pandas-datareader

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or any other reliable source of futures data (such as IQFeed, etc)

I can do barchart. Looking into it.

not sure if they do continuous future contracts - pinged them the question, but I guess not. would you also tie individual contracts together to build a longer (than 1 to 3 months) timeline? or isn't simpler to focus on IQFeed?

@andreireiand depends on performance. I built the trivial quotes and historical readers, they're on my fork. Going to give this a try next.

I see Barchart has "continuous" futures: Open a dashboard chart - with say, ESM18. Goto Settings -> Adjustments -> Backadjust History w/ Continuous Roll types ... that's neat.

If you plan to look @ IQFeed as well, let me know - I might be able to help.

From what I could see it looks like IQFeed is a paid subscription service. Data sources of this type are not generally integrated into PDR (I believe). I dont have a sub so most likely wont be able to write a wrapper.

Barchart also requires a paid subscription for all endpoints except getQuotes and getHistory. Historical data only available 6 months back. I'll make a pull for the quotes, but I'm not sure if the historical would be even particularly useful given its limited time ranges.