Are you able to download the historical continuous contract of Futures from the IB API? https://www.interactivebrokers.com/en/software/api/apiguide/tables/historical_data_limitations.htm says "Historical data requests require the expiration to be specified, at this time continuous contract is not supported." Has that changed yet? The continuous contract is available to be viewed with TWS, so not sure why can't get it historically.
Any software available for purchase that can automatically construct continuous contracts from the data IB provides?