soulfire Posted December 11, 2022 Report Share Posted December 11, 2022 I'm looking at the continuous contract data for futures MES and ES, using TDAmeritrade Data. I'm not sure if it's a SW or data feed issue: The chart data still has Dec 22 continuous, but today's data is showing Mar 23 contract data, causing a break in continuity. The chart has the background label as Mar 23 continuous. I tried clearing out 2 days of data, and when it reloads, the discrepancy between Dec 22 and Mar 23 data is still there but the background label identifying the chart no longer appears. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted December 12, 2022 Report Share Posted December 12, 2022 this would be a data issue. We do not compute the continuous contracts. Just take whatever they give. I do see a gap in @ES for example, same thing. Quote Link to comment Share on other sites More sharing options...
soulfire Posted December 14, 2022 Author Report Share Posted December 14, 2022 I'm surprised TDAmeritrade has not yet discovered/resolved the data discrepancy. They have the March 23 ES futures contract starting on Sunday, 12/11, but all prior days are still the Dec 22 contract, which is why there's a gap on the Sunday open. Interactive Brokers data, @ESH23, shows the data correctly with no gap. Quote Link to comment Share on other sites More sharing options...
Jerry Medved Posted December 14, 2022 Report Share Posted December 14, 2022 I would not expect any changes or fixes for TDA API until after the Schwab integration is complete Quote Link to comment Share on other sites More sharing options...
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