
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