build_spread_symbols: build symbols for exchange guaranteed (calendar) spreads
In braverock/FinancialInstrument: Financial Instrument Model Infrastructure for R

Description Usage Arguments Details Author(s) See Also

The columns needed by this version of the function are primary_id, month_cycle, and code contracts_ahead.

1 2	build_spread_symbols(data = NULL, file = NULL, outputfile = NULL, start_date = Sys.Date())

`data`	data.frame containing at least columns `primary_id`, `month_cycle`, amd `contracts_ahead`, see Details
`file`	if not NULL, will read input data from the file named by this argument, in the same folrmat as `data`, above
`outputfile`	if not NULL, will write out put to this file as a CSV
`start_date`	date to start building from, of type `Date` or an ISO-8601 date string, defaults to `Sys.Date`

primary_id should match the primary_id of the instrument describing the root contract.

month_cycle should contain a comma delimited string describing the month sequence to use, e.g. "F,G,H,J,K,M,N,Q,U,V,X,Z" for all months using the standard futures letters, or "H,M,U,Z" for quarters, or "Mar,Jun,Sep,Dec" for quarters as three-letter month abbreviations, etc. The correct values will vary based on your data source.

contracts_ahead should contain a comma-delimited string describing the cycle on which the guaranteed calendar spreads are to be consructed, e.g. '1' for one-month spreads, '1,3' for one and three month spreads, '1,6,12' for 1, 6, and 12 month spreads, etc. For quarterly symbols, the correct contracts_ahead may be something like '1,2,3' for quarterly, bi-annual, and annual spreads.

active_months is a numeric field indicating how many months including the month of the start_date the contract is available to trade. This number will be used as the upper limit for symbol generation.

If type is also specified, it should be a specific instrument type, e.g. 'future_series','option_series','guaranteed_spread' or 'calendar_spread'

One of data or file must be populated for input data.

Ilya Kipnis <Ilya.Kipnis<at>gmail.com>

load.instruments build_series_symbols

braverock/FinancialInstrument documentation built on May 13, 2019, 2:32 a.m.