Continuous Futures Data in Pi

Thanks a lot to Zerodha Pi team for bringing in continuous futures data into Pi!

Should be a boost for those who want to to backtest strategies that work only on futures. That being said, is there any documentation or information on Z Connect or anywhere else that describes the method applied to convert monthly contract data to continuous data? It will be a lot of help to anyone planning to backtest their strategy on continuous data.

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Hello @Parikshit_Bhinde,

Essentially, there is no conversion of monthly contract data to fit into the continuous future chart.

The continuous future chart consists of daily candle data of current month contracts as that is the closest reflection of the spot price of that month.

For example,

In the month of April, the continuous chart will have day candles of the April contract. In the month of May, it will have day candles of the May contract. So on and so forth.

Thanks for the response Bharat.

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