Hi, I am using IB's API to collect historical data for index futures like ES, HSI. I notice I can only collect data for currently traded contract. Not the one just expired. For example, I can only collect HSI's Dec. contract, not the Nov. contract. Is this true? Or I did something wrong. Any body has stored data for HSI? I am willing to pay for Nov. contract's data. Thanks.
You can download prior contracts. However here's the contract. Its actually a .7z compressed file because www.7-zip.org compresses text files a lot more than zips. http://download.yousendit.com/E688D7CA2DA9B035
To get the data for expired contract via the IB's API, you need to set contract.m_includeExpired to true.