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Historical Futures Prices

paras953
paras953 in Market data (WebSockets)
I am fetching the historical futures prices for the current month keeping continuous = True. The instrument token is 13382658 (BHARTIARTL25OCTFUT)
The period is from Jan 2022 - Dec 2022, lets call this as df_1

I am also fetching historical futures prices for the next month keeping continuous=True. The instrument token is 12438274 (BHARTIARTL25NOVFUT)
The period is the same from Jan 2022 - Dec 2022 lets call this df_2

first row of df_1
date open high low close volume
2022-01-03 00:00:00+05:30 688.55 694.5 685.35 693.3 5610700


first row of df_2
date open high low close volume
2022-01-03 00:00:00+05:30 692.25 697 688.45 695.95 133950


Its evident that the prices for the same period are different.

My guess is that df_1 being the current contract it represents the prices of immediate expiry contract in Jan 2022 (Rank 1)
and df_2 is the next to expire contract and hence it represents the prices of next expiry contract in Jan 2022 (Rank 2)

Is this assumption correct??
  • nagavenij
    nagavenij
    We're checking this and will provide an update shortly.
  • paras953
    paras953 edited October 11
    Also the historical futures continuous prices are not adjusted for splits?

    For e.g. for BAJAJFINANCE the futures prices in Sep 2016 look like

    Date Open High Low Close Volume
    01-09-2016 1105 1126.5 1100 1115.5 2685000
    02-09-2016 1121 1128 1110.5 1118 1635000
    06-09-2016 1120.5 1133 1118.5 1129.5 1571250
    07-09-2016 1128 1175 1128 1142.5 5637500
    08-09-2016 115 117.5 108 116.5 48387500
    09-09-2016 117 118 114.5 115.5 29512500
    12-09-2016 112.5 113.5 108.5 109.5 36862500
    14-09-2016 110.5 111 107.5 110.5 35175000


    clearly you can see the drop of prices from 7th sept to 8th sept.
    if the series is continuous this should have been taken care off right??
  • Nivas
    Nivas
    1. The continuous futures chart categorizes all historical futures contracts into current, near, and far months. So when you fetch a current month historical chart, it pulls data from all current months historically. Similarly, when you fetch a near-month historical chart, it pulls data from all near months historically, and so on for the far month.
    2. We've shared your query regarding the adjustment internally with our team. For any further follow-ups on adjustments, please raise a support ticket as the Kite Connect forum is dedicated to API-related discussions.
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