library(DBI)
library(plutoDbR)
library(plutoR)
library(tidyverse)
options("scipen"=999)
source("../R/config.R")
commodityFO <- CommodityFuturesAndOptions()
# get all the commodities that are being traded in COMEX and NYMEX
print("commodity futures that are being traded in COMEX and NYMEX")
maxDt <- (commodityFO$CmeEod() %>%
summarize(MAX_DT = max(TIME_STAMP)) %>%
collect())$MAX_DT[[1]]
t1 <- commodityFO$CmeEod() %>%
filter(TIME_STAMP == maxDt) %>%
group_by(PRODUCT_SYMBOL, PRODUCT_DESCRIPTION) %>%
summarize(TOTAL_VOLUME = sum(VOLUME)) %>%
select(PRODUCT_SYMBOL, PRODUCT_DESCRIPTION, TOTAL_VOLUME) %>%
collect()
t2 <- commodityFO$CmeEod() %>%
group_by(PRODUCT_SYMBOL) %>%
summarize(START_DT = min(TIME_STAMP)) %>%
select(PRODUCT_SYMBOL, START_DT) %>%
collect()
t1 %>%
inner_join(t2, by=c('PRODUCT_SYMBOL')) %>%
filter(TOTAL_VOLUME > 0) %>%
arrange(desc(TOTAL_VOLUME)) %>%
print()
# get all the commodity futures that are being traded in MCX
print("commodity futures that are being traded in MCX")
maxDt <- (commodityFO$McxEod() %>%
summarize(MAX_DT = max(TIME_STAMP)) %>%
collect())$MAX_DT[[1]]
t1 <- commodityFO$McxEod() %>%
filter(TIME_STAMP == maxDt & (OTYPE == 'XX' | OTYPE == 'FUTCOM')) %>%
group_by(CONTRACT) %>%
summarize(TOTAL_OI = sum(OI)) %>%
select(CONTRACT, TOTAL_OI) %>%
collect()
t2 <- commodityFO$McxEod() %>%
group_by(CONTRACT) %>%
summarize(START_DT = min(TIME_STAMP)) %>%
select(CONTRACT, START_DT) %>%
collect()
t1 %>%
inner_join(t2, by=c('CONTRACT')) %>%
filter(TOTAL_OI > 0) %>%
arrange(desc(TOTAL_OI)) %>%
print()
# get all the commodity futures that are being traded in NCDEX
print("commodity futures that are being traded in NCDEX")
maxDt <- (commodityFO$NcdexEod() %>%
summarize(MAX_DT = max(TIME_STAMP)) %>%
collect())$MAX_DT[[1]]
t1 <- commodityFO$NcdexEod() %>%
filter(TIME_STAMP == maxDt) %>%
group_by(COMMODITY) %>%
summarize(TOTAL_OI = sum(OI)) %>%
select(COMMODITY, TOTAL_OI) %>%
collect()
t2 <- commodityFO$NcdexEod() %>%
group_by(COMMODITY) %>%
summarize(START_DT = min(TIME_STAMP)) %>%
select(COMMODITY, START_DT) %>%
collect()
t1 %>%
inner_join(t2, by=c('COMMODITY')) %>%
filter(TOTAL_OI > 0) %>%
arrange(desc(TOTAL_OI)) %>%
print()
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