I am attempting to warm up indicators/rolling windows with historical futures data. The goal is to use the data from the front-month contract to warm up the indicator. For example, if I wish to warm up a 200-day moving average, I will need to grab price data for the front-month contract over the past 200 days. Some of those contracts may have expired at the time of warm-up (algorithm start).

There doesn't seem to be a way to receive data for contracts that may have expired at the time of algorithm start, which would mean our warmup length is limited for indicators on futures. 

Is there any way to work around this?

I've attached an example that reproduces the behavior I'm referring to. You'll find that the only contracts available are the ones with expiries greater than the algorithm start date.