Why Futures Main Contracts May Require Synthetic Continuous Data
Summary
A brief Chinese-language forum exchange asks whether a futures main continuous contract has a standard contract code or whether users must combine the data themselves. The reply says live trading gateways do not provide such a continuous contract, while some data vendors offer prebuilt continuous historical series.
This distinction matters when building futures research datasets: a vendor's continuous history can be convenient, but it is a constructed series rather than a contract that can be directly traded through a live gateway. The exchange names example vendors but explains no stitching method, adjustment convention, rollover rule, or comparison of data quality, so those choices remain unresolved.
Key ideas
- Live futures gateways generally do not expose a main continuous contract as a tradable instrument.
- Some data providers supply constructed continuous historical futures series.
- Researchers must check how a provider handles contract rolls and price adjustments.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.