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 |
data |
data.frame containing at least columns |
file |
if not NULL, will read input data from the file named by this argument, in the same folrmat as |
outputfile |
if not NULL, will write out put to this file as a CSV |
start_date |
date to start building from, of type |
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
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