I was wondering what is the most efficient and best performing method for futures contract rollover in MC with the esignal. I am rolling over international symbols and I can not use the #F rollover sign.
Currently,
1) I am exporting the data of the expired contract from MC to an ascii file
2) then I use the ascii mapping in MC to get the historical data into a chart
3) merge the new real time data with the current front month contract.
The problem is that if my internet connection goes out in the middle of trading, I have a gap in my data because the new front month contract is merged into the chart in real time.
What is the best solution for automatic backfill of the new contract month?
Thanks