Historical Rollover Cost of Nifty50 futures

Pragy

I wish to find the historical rollover cost of nifty50 futures.

The continuous data API seems to already back-adjust the futures prices - which makes it impossible to get the rollover cost from the API data.

How can I find the historical rollover cost?

Arockiya_r

We can't get expired contracts or intraday continuous data using the API. Day-period continuous data is available and can be used to calculate rollover costs, I believe.

For example:

Nifty September Future (Current month continuous data)
- September dates reflect the September expiry contract data.
- August dates reflect the August expiry contract data.
- July dates reflect the July expiry contract data.

Nifty October Future (Next month continuous data)
- September dates reflect the October expiry contract data.
- August dates reflect the September expiry contract data.
- July dates reflect the August expiry contract data.

For instance, if you want to check the rollover cost for last month, do the following:
Open the continuous chart for Nifty September futures and get the data for August 27th.
Open the continuous chart for Nifty October futures and get the data for August 27th.
The difference between these values plus any charges is the rollover cost.