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What is a 'continuous' futures contract?

When adding futures market data to TWS, you can now select a "continuous" futures contract, which is a series of monthly/quarterly contracts spliced together.

How do I get continuous futures data?

You can get continuous futures data using the following steps: Get the price of the first contract and the next contract on the rollover date. The rollover date is when you rolled your position from the first contract to the second contract. In this example, we have considered the rollover date as the expiry date.

How to build a futures continuation?

To build a futures continuation, you need to adjust the contracts back in time. These adjustments are made as there can be a price difference between the first contract and the second contract on expiry.

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