What is your definition of a "continous contract"? Is it based on volume, or based on contract expiration date, etc?
I download quotes for a bunch of different expirations into a single database table, then I run a SQL query to group they by date and contract, and then delete all contracts that aren't the one with the highest volume for that particular date.
I download quotes for a bunch of different expirations into a single database table, then I run a SQL query to group they by date and contract, and then delete all contracts that aren't the one with the highest volume for that particular date.