Hi,
I am doing some backtesting with ES using 9 months of daily data. After I downloaded the data for ES 03-13 to ES 06-12, I noticed that the data for expired contracts is a little different from the one I see in the NT chart as a continuous contract. After doing some reading on the forum I understand that the difference comes from the merging of contracts.
I have 2 questions -
a. Is there some way of downloading the data for the continuous contract (as is seen in the chart)?
b. Can MergePolicy and/or offset be used to get the downloaded data to be closer to the continuous contract data?
thanks
Comment