I have imported futures historical tick data, contract by contract, with the "merge back adjusted" setting.
When pulling up a chart, I can see that it displays the "merge back adjusted" data for my entire historical period, as intended.
However, looking at the historical data manager, I can also see that actual data remains on a contract by contract basis.
What I would like is to pool the "merge back adjusted" data into one single ##-## contract for that instrument. I cannot just import my data into it by renaming my source files, as the files will include data where contract was not expired, but not the most actively traded anymore/yet (so at the front and at the end), so I'm assuming I'd just get garbage in the ##-## contract?
How can I achieve this properly? - taking into account that my source files are very large, so the amount of data processing/filI can do ahead of importing is limited.
Many thanks in advance.
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