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ES FrontMonth() changes often early 2018

I'm using the `FrontMonth()` filter to only get the front-month ES contract in `OnData()`, but it seems there's something wrong with the contract data early 2018, because it keeps swapping front-month contracts throughout the day. 

Rest of the available date range seems to work OK.

See attached algo for reproduction.

16568 | 16:01:29:
2018-01-01 19:58 Cur: ES WSVU0MELFQEH
16569 | 16:01:29:
2018-01-01 19:58 New: ES WVDFP4OYEE09 6/15/2018 12:00:00 AM
16570 | 16:01:29:
2018-01-01 19:58 Cur: ES WVDFP4OYEE09
16571 | 16:01:29:
2018-01-01 19:58 New: ES WSVU0MELFQEH 3/16/2018 12:00:00 AM
16572 | 16:01:29:
2018-01-01 19:59 Cur: ES WSVU0MELFQEH
16573 | 16:01:29:
2018-01-01 19:59 New: ES WVDFP4OYEE09 6/15/2018 12:00:00 AM
16574 | 16:01:29:
2018-01-01 19:59 Cur: ES WVDFP4OYEE09
16575 | 16:01:29:
2018-01-01 19:59 New: ES WSVU0MELFQEH 3/16/2018 12:00:00 AM

 

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Hi BigCityTrader,

Thank you for reporting this issue. I've tested and found that there're data issues with ES futures contract on 2017/12/31. That's why the weird behavior happens in your strategy. Sorry about that, and I've submitted a Github issue and data issue for it. Please check for more information about the issue in the links above.

Thank you for your support.

Xin

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hi Xin,

I think this was already fixed in the meantime by your colleague Alex actually... I haven't verified it myself, but he e-mailed me stating he patched the data. Sorry about the double effort.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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