build symbols for exchange guaranteed (calendar) spreads
The columns needed by this version of the function are
month_cycle, and code
data.frame containing at least columns
if not NULL, will read input data from the file named by this argument, in the same folrmat as
if not NULL, will write out put to this file as a CSV
date to start building from, of type
primary_id should match the
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.
type is also specified, it should be a specific instrument type,
e.g. 'future_series','option_series','guaranteed_spread' or 'calendar_spread'
file must be populated for input data.
Ilya Kipnis <Ilya.Kipnis<at>gmail.com>