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Inconsistent data when using continuous RIC and front month RIC.

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.

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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.