Hello,

I am seeing some discrepancies in data pulled in IDE and require some assistance. Below is a printout of 1min prices for continuous ES futures as shown in IDE:

2018-03-09 07:15 PRINT 2018-03-09 07:16:00+00:00 2736.25
2018-03-09 07:17:00+00:00 2736.25
2018-03-09 07:18:00+00:00 2735.75
2018-03-09 07:19:00+00:00 2736.50
2018-03-09 07:20:00+00:00 2736.25
2018-03-09 07:21:00+00:00 2737.25
2018-03-09 07:22:00+00:00 2737.75
2018-03-09 07:23:00+00:00 2737.25
2018-03-09 07:24:00+00:00 2737.25
2018-03-09 07:25:00+00:00 2737.00
2018-03-09 07:26:00+00:00 2737.00
2018-03-09 07:27:00+00:00 2737.00
2018-03-09 07:28:00+00:00 2737.00
2018-03-09 07:29:00+00:00 2737.25
2018-03-09 07:30:00+00:00 2736.75
2018-03-09 07:31:00+00:00 2737.00
2018-03-09 07:32:00+00:00 2736.75
2018-03-09 07:33:00+00:00 2736.75
2018-03-09 07:34:00+00:00 2737.00
2018-03-09 07:35:00+00:00 2737.00
2018-03-09 07:36:00+00:00 2737.00
2018-03-09 07:37:00+00:00 2737.50
2018-03-09 07:38:00+00:00 2737.50
2018-03-09 07:39:00+00:00 2737.50
2018-03-09 07:40:00+00:00 2736.75
2018-03-09 07:41:00+00:00 2737.00
2018-03-09 07:42:00+00:00 2737.50

I am unable to reconcile the printout prices with CME data. There was a steady 8 point drop from 7am to to 7:29am, and then a large 20 point spike at 7:30am that should be reflected. As you can see, the printout prices roughly have a st.dev of 1 around 2737 from 7:15am-7:42am.

This should not be the case even when accounting for the adjustment method and allowing a margin of error. The exact call I made was the following:

def initialize(context):  
    schedule_function(record_MAC, date_rules.every_day(), time_rules.market_open(minutes=45))  
def record_MAC(context, data):  
        fut = continuous_future('ES', offset=0, roll='volume', adjustment='mul')  
        Prices_1 = data.history(fut, 'price', bars, '1m')  
        print (Prices_1)

Could someone explain why this is the case and point out any error/oversight on my part?

Thank you