Many platform show continuous future contracts like NIFTY-I (near month), NIFTY-II (next month) and NIFTY-III (far month). While futures data is removed after they expire, continuous futures can be scrolled to view the futures data for past dates too.
Can I use this continuous future data to get the OHLC data for expired future contracts? Is NIFTY-I exactly the same as NIFTY25FEBFUT between Jan and Feb expiry or is there any post processing being done as well?
Ideally continuous futures should be back adjusted with a ratio applied cumulatively for each past expiry to cancel out F1/F2 price difference at expiry. Basically past data moves up.
Then it becomes useful for backtest.
If your source data does this, then obviously past expiry data is not same as actual traded prices. You will need their reference F1 and F2 prices to get the ratios and apply in inverse.
But why would you not want continuous data ?
If they dont adjust, then yeah should be same.