Data providers typically offer the opportunity to receive continuous futures contracts, i.e., data averaged over quarterly contracts such that no gap appears at the transition from the expiring contract to the nearest back-month contract. For eSignal data, a gap did occur on the continuous NQ futures contract starting at 1800 EDT on June 8th.
I've used the NQ continuous contract for a decade and never saw it gap before. Obviously, the September contract was trading far higher than the June for several weeks. Can anyone explain why the eSignal averaging protocol was unable to prevent a gap under that condition? Can you describe the details of the eSignal averaging protocol?
