perpetualspec: Future for CSI Perpetual Contract Specification

In RCSI: An S4 interface to the CSI UA API

Description

The function creates a CSI perpetual futures contract specification which is passed onto the futureseries function for data extraction.

Usage

perpetualspec(MonthsAheadToViewMarket = 1, OIWeighted = 1, DayOfMonthToRoll = 1,
MonthsPriorToRoll = 0, valid.months = "VVVVVVVVVVVV")

Arguments

MonthsAheadToViewMarket	Determines which contracts are to be combined to form the contract.
OIWeighted	Determines whether the open interest, rather than the number of days from rolling, is used as the weight factor.
DayOfMonthToRoll	The day of the month to roll (31 for expiration).
MonthsPriorToRoll	The number of months before the contract month to roll (0 for expiration month).
valid.months	This is a string of 12 characters. Each of those characters is either an “I” for inactive, “V” for active (valid), or “S” for switching (currently low volume.) During retrieval, the condition is “V” to retrieve and not “V” to ignore. If the active months have changed historically, it is up to the users to convert “S” to “V” to build representative contracts. Of course 12 “Vs” (“VVVVVVVVVVVV”) retrieves every contract ever traded (see note).

Value

Returns an object of class uaSpec

Note

The user may find it useful to first call the marketprofile which returns the active months.

Author(s)

Alexios Ghalanos

References

Commodity Systems Incorporated, UNFAIR ADVANTAGE API (API2) FUNCTIONAL SPECIFICATION, 2006.

RCSI documentation built on May 2, 2019, 4:50 p.m.