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Date/Time: Fri, 03 May 2024 09:39:38 +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!