pressure_factor-methods: Market participant pressure factor

In bautheac/factorem: factor'em!

Description

Provided with futures contract front price and term structure aggregated position data from Bloomberg retrieved with pullit, constructs market participant pressure factors.

Usage

pressure_factor(
  price_data,
  position_data,
  format = "disaggregated",
  underlying = "futures only",
  unit = "contracts",
  participant = "producer/merchant/processor/user",
  update_frequency = "month",
  return_frequency = "day",
  ranking_period = 6L,
  long_threshold = 0.5,
  short_threshold = 0.5,
  sort_levels = T,
  weighted = F
)

## S4 method for signature 'FuturesTS,FuturesCFTC'
pressure_factor(
  price_data,
  position_data,
  format = "disaggregated",
  underlying = "futures only",
  unit = "contracts",
  participant = "producer/merchant/processor/user",
  update_frequency = "month",
  return_frequency = "day",
  ranking_period = 6L,
  long_threshold = 0.5,
  short_threshold = 0.5,
  sort_levels = T,
  weighted = F
)

Arguments

price_data	an S4 object of class FuturesTS. FuturesTS objects are returned by the BBG_futures_TS function in the pullit package.
position_data	an S4 object of class FuturesCFTC. FuturesCFTC objects are returned by the BBG_futures_CFTC function in the pullit package.
format	a scalar character vector. Specifies the CFTC report format to use for calculating participant pressure: 'disaggregated', 'legacy', 'supplemental' or 'traders in financial futures'. Defaults to 'disaggregated'.
underlying	a scalar character vector. Specifies the underlying instrument type to use for calculating participant pressure: 'futures only' or 'futures & options'. Defaults to 'futures only'.
unit	a scalar character vector. Specifies the unit to use for calculating participant pressure: 'contracts' or 'traders'. Defaults to 'contracts'.
participant	a scalar character vector. Specifies the participant to use for calculating market pressure. Format specific: 'producer/merchant/processor/user', 'managed money', 'swap dealers' or 'other reportables' (disaggregated); 'commercial', 'non-commercial', 'non-reportable' or 'total' (legacy); 'commercial - non-CIT', 'non-commercial - non-CIT', or 'index traders' (supplemental); 'asset manager/institutional', 'dealer/intermediary', 'leveraged funds', 'other reportables' (traders in financial futures).
update_frequency	a scalar character vector. Specifies the rebalancing frequency. Must be one of 'year', 'semester', 'quarter', 'month' or 'week'. Defaults to 'month'.
return_frequency	a scalar character vector. Specifies the frequency of the returns output. Must be one of 'year', 'semester', 'quarter', 'month', 'week' or 'day'. Defaults to 'day'.
ranking_period	a scalar integer vector. Specifies number of periods in term of update_frequency looking backward for average CHP calculation. Defaults to 1 where sort is done on last observation only.
long_threshold	a scalar numeric vector. Specifies the threshold for short positions. Default: 0.5.
short_threshold	a scalar numeric vector. Specifies the threshold for long positions. Default: 0.5.
sort_levels	a scalar logical vector. If TRUE sorts on pressure levels, else on relative changes in pressure. Defaults to TRUE.
weighted	a scalar logical vector. If TRUE adjusts portoflio weights with respect to pressure, else equal weights are used. Defaults to FALSE.

Value

An S4 object of class PressureFactor.

bautheac/factorem documentation built on June 7, 2021, 12:11 p.m.