I get inconsistent data when I use ESc1 and ESU8 to download data for the front month contract. For example, if I request data for both these RICs for June 15, 2018, then I should get the same data as the front month contract then is ESU8, but I get inconsistent data. Why does this happen?
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Hi @Swathi
<ESc1> is a continuation RIC. It will retrieve historical data from front month RICs and rolls over on contract expiry.
Previous front month, <ESM8>, was expired on June 15th.
So on June 15th, <ESc1> would have data from <ESM8>, then rolled over to <ESU8> on June 16th.
Hi Warat,
Thank you!
IMO, roll over should happen on roll over date, instead of expiry date, considering there is more volume on ESU8 than on ESM8 beginning the roll over day.
