storethat_futures_market: Retrieves futures historical market data from a 'storethat'...

Description Usage Arguments Value See Also Examples

View source: R/functions.r

Description

Provided with a set of Bloomberg futures active contract tickers, term structure positions, roll parameters and a time period, retrieves the corresponding futures market historical data previously stored in a storethat SQLite database.

Usage

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storethat_futures_market(
  file,
  type,
  active_contract_tickers,
  start,
  end,
  TS_positions,
  roll_type,
  roll_days,
  roll_months,
  roll_adjustment,
  verbose
)

Arguments

file

a scalar chatacter vector. Specifies the target storethat SQLite database file.

type

a scalar character vector, 'term structure' or 'aggregate'. 'term structure' returns individual futures chain data for a selected portion of the term structure (specify desired positions in TS_positions) while 'aggregate' returns aggregated data over the whole term structure for the corresponding names (active_contract_tickers).

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'.

TS_positions

an integer vector. Specifies the term structure positions to query data for.

roll_type

a scalar chatacter vector. Specifies roll type to use for term structure ticker construction. Must be one of 'A', 'B', 'D', 'F', 'N', 'O' or 'R'.

roll_days

a scalar integer vector. Specifies the day the roll should be done. Refers to the day of the month (roll_type = 'F') or the number of days before a reference date (roll_type = 'D', roll_type = 'N', roll_type = 'O', roll_type = 'R'). Works in tandem with roll_months below.

roll_months

a scalar integer vector. Specifies the month the roll should be done. Refers to the number of months before a reference date (roll_type = 'D', roll_type = 'N', roll_type = 'O', roll_type = 'R'). Works in tandem with roll_days above.

roll_adjustment

a scalar chatacter vector. Specifies roll adjustment method to use for term structure ticker construction. Must be one of 'D', 'N', 'R', or 'W'.

verbose

a logical scalar vector. Should progression messages be printed? Defaults to TRUE.

Value

An S4 object of class FuturesTS (type = 'term structure') or FuturesAggregate (type = 'aggregate').

See Also

Examples

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## Not run: 

    storethat_futures_market(type = 'term structure',
      active_contract_tickers = c("W A Comdty", "KWA Comdty"),
      start = "2000-01-01", end = as.character(Sys.Date()),
      TS_positions = 1L:5L, roll_type = "A", roll_days = 0L,
      roll_months = 0L, roll_adjustment = "N")

    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.