storethat_futures_aggregate: Retrieves futures aggregate historical data from from a...

In bautheac/pullit: Pulling financial data from Bloomberg made easy

Description

Provided with a set of Bloomberg futures active contract tickers and a time period, retrieves the corresponding futures historical aggregate data previously stored in a storethat SQLite database. For each individual field, futures aggregate data represents the aggregation of the corresponding field values over all the corresponding term structure contracts.

Usage

storethat_futures_aggregate(file, active_contract_tickers, start, end, verbose)

Arguments

file	a scalar chatacter vector. Specifies the target storethat SQLite database file.
active_contract_tickers	a chatacter vector. Specifies the futures active contract Bloomberg tickers to query data for.
start	a scalar character vector. Specifies the starting date for the query in the following format: 'yyyy-mm-dd'.
end	a scalar character vector. Specifies the end date for the query in the following format: 'yyyy-mm-dd'.
verbose	a logical scalar vector. Should progression messages be printed? Defaults to TRUE.

Value

An S4 object of class FuturesAggregate.

See Also

• "GFUT <GO>" on a Bloomberg terminal.

• The rolls dataset in the BBGsymbols package (finRes suite) for details regarding the roll_type & roll_adjustment parameters.

• The fields dataset in the BBGsymbols package for details on the Bloomnerg fields used here.

• Helper datasets in the fewISOs package (finRes suite).

• The finRes suite, in particular the storethat package.

Examples

## Not run: 

    storethat_futures_market(type = "aggregate",
      active_contract_tickers = c("W A Comdty", "KWA Comdty"),
      start = "2000-01-01", end = as.character(Sys.Date()))

  
## End(Not run)

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