Continuous Contract History

[JayUT]

When back testing futures contracts I have been using the continuous contract symbol #-# CL with Kinetick end of day data. I wanted to double check that the intraday movement of this data mirrors that of the particular contract month being traded at that time. For example the continuous contract for CL shows that on 5/12/10 from 10:20 to 10:30 the range was 76.25 - 75.30. Does this mean that the Cl 5-10 numbers were exactly the same or is there some price discrepency.

thanks

Jay

[NinjaTrader_Tim]

Hi JayUT,

Thank you for your post.

The data for the continuous contract will match that of the current front month, so the CL ##-## will display data for the CL 05-11 (at the time of this writing).