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Unlike the futures historical downloader that I have shared some weeks ago (Futures, Forex and Indices Data), this item downloads non-continuous daily futures series, which means that it downloads each future contract separately. A continuous contract, the Crude oil for example which has 'CL' as symbol, will have a unique time-series. This time-series is created by aggregating the different Crude Oil contracts data. The following downloader downloads these contract quotes data separately. This means that for the Crude oil, you will have several time-series and several symbols. After running the downloader for a period that spans from 1 January 2009 to the 23 November 2009, the item created 77 symbols associated with the Crude oil.
Crude Oil futures have several expiration months, these months are recognized by a character appended to the contract symbol name (FGHJKMNQUVXZ). For example, F means January, J means April... You can get more info about that here: http://www.futuresquotes.com/commodity_symbols.html
Among the 77 symbols created by the item for Crude Oil futures, I can cite:
CLZ2011: Crude Oil contract that expires in December 2011
CLX2009: Crude Oil contract that expires in November 2009
CLJ2009: Crude Oil contract that expires in April 2009
The total number of symbols or contracts created by the downloader for the period that spans from January 2009 to the 23 November 2009 is 1089 and historical EOD quotes data are downloaded for 49 futures.
For some futures, the open price is set to zero for all contracts. To solve the problem, I have created a Post-Script that updates the open price, when it is equal to zero, and set it to the value of the close price.
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