Support Board
Date/Time: Mon, 03 Mar 2025 10:17:33 +0000
Post From: Missing contracts in historical daily futures data
| [2021-10-03 15:55:11] |
| abuqutaita - Posts: 12 |
|
I've found that there are 323 cases of "gaps" in historical daily futures data. I'm defining a gap as a missing contract in the expected sequence given the contract months for the symbol. I've cleared my existing data for these symbols and tried downloading again, so I'm assuming this isn't a transient issue. In some cases, this is happening for highly liquid instruments, like VX. BSWK19-CBOT
BSWK20-CBOT BSWK21-CBOT MKCM14-CBOT MKCM15-CBOT MKCM16-CBOT MKCM17-CBOT MKCM18-CBOT MKCM19-CBOT MKCM20-CBOT MKCM21-CBOT RXU10-CBOT UFUZ11-CBOT UFUK13-CBOT UFUV13-CBOT UFUK14-CBOT ZRN87-CBOT ZRN88-CBOT VXZ04-CFE VXJ05-CFE VXN05-CFE VXU05-CFE VXMF11-CFE VXMH11-CFE VXMK11-CFE VXMN11-CFE VXMU11-CFE VXMX11-CFE VXMF12-CFE VXMH12-CFE VXMK12-CFE VXMN12-CFE VXMU12-CFE VXMX12-CFE VXMF13-CFE VXMH13-CFE VXMK13-CFE VXMN13-CFE VXMU13-CFE VXMX13-CFE VXMF14-CFE VXMH14-CFE VXMK14-CFE VXMN14-CFE VXMU14-CFE VXMX14-CFE VXMF15-CFE VXMH15-CFE VXMK15-CFE VXMN15-CFE VXMU15-CFE VXMX15-CFE VXMF16-CFE VXMH16-CFE VXMK16-CFE 6MN95-CME 6MV95-CME 6MF96-CME 6MJ96-CME 6MN96-CME 6MV96-CME 6MF97-CME 6MJ97-CME 6MN97-CME 6MV97-CME 6MF98-CME 6MJ98-CME 6MN98-CME 6MV98-CME 6MF99-CME 6MJ99-CME 6MN99-CME 6MV99-CME 6MF00-CME 6MJ00-CME 6MN00-CME 6MV00-CME CUSF07-CME CUSF08-CME CUSF09-CME CUSF10-CME CUSF11-CME CUSF12-CME CUSF13-CME CUSF14-CME CUSF15-CME CUSF16-CME CUSF17-CME CUSF18-CME CUSF19-CME CUSF20-CME CUSF21-CME DCK96-CME DCQ96-CME DCV96-CME DCZ96-CME DCH97-CME DCK97-CME DCN97-CME ETHV19-CME ETHF20-CME ETHJ20-CME M2KZ09-CME M6BZ09-CME MESU15-CME MNQH19-CME SR1F00-CME SR1J00-CME SR1N00-CME SR1V00-CME SR1F01-CME SR1J01-CME SR1N01-CME SR1V01-CME SR1F02-CME SR1J02-CME SR1N02-CME SR1V02-CME SR1F03-CME SR1J03-CME SR1N03-CME SR1V03-CME SR1F04-CME SR1J04-CME SR1N04-CME SR1V04-CME SR1F05-CME SR1J05-CME SR1N05-CME SR1V05-CME SR1F06-CME SR1J06-CME SR1N06-CME SR1V06-CME SR1F07-CME SR1J07-CME SR1N07-CME SR1V07-CME SR1F08-CME SR1J08-CME SR1N08-CME SR1V08-CME SR1F09-CME SR1J09-CME SR1N09-CME SR1V09-CME SR1F10-CME SR1J10-CME SR1N10-CME SR1V10-CME SR1F11-CME SR1J11-CME SR1N11-CME SR1V11-CME SR1F12-CME SR1J12-CME SR1N12-CME SR1V12-CME SR1F13-CME SR1J13-CME SR1N13-CME SR1V13-CME SR1F14-CME SR1J14-CME SR1N14-CME SR1V14-CME SR1F15-CME SR1J15-CME SR1N15-CME SR1V15-CME SR1F16-CME SR1J16-CME SR1N16-CME SR1V16-CME SR1F17-CME SR1J17-CME SR1N17-CME SR1V17-CME SR1F18-CME SR1J18-CME SR3M13-CME SR3M14-CME SR3M15-CME SR3M16-CME SR3H17-CME TBH04-CME TPYJ18-CME TPYN18-CME TPYV18-CME TPYF19-CME TPYJ19-CME TPYN19-CME TPYV19-CME TPYF20-CME TPYJ20-CME TPYN20-CME TPYV20-CME TPYF21-CME TPYJ21-CME TPYN21-CME FDXSH20-EUREX FEO1K16-EUREX FEO1Q16-EUREX FEO1X16-EUREX FEO1G17-EUREX FEO1J17-EUREX FEO1Q17-EUREX FEO1X17-EUREX FEO1G18-EUREX FEO1J18-EUREX FEO1Q18-EUREX FEO1X18-EUREX FEO1G19-EUREX FEO1K19-EUREX FEO1Q19-EUREX FEO1X19-EUREX FEO1G20-EUREX FEO1Q20-EUREX FEO1K21-EUREX FEO1V21-EUREX FESEH16-EUREX FEXDH13-EUREX FEXDH14-EUREX FEXDH15-EUREX FEXDH16-EUREX FEXDH17-EUREX FEXDH18-EUREX FEXDH19-EUREX FEXDH20-EUREX FEXDH21-EUREX FEXDU21-EUREX BTMX12-ICEUS BTMF13-ICEUS BTMJ13-ICEUS BTMM13-ICEUS BTMQ13-ICEUS BTMX13-ICEUS BTMF14-ICEUS BTMJ14-ICEUS BTMM14-ICEUS BTMQ14-ICEUS BTMX14-ICEUS BTMF15-ICEUS BTMJ15-ICEUS BTMM15-ICEUS BTMQ15-ICEUS BTMX15-ICEUS BTMF16-ICEUS BTMJ16-ICEUS BTMM16-ICEUS BTMQ16-ICEUS BTMX16-ICEUS BTMF17-ICEUS BTMJ17-ICEUS BTMM17-ICEUS BTMQ17-ICEUS BTMX17-ICEUS BTMF18-ICEUS BTMJ18-ICEUS BTMM18-ICEUS BTMQ18-ICEUS BTMX18-ICEUS BTMF19-ICEUS BTMJ19-ICEUS BTMM19-ICEUS BTMQ19-ICEUS HYM11-ICEUS ISK20-ICEUS ISMH20-ICEUS ISMF21-ICEUS ISMK21-ICEUS ISMQ21-ICEUS IWU20-ICEUS KIUJ20-ICEUS MFUM11-ICEUS RSK80-ICEUS RSK81-ICEUS RSK82-ICEUS RSK83-ICEUS RSK84-ICEUS RSK85-ICEUS RSK86-ICEUS RSK87-ICEUS RSK88-ICEUS RSK89-ICEUS RSK90-ICEUS RSK91-ICEUS RSK92-ICEUS RSK93-ICEUS RSK94-ICEUS RSK95-ICEUS RSK96-ICEUS WCTN18-ICEUS MCLJ21-NYMEX MCLN21-NYMEX PAJ82-NYMEX PAJ90-NYMEX PAJ91-NYMEX PAJ92-NYMEX PAJ93-NYMEX PAJ94-NYMEX PAK95-NYMEX PAJ96-NYMEX PAJ98-NYMEX PAJ99-NYMEX PAJ00-NYMEX PAK01-NYMEX PAJ02-NYMEX PAJ03-NYMEX PAJ04-NYMEX PAJ05-NYMEX PAJ06-NYMEX PAJ07-NYMEX PAJ08-NYMEX PAJ09-NYMEX PAMU15-NYMEX PATJ21-NYMEX UXQ07-NYMEX UXF09-NYMEX UXJ09-NYMEX UXN09-NYMEX UXX09-NYMEX UXX09-NYMEX I also noticed some symbols that are missing daily data completely, even for the front month contracts: 2YY-CBOT
5YY-CBOT 10Y-CBOT 30Y-CBOT DFL-CBOT ZD-CBOT FSXE-EUREX ARE-NYMEX BBT-NYMEX Please let me know if you require any other information to investigate. Thanks! |