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I'm using the `FrontMonth()` filter to only get the front-month ES contract in `OnData()`, but it seems there's something wrong with the contract data early 2018, because it keeps swapping front-month contracts throughout the day.
Rest of the available date range seems to work OK.
See attached algo for reproduction.
16568 | 16:01:29:
2018-01-01 19:58 Cur: ES WSVU0MELFQEH
16569 | 16:01:29:
2018-01-01 19:58 New: ES WVDFP4OYEE09 6/15/2018 12:00:00 AM
16570 | 16:01:29:
2018-01-01 19:58 Cur: ES WVDFP4OYEE09
16571 | 16:01:29:
2018-01-01 19:58 New: ES WSVU0MELFQEH 3/16/2018 12:00:00 AM
16572 | 16:01:29:
2018-01-01 19:59 Cur: ES WSVU0MELFQEH
16573 | 16:01:29:
2018-01-01 19:59 New: ES WVDFP4OYEE09 6/15/2018 12:00:00 AM
16574 | 16:01:29:
2018-01-01 19:59 Cur: ES WVDFP4OYEE09
16575 | 16:01:29:
2018-01-01 19:59 New: ES WSVU0MELFQEH 3/16/2018 12:00:00 AM
Xin Wei
Hi BigCityTrader,
Thank you for reporting this issue. I've tested and found that there're data issues with ES futures contract on 2017/12/31. That's why the weird behavior happens in your strategy. Sorry about that, and I've submitted a Github issue and data issue for it. Please check for more information about the issue in the links above.
Thank you for your support.
Xin
BigCityTrader
Hi Xin,
I think this was already fixed in the meantime by your colleague Alex actually... I haven't verified it myself, but he e-mailed me stating he patched the data. Sorry about the double effort.
BigCityTrader
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