get.relation: Read data from lim

In armstrtw/rlim: R interface to LIM database

Description

reads any tseries type object form LIM

Usage

get.relation(relname,colnames=NULL,units="days",bars=1)
get.perpetual.series(relname,colnames=c("open","high","low","close","volume","OpenInterest"),
rollDay="open_interest crossover",rollPolicy="Actual Prices",units="days",bars=1)
get.ohlc(relname,colnames=c("open","high","low","close"),units="days",bars=1)
get.futures.series(relname, units="days", bars=1, rollPolicy="open_interest crossover")

Arguments

relname	contract, symbol, or ticker
colnames	what cols do you want to read
rollDay	string describing when to roll the contract
rollPolicy	string describing how to adjust the prices when a roll occurs
units	minutes or days
bars	how many minutes or days

Value

an fts object

Author(s)

Whit Armstrong

Examples

## load all columns
ibm.all <- get.relation("IBM")

## load only the open/high/low/close columns
ibm.ohlc <- get.ohlc("IBM")

ty <- get.futures.series("TY")

ty.p <- get.perpetual.series("TY")

ty.p <- get.perpetual.series("TY",rollDay="open_interest crossover")
ty.p1 <- get.perpetual.series("TY",rollDay="1 day after open_interest crossover")

ty.adj <- get.perpetual.series("TY",rollDay="open_interest crossover",rollPolicy="backward adjusted prices")

armstrtw/rlim documentation built on May 10, 2019, 1:42 p.m.