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When querying historical futures data during backtesting, closing prices for the same date are sometimes different.

When querying historical data on continuous futures with data.history, the price can be different on different backtesting dates. Does anyone know if historical pricing on continuous futures is somehow dynamically calculated? This unexpected behavior of unreproducible pricing can make debugging code more challenging. If this is not a bug, then it would be very helpful to have an option that ensures pricing reproducibility over time. Attached is an example run showing this effect in the log output.

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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5995ab67dae9ea5100508e65
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