I have about 5 years of Nifty 50 monthly futures contracts. The futures expire on the last Thursday of every month and Rollover begins on the previous Thursday. I'm trying to merge the contracts so that I can have something continuous but am having difficulty achieving the desired result.
With a Do Not Merge policy, I am able to get about a month or two of daily data (see attached).
With a Merge Back Adjust Policy, I only get the last few trading days of what I assume is the each month's contract. So for the July 2024 contract, I see no data on the chart but from June 2024 to July 2023, I get about 4 or 5 days of data which is towards the end of the month. The first 3 weeks of data has disappeared (see attached)
I get a similar result with Merge non back adjust policy and with Use Global Settings policy (see attached).
How do I fix this?
Regards
Kay Wai

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