I have another educational contribution on my blog.
This is part 1 of a mini-series on acquiring continuous contracts historical data for Zorro. This part focuses on the data acquisition:https://www.vitaltrades.com/2019/03/17/continuous-futures-data-in-zorro-1-data-acquisition/
In a follow-up post, I will show how to parse the data into Zorro's T6 format.
Enjoy! Let me know if there are any questions.