I have a US Futures universe and related daily price database. There’s a contract, ConId 346233391, it’s a 10 year treasury future expiring in september. I have an issue where the contract is in the master securities database and it is included in the US Futures universe, but it is not present in the database which uses that universe to get data.
I know it’s in the universe because if I pull the master file using:
download_master_file(f, universes = ['us-futures'], symbols = futures_symbols, exclude_delisted = False)
The conid is in the master file. However, when I get pricing data from the database the conid is not in the dataframe.
I created a test database that only has that specific contract to see if it was a data permission issue, and that test DB works fine. I can get pricing data no problem.
Any idea what might be going on and how to fix it?