build_series_symbols: construct a series of symbols based on root symbol and suffix...

In redmode/FinancialInstrument: Financial Instrument Model Infrastructure for R

Description

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

Usage

  build_series_symbols(roots, yearlist = c(0, 1))

Arguments

yearlist	vector of year suffixes to be applied, see Details
roots	data.frame containing at least columns primary_id and month_cycle, see Details

Details

TODO add more flexibility in input formats for roots #'

Author(s)

Brian G. Peterson

See Also

load.instruments

redmode/FinancialInstrument documentation built on May 27, 2019, 4:03 a.m.