Is this expected behavior for when you use one of the merged options for historical data? I see the issue goes away when I do not merge data.
Do most people use Do Not Merge data during rollover weeks or just for live trading in general? And then switch to merged data for backtesting? Seems kinda like a pain, but if that's what you're supposed to do, then ok.
I think I would rather see the historical prices for whatever contract month I chose for its entire life, and then merge the beginning of it with the price of the previous month, but not sure if there is a reason why people prefer otherwise. Seems confusing to bring up the price of next months contract just to see a big gap. And when I select a specific month in the future, I want to see only its prices, not the front-month's too.
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