Hello folks,
What is the best practice for futures intraday data organization?
ie, should tick data for different future expiries/contracts for the same futures class, for the same month or day be stored under the same t8 file? ie,should tick data for ESU25 and ESZ25 for the month of the september (both contracts trade) be stored in the same ES_202509.t8 file? Is it best practice to store files by day instead to avoid overlap?
Given I have bid, ask and trade data, how should those be stored? It seems t8 doesn't care about last trade - should be store those in a separate .t2 file?
Should both bid and ask data be stored in the same file, with negative bid prices? If so, can they have the same time stamp, or should one be 1ms offset from the other?
What about bar data - should those be stored in a .t6, and if so how do we manage contracts -- does each contract get it's own .t6? is there any management of related contracts for .t6 based on the name, or has to be explicitly handled in code?
Are contract data generally first class citizens in the different scripts, or is it better to just store everything under the contract symbol (eg ESU25) and manually manage rollovers, expiry dates, etc?
Generally speaking, if I care about the spread, and may want to simulate using both trades (eg stop activation) and bid-ask (limit order activation) with the real spread, do I need to save all 3 data series separately? And for dynamic spread, do I need to load the bid series and compare timestamps myself, or is there a way to stipulate both bid and ask files during a run?

Thank you!