Thanks for reaching out.
After doing a bit of research, it does not appear that the creation of historical continuous contracts is possible with use of the Gain / OEC data feed. That being said, there should be native continuous futures contracts which you can essentially create for yourself.
Creating a continuous contract does take a bit of work. Like you said, CQG does provide more historical data for their contracts, but you will still be able to access this feature through Gain.
Here are the data sources that support historical/native continuous contracts on MultiCharts:
That being said, you can create your own historical contract by doing the following:
1. First you will need to add the Futures contracts that you have access to individually. This can be done by going to QuoteManager Window > Instrument > Add Symbol > From Data Source > GAIN (in your case).
2. After you add the symbols, I would suggest connecting them in the quotemanager window. ( I am not sure this is absolutely necessary, but it is worth doing just in case). This can be done by right clicking each individual symbol in the quotemanager window and selecting the Connect Symbol option.
3. Now that you have added and connected your symbols, navigate to Instrument > Add Custom Futures
4. Select Gain as the Data Feed and the symbol you want to merge. Select the contract months you want to include, and set the rollover condition/build continuous futures contract on setting. Click OK when done.
5. You will now be able to find this continuous contract when you open a chart. You will find listed under the Symbol Code name you entered.
I hope you find this helpful!
Please let me know if you have further questions.
Optimus Futures Support