Historical expiration month for continuation futures

jdegesys

I would like to retrieve historically via the API the expiry month/year used in a continuation RIC (e.g. CLcv1), but I do not seem to have any luck with Historical Reference or Elektron. For instance assuming that the switch occurred on 3/20/2020, I would like to get:

RICTrade DateUniversal Close PriceExpiry month/YearCLcv119/10/2005101.14Mar-20CLcv120/10/200599.65Jun-20CLcv121/10/2005100.26Jun-20CLcv124/10/200599.95Jun-20

My intent is to compute historical returns while keeping the underlying contract consistent to avoid price jumps related to using different contracts from the period beginning to the end.

Could you please provide some guidance on how to achieve this?

Thanks!

Jirapongse

@jdegesys

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