Description Usage Format Details Examples
This top-of-the book data set for January 1, 2011 is the BBO data sample provided by the CME Datamine historical archive.
1 | data("corn_110110")
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A data table.
x
a numeric vector
y
a numeric vector
This exaple data set has already been processed as an .rda file. The raw data provided by the CME Group is a fixed width file. Processing the fwf to a data table requires the following code:
corn_110110 <- read_fwf('data-raw/XCBT_C_FUT_110110.TXT', fwf_widths(c(8,6,8,1,3,1,4,5,7,1,7,1,1,1,1,1,1,2,1,1,1,1,1,6 ),
col_names = c("TradeDate", "TradeTime", "TradeSeq#", "SessionInd",
"TickerSym", "FOIInd", "DeliveryDate", "TrQuantity",
"Strike Price", "StrikePrDecLoc", "TrPrice", "TRPRDecLoc", "ASKBID",
"IndicativeQuote", "MarketQuote", "CloseOpen",
"OpenException", "PostClose", "CancelCode", "InsertedPrice",
"FastLast", "Cabinet", "Book", "EntryDate")),
col_types = cols("i", "c", "i", "c",
"c", "c", "i", "i",
"i", "i", "i", "i", "c",
"c", "c", "c",
"c", "c", "c", "c",
"c", "c", "c", "i"))
save(corn_110110, file = "data/corn_110110.rda")
1 2 | data(XCBT_C_FUT_110110)
## maybe str(XCBT_C_FUT_110110) ; plot(XCBT_C_FUT_110110) ...
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