build_series_symbols: construct a series of symbols based on root symbol and suffix...

Description Usage Arguments Details Author(s) See Also

Description

The columns needed by this version of the function are primary_id and month_cycle. primary_id should match the primary_id of the instrument describing the root contract. month_cycle should contain a comma delimited string describing the month sequence to use, e.g. "F,G,H,J,K,M,N,Q,U,V,X,Z" for all months using the standard futures letters, or "H,M,U,Z" for quarters, or "Mar,Jun,Sep,Dec" for quarters as three-letter month abbreviations, etc. The correct values will vary based on your data source.

Usage

1
build_series_symbols(roots, yearlist = c(0, 1))

Arguments

roots

data.frame containing at least columns primary_id and month_cycle, see Details

yearlist

vector of year suffixes to be applied, see Details

Details

TODO add more flexibility in input formats for roots

Author(s)

Brian G. Peterson

See Also

load.instruments


FinancialInstrument documentation built on May 2, 2019, 3:41 a.m.