quandContFutClean: Quandl Futures Data Cleaning

In dlastor/FinMarkets: FinMarkets - A collection of indicators, metrics, classifiers, and machine learning functions.

Description

Constructs a continuous futures time series from front and back month contracts from Quandl's database.

Usage

quandContFutClean(stemCode, start_date = NULL, end_date = NULL,
  verbose = FALSE, firstMon = 1, ...)

Arguments

stemCode	the characters for the corresponding futures series. Usually in the form of CHRIS/EXCHANGE_SYMBOL, such as CHRIS/CME_CL for light, sweet crude oil, and CHRIS/CME_GC for gold.
start_date	a character string date in the form of yyyy-mm-dd such as 2000-01-01
end_date	a character string date identical to the above
verbose	an argument that displays how many NA and spike days were removed, then prints the removed dates
firstMon	an argument that holds the first Month to use

Value

an OHLCVI time series of daily data

dlastor/FinMarkets documentation built on May 13, 2019, 6:13 p.m.