I have gathered approximately 5-6 months of backtestdata and am trying to run market replay for the whole period.
Problem I face is when I select the last contract (e.g ES 6-15) and try to run the replay from 1st Nov 2014, there is no data for the contract.
When I change to ES 12-14 It starts to run properly but freezes at the moment of rollover and I have to stop the strategy, change the instrument, load the day from the rollover period and continue onwards. The biggest problem is that I lose the data from the previous period and I need to write it down and to combine it manually in excel which takes a lot of time.
This is a lot of hassle ...especially when I want to do 100-200 replays for that 6 month period.
Any advise would be greatly appreciated.
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