corn_110110: Best Bid Best Offer Data for Corn Futures Data from the CME...

In ProfMalloryResearch/BBOTools: Tools for Working with CME Group's Historical BBO Data sets

Description

This top-of-the book data set for January 1, 2011 is the BBO data sample provided by the CME Datamine historical archive.

Usage

data("corn_110110")

Format

A data table.

x

a numeric vector

y

a numeric vector

Details

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")

Source

http://www.cmegroup.com/market-data/datamine-historical-data.html

ProfMalloryResearch/BBOTools documentation built on May 8, 2019, 3:23 a.m.