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R/futures.R
In RCSI: An S4 interface to the CSI UA API
#################################################################################
##
## R package rcsi by Alexios Ghalanos Copyright (C) 2008, 2009
## This file is part of the R package rcsi.
##
## The R package rcsi is free software: you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 3 of the License, or
## (at your option) any later version.
##
## The R package rcsi is distributed in the hope that it will be useful,
## but WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
## GNU General Public License for more details.
##
#################################################################################
contractlist = function(symbol, is.stock = FALSE, is.option = FALSE)
{
if(!exists(".ua")) startUA()
csinum = .getCSInum(symbol)
.ua[["IsStock"]] = as.integer(is.stock)
if(csinum==-1) stop("invalid symbol", call. = FALSE)
.ua[["MarketNumber"]] = csinum
n = .ua$BuildContractList(csinum, as.integer(is.stock), as.integer(is.option))
# 0 is the cash
futcode = vector(mode = "integer", length = n)
futstart = vector(mode = "integer", length = n)
futend = vector(mode = "integer", length = n)
futyear = vector(mode = "integer", length = n)
futmonth = vector(mode = "integer", length = n)
if(n==-1) stop("could not build contract list...", call. = FALSE)
for(i in 1:n){
futcode[i] = .ua$GetContractDeliveryCode(i-1)
futstart[i] = .ua$GetContractFirstDate(i-1)
futend[i] = .ua$GetContractLastDate(i-1)
if(futcode[i]==54) next()
futyear[i] = as.integer(substr(as.character(futcode[i]),1,4))
futmonth[i] = as.integer(substr(as.character(futcode[i]),5,6))
}
ctable = data.frame(futcode = futcode, futstart = futstart, futend = futend, futyear = futyear,
futmonth = futmonth)
# get valid months
uniqmonths = sort(unique(ctable[,5]))
# remove the case series from the unique months
if(uniqmonths[1]==0) uniqmonths = uniqmonths[-1]
# in case of some error:
if(any(uniqmonths>12)) uniqmonths = uniqmonths[uniqmonths<12]
mmat = match(uniqmonths,1:12)
valid.months = vector(mode="character", length=12)
valid.months = rep("I",12)
valid.months[mmat] = "V"
valid.months = paste(valid.months,sep="",collapse="")
# clear the contract list
clrfut = .ua$InvalidateContractList()
return(list(contractTable = ctable, validMonths = valid.months))
}
# individual contract
contractspec = function( contract.code = 54)
{
clist = list( contract.code = contract.code, type = "Individual Contract")
ans = new("uaContractSpec",
spec = clist)
return(ans)
}
# perpetual spec
perpetualspec = function(MonthsAheadToViewMarket = 1, OIWeighted = 1, DayOfMonthToRoll = 1,
MonthsPriorToRoll = 0, valid.months = "VVVVVVVVVVVV")
{
clist = list( MonthsAheadToViewMarket = MonthsAheadToViewMarket, OIWeighted = OIWeighted,
DayOfMonthToRoll = DayOfMonthToRoll, MonthsPriorToRoll = MonthsPriorToRoll,
valid.months = valid.months, type = "CSI Perpetual Contract")
ans = new("uaPerpetualSpec",
spec = clist)
return(ans)
}
# gann contract
gannspec = function(DeliveryMonthToView = 1, DayOfMonthToRoll = 1, MonthsPriorToRoll = 0)
{
clist = list( DeliveryMonthToView = DeliveryMonthToView, DayOfMonthToRoll = DayOfMonthToRoll,
MonthsPriorToRoll = MonthsPriorToRoll, type = "Gann Contract")
ans = new("uaGannSpec",
spec = clist)
return(ans)
}
# backadjusted contract
backadjspec = function(rollLogicType = -1, rollWhen = 1, DayOfMonthToRoll = 1, MonthsPriorToRoll = 0,
accumulationMethod = 0, rollDeltaType = 0, valid.months = "VVVVVVVVVVVV", GenerateForward = 0,
rollNDays = 5, ProportionalAdjustment = 1)
{
# do checks on valid entries:
# RollOnOpenInterest, RollOnVolume, RollOnOpenInterestAndVolume, RollOnOpenInterestOrVolume,
# RollOnDayRelativeToStartOfMonth, RollOnDayRelativeToEndOfMonth
v.rollLogicType = c(-1, -2, -3, -4, -5, -6)
if(!any(rollLogicType[1] == v.rollLogicType))
stop("invalid rollLogicType choice", call. = FALSE)
# OpenToOpen, CloseToClose, CloseToOpen, CloseToOpenOldGap, CloseToOpenNewGap
v.rollDeltaType = c(-1, 0, 1, 2, 3)
if(!any(rollDeltaType[1] == v.rollDeltaType))
stop("invalid rollDeltaType choice", call. = FALSE)
# Reported, Known, Anticipated, Lagged2
v.rollWhen = c(0, 1, 2, 3)
if(!any(rollWhen[1] == v.rollWhen))
stop("invalid rollWhen choice", call. = FALSE)
# BackAdjust, ForwardAdjust
v.accumulationMethod = c(0, 1)
if(!any(accumulationMethod[1] == v.accumulationMethod))
stop("invalid accumulationMethod choice", call. = FALSE)
clist = list( rollLogicType = rollLogicType, rollWhen = rollWhen, DayOfMonthToRoll = DayOfMonthToRoll,
MonthsPriorToRoll = MonthsPriorToRoll, accumulationMethod = accumulationMethod, rollDeltaType = rollDeltaType,
valid.months = valid.months, GenerateForward = GenerateForward, rollNDays = rollNDays,
ProportionalAdjustment = ProportionalAdjustment, type = "BackAdjusted Contract")
ans = new("uaBackAdjSpec",
spec = clist)
return(ans)
}
# nth nearest contract
nnearestspec = function(TargetForwardContract = 1, rollLogicType = -1, rollWhen = 1,
DayOfMonthToRoll = 5, MonthsPriorToRoll = 0, valid.months = "VVVVVVVVVVVV", GenerateForward = 0,
rollNDays = 5)
{
# do checks on valid entries:
# RollOnOpenInterest, RollOnVolume, RollOnOpenInterestAndVolume, RollOnOpenInterestOrVolume,
# RollOnDayRelativeToStartOfMonth, RollOnDayRelativeToEndOfMonth
v.rollLogicType = c(-1, -2, -3, -4, -5, -6)
if(!any(rollLogicType[1] == v.rollLogicType))
stop("invalid rollLogicType choice", call. = FALSE)
# Reported, Known, Lagged2
v.rollWhen = c(0, 1, 3)
if(!any(rollWhen[1] == v.rollWhen))
stop("invalid rollWhen choice", call. = FALSE)
# 1:9
v.TargetForwardContract = 1:9
if(!any(TargetForwardContract[1] == v.TargetForwardContract))
stop("invalid TargetForwardContract choice", call. = FALSE)
clist = list(TargetForwardContract = TargetForwardContract, rollLogicType = rollLogicType, rollWhen = rollWhen,
DayOfMonthToRoll = DayOfMonthToRoll, MonthsPriorToRoll = MonthsPriorToRoll, valid.months = valid.months,
GenerateForward = GenerateForward, rollNDays = rollNDays, type = "Nth Nearest Contract")
ans = new("uaNthNearestSpec",
spec = clist)
return(ans)
}
futcontrol = function(IncludeSaturdays = FALSE, IncludeHolidays = FALSE, DetrendMethod = 0,
FillInCashPrice = FALSE, ApplyCommodityAdjustments = TRUE, UseAlternateBackAdjuster = TRUE,
RaiseNegBackAdjustSeries = FALSE, NumDaysConfirmation = 2, CloseOutOfRangeAdjustmentMethod = 0,
RoundToTick = FALSE, UseTradeableTick = TRUE, OnHolidaysUsePreviousData = FALSE, OnHolidaysUseCloseOnly = FALSE,
AggregateVolAs = 3, AggregateOiAs = 3, AggregateCashAs = 3, AggregateDateAsLastRecord = 1, AggregateDayOfWeekAs = 6)
{
# convert to integers
IncludeSaturdays = as.integer(IncludeSaturdays)
IncludeHolidays = as.integer(IncludeHolidays)
DetrendMethod = as.integer(DetrendMethod)
FillInCashPrice = as.integer(FillInCashPrice)
ApplyCommodityAdjustments = as.integer(ApplyCommodityAdjustments)
UseAlternateBackAdjuster = as.integer(UseAlternateBackAdjuster)
RaiseNegBackAdjustSeries = as.integer(RaiseNegBackAdjustSeries)
NumDaysConfirmation = as.integer(NumDaysConfirmation)
CloseOutOfRangeAdjustmentMethod = as.integer(CloseOutOfRangeAdjustmentMethod)
RoundToTick = as.integer(RoundToTick)
UseTradeableTick = as.integer(UseTradeableTick)
OnHolidaysUsePreviousData = as.integer(OnHolidaysUsePreviousData)
OnHolidaysUseCloseOnly = as.integer(OnHolidaysUseCloseOnly)
AggregateVolAs = as.integer(AggregateVolAs)
AggregateOiAs = as.integer(AggregateOiAs)
AggregateCashAs = as.integer(AggregateCashAs)
AggregateDateAsLastRecord = as.integer(AggregateDateAsLastRecord)
AggregateDayOfWeekAs = as.integer(AggregateDayOfWeekAs)
# DetrendMethod
# -1 (Detrend By Second Contract), 0 (None), 1 (Detrend by Second Day)
v.DetrendMethod = c(-1, 0, 1)
if(!any(DetrendMethod[1] == v.DetrendMethod))
stop("invalid DetrendMethod choice", call. = FALSE)
# CloseOutOfRangeAdjustmentMethod
# 0 (LeaveAlone), 1 (CompromiseHighLow), 2 (CompromiseClose)
v.CloseOutOfRangeAdjustmentMethod = c(0, 1, 2)
if(!any(CloseOutOfRangeAdjustmentMethod[1] == v.CloseOutOfRangeAdjustmentMethod))
stop("invalid CloseOutOfRangeAdjustmentMethod choice", call. = FALSE)
# Aggregate (Vol, Oi, Cash) As
# 0 (Largest), 1 (Smallest), 2 (Average), 3 (Last), 4 (Total)
v.AggregateVolAs = c(0, 1, 2, 3, 4)
if(!any(AggregateVolAs[1] == v.AggregateVolAs))
stop("invalid AggregateVolAs choice", call. = FALSE)
v.AggregateOiAs = c(0, 1, 2, 3, 4)
if(!any(AggregateOiAs[1] == v.AggregateOiAs))
stop("invalid AggregateVolAs choice", call. = FALSE)
v.AggregateCashAs = c(0, 1, 2, 3, 4)
if(!any(AggregateCashAs[1] == v.AggregateCashAs))
stop("invalid AggregateVolAs choice", call. = FALSE)
# Aggregate Date As
# 0 (First Day of Week), 1 (Last Day of Week)
v.AggregateDateAsLastRecord = c(0, 1)
if(!any(AggregateDateAsLastRecord[1] == v.AggregateDateAsLastRecord))
stop("invalid AggregateDateAs choice", call. = FALSE)
# AggregateDayOfWeekAs
# 1 (Sunday)...7 (Saturday)
v.AggregateDayOfWeekAs = c(1, 2, 3, 4, 5, 6, 7)
if(!any(AggregateDayOfWeekAs[1] == v.AggregateDayOfWeekAs))
stop("invalid AggregateDayOfWeekAs choice", call. = FALSE)
clist = list(IncludeSaturdays = IncludeSaturdays, IncludeHolidays = IncludeHolidays,
DetrendMethod = DetrendMethod, FillInCashPrice = FillInCashPrice,
ApplyCommodityAdjustments = ApplyCommodityAdjustments,
UseAlternateBackAdjuster = UseAlternateBackAdjuster,
RaiseNegBackAdjustSeries = RaiseNegBackAdjustSeries,
NumDaysConfirmation = NumDaysConfirmation,
CloseOutOfRangeAdjustmentMethod = CloseOutOfRangeAdjustmentMethod,
RoundToTick = RoundToTick, UseTradeableTick = UseTradeableTick,
OnHolidaysUsePreviousData = OnHolidaysUsePreviousData,
OnHolidaysUseCloseOnly = OnHolidaysUseCloseOnly,
AggregateVolAs = AggregateVolAs, AggregateOiAs = AggregateOiAs,
AggregateCashAs = AggregateCashAs, AggregateDateAsLastRecord = AggregateDateAsLastRecord,
AggregateDayOfWeekAs = AggregateDayOfWeekAs)
return(clist)
}
.callfutcontrol = function(control)
{
.ua[["IncludeSaturdays"]] = as.integer(control$IncludeSaturdays)
.ua[["IncludeHolidays"]] = as.integer(control$IncludeHolidays)
.ua[["DetrendMethod"]] = as.integer(control$DetrendMethod)
.ua[["FillInCashPrice"]] = as.integer(control$FillInCashPrice)
.ua[["ApplyCommodityAdjustments"]] = as.integer(control$ApplyCommodityAdjustments)
.ua[["UseAlternateBackAdjuster"]] = as.integer(control$UseAlternateBackAdjuster)
.ua[["RaiseNegBackAdjustSeries"]] = as.integer(control$RaiseNegBackAdjustSeries)
.ua[["NumDaysConfirmation"]] = as.integer(control$NumDaysConfirmation)
.ua[["CloseOutOfRangeAdjustmentMethod"]] = as.integer(control$CloseOutOfRangeAdjustmentMethod)
.ua[["RoundToTick"]] = as.integer(control$RoundToTick)
.ua[["UseTradeableTick"]] = as.integer(control$UseTradeableTick)
.ua[["OnHolidaysUsePreviousData"]] = as.integer(control$OnHolidaysUsePreviousData)
.ua[["OnHolidaysUseCloseOnly"]] = as.integer(control$OnHolidaysUseCloseOnly)
.ua[["AggregateVolAs"]] = as.integer(control$AggregateVolAs)
# the values below seem to return an error --> contact csi
#.ua[["AggregateOiAs"]] = as.integer(control$AggregateOiAs)
#.ua[["AggregateCashAs"]] = as.integer(control$AggregateCashAs)
.ua[["AggregateDateAsLastRecord"]] = as.integer(control$AggregateDateAsLastRecord)
.ua[["AggregateDayOfWeekAs"]] = as.integer(control$AggregateDayOfWeekAs)
return(1)
}
# contract series
.futureseries1 = function(symbol, spec, start.date = -1, end.date = -1, freq = c("d", "w", "m", "q", "y"), fut.control = NULL)
{
if(!exists(".ua")) startUA()
if(is.null(fut.control)) fut.control = futcontrol()
setprop = .callfutcontrol(fut.control)
.ua[["IsStock"]] = as.integer(0)
csinum = .getCSInum(symbol)
if(csinum==-1) stop("invalid symbol", call. = FALSE)
getn = .ua$RetrieveContract( csinum, spec@spec$contract.code, start.date,
end.date)
if(getn == -1)
stop("no data...\n", call. = FALSE)
v.freq = c("d", "w", "m", "q", "y")
freq = tolower(freq[1])
if(!any(freq == v.freq))
stop("not a valid frequency choice", call. = FALSE)
freq = switch(EXPR=freq, d = 0, w = 1, m = 2, q = 3, y = 4)
freq = as.integer(freq)
.ans = .ua$GetUAStrClipFormat()
.ans = eval(.ua$CombineDataToClipboard2(freq,","), envir=.GlobalEnv)
s = read.csv(file = "clipboard", header = FALSE, sep = ",", dec = ".")
colnames(s) = try(c("Date","DayOfWeek","DeliveryCode","Open","High","Low", "Close", "Cash", "CVolume", "COpenInt",
"TVolume", "TOpenInt", "ClosingBid", "ClosingAsk", "Unadj.Close", "UnadjVol", "UnadjOI", "Expansion"),
silent = TRUE)
if(inherits(s, "try-error"))
stop("no data...\n", call. = FALSE)
s = s[,c(1,3,4,5,6,7,8,9,10,11,12)]
s = as.data.frame(s)
sol = new("uaContractSeries",
csinum = csinum,
symbol = symbol,
type = spec@spec$type,
freq = freq,
data = s)
return(sol)
}
# perpetual series
.futureseries2 = function(symbol, spec, start.date = -1, end.date = -1, freq = c("d", "w", "m", "q", "y"), fut.control = NULL)
{
if(!exists(".ua")) startUA()
if(is.null(fut.control)) fut.control = futcontrol()
setprop = .callfutcontrol(fut.control)
.ua[["IsStock"]] = as.integer(0)
csinum = .getCSInum(symbol)
if(csinum==-1) stop("invalid symbol", call. = FALSE)
getn = .ua$RetrievePerpetualContract( csinum, spec@spec$MonthsAheadToViewMarket,
spec@spec$OIWeighted, spec@spec$DayOfMonthToRoll, spec@spec$MonthsPriorToRoll,
spec@spec$valid.months, start.date, end.date)
if(getn == -1)
stop("no data...\n", call. = FALSE)
v.freq = c("d", "w", "m", "q", "y")
freq = tolower(freq[1])
if(!any(freq == v.freq))
stop("not a valid frequency choice", call. = FALSE)
freq = switch(EXPR=freq, d = 0, w = 1, m = 2, q = 3, y = 4)
freq = as.integer(freq)
.ans = .ua$GetUAStrClipFormat()
.ans = eval(.ua$CombineDataToClipboard2(freq,","), envir=.GlobalEnv)
s = read.csv(file = "clipboard", header = FALSE, sep = ",", dec = ".")
colnames(s) = try(c("Date","DayOfWeek","DeliveryCode","Open","High","Low", "Close", "Cash", "CVolume", "COpenInt",
"TVolume", "TOpenInt", "ClosingBid", "ClosingAsk", "Unadj.Close", "UnadjVol", "UnadjOI", "Expansion"), silent = TRUE)
if(inherits(s, "try-error"))
stop("no data...\n", call. = FALSE)
s = s[,c(1,3,4,5,6,7,8,9,10,11,12)]
s = as.data.frame(s)
sol = new("uaPerpetualSeries",
csinum = csinum,
symbol = symbol,
type = spec@spec$type,
freq = freq,
data = s)
return(sol)
}
# gann series
.futureseries3 = function(symbol, spec, start.date = -1, end.date = -1, freq = c("d", "w", "m", "q", "y"), fut.control = NULL)
{
if(!exists(".ua")) startUA()
if(is.null(fut.control)) fut.control = futcontrol()
setprop = .callfutcontrol(fut.control)
.ua[["IsStock"]] = as.integer(0)
csinum = .getCSInum(symbol)
if(csinum==-1) stop("invalid symbol", call. = FALSE)
getn = .ua$RetrieveGannContract( csinum, spec@spec$DeliveryMonthToView,
spec@spec$DayOfMonthToRoll, spec@spec$MonthsPriorToRoll,
start.date, end.date)
if(getn == -1)
stop("no data...\n", call. = FALSE)
v.freq = c("d", "w", "m", "q", "y")
freq = tolower(freq[1])
if(!any(freq == v.freq))
stop("not a valid frequency choice", call. = FALSE)
freq = switch(EXPR=freq, d = 0, w = 1, m = 2, q = 3, y = 4)
freq = as.integer(freq)
.ans = .ua$GetUAStrClipFormat()
.ans = eval(.ua$CombineDataToClipboard2(freq,","), envir=.GlobalEnv)
s = read.csv(file = "clipboard", header = FALSE, sep = ",", dec = ".")
colnames(s) = try(c("Date","DayOfWeek","DeliveryCode","Open","High","Low", "Close", "Cash", "CVolume", "COpenInt",
"TVolume", "TOpenInt", "ClosingBid", "ClosingAsk", "Unadj.Close", "UnadjVol", "UnadjOI", "Expansion"),
silent = TRUE)
if(inherits(s, "try-error"))
stop("no data...\n", call. = FALSE)
s = s[,c(1,3,4,5,6,7,8,9,10,11,12)]
s = as.data.frame(s)
sol = new("uaGannSeries",
csinum = csinum,
symbol = symbol,
type = spec@spec$type,
freq = freq,
data = s)
return(sol)
}
.futureseries4 = function(symbol, spec, start.date = -1, end.date = -1, freq = c("d", "w", "m", "q", "y"), fut.control = NULL)
{
if(!exists(".ua")) startUA()
if(is.null(fut.control)) fut.control = futcontrol()
setprop = .callfutcontrol(fut.control)
.ua[["IsStock"]] = as.integer(0)
csinum = .getCSInum(symbol)
if(csinum==-1) stop("invalid symbol", call. = FALSE)
if(spec@spec$ProportionalAdjustment){
getn = .ua$RetrieveBackAdjustedContract2(csinum, spec@spec$rollLogicType, spec@spec$rollWhen,
spec@spec$DayOfMonthToRoll, spec@spec$MonthsPriorToRoll, spec@spec$accumulationMethod,
spec@spec$rollDeltaType, spec@spec$valid.months, spec@spec$GenerateForward,
spec@spec$rollNDays, start.date, end.date, 1)
} else{
getn = .ua$RetrieveBackAdjustedContract(csinum, spec@spec$rollLogicType, spec@spec$rollWhen,
spec@spec$DayOfMonthToRoll, spec@spec$MonthsPriorToRoll, spec@spec$accumulationMethod,
spec@spec$rollDeltaType, spec@spec$valid.months, spec@spec$GenerateForward,
spec@spec$rollNDays, start.date, end.date)
}
if(getn == -1)
stop("no data...\n", call. = FALSE)
v.freq = c("d", "w", "m", "q", "y")
freq = tolower(freq[1])
if(!any(freq == v.freq))
stop("not a valid frequency choice", call. = FALSE)
freq = switch(EXPR=freq, d = 0, w = 1, m = 2, q = 3, y = 4)
freq = as.integer(freq)
.ans = .ua$GetUAStrClipFormat()
.ans = eval(.ua$CombineDataToClipboard2(freq,","), envir=.GlobalEnv)
s = read.csv(file = "clipboard", header = FALSE, sep = ",", dec = ".")
colnames(s) = try(c("Date","DayOfWeek","DeliveryCode","Open","High","Low", "Close", "Cash", "CVolume", "COpenInt",
"TVolume", "TOpenInt", "ClosingBid", "ClosingAsk", "Unadj.Close", "UnadjVol", "UnadjOI", "Expansion"),
silent = TRUE)
if(inherits(s, "try-error"))
stop("no data...\n", call. = FALSE)
s = s[,c(1,3,4,5,6,7,8,9,10,11,12)]
s = as.data.frame(s)
sol = new("uaBackAdjSeries",
csinum = csinum,
symbol = symbol,
type = spec@spec$type,
freq = freq,
data = s)
return(sol)
}
# nth nearest series
.futureseries5 = function(symbol, spec, start.date = -1, end.date = -1, freq = c("d", "w", "m", "q", "y"), fut.control = NULL)
{
if(!exists(".ua")) startUA()
if(is.null(fut.control)) fut.control = futcontrol()
setprop = .callfutcontrol(fut.control)
.ua[["IsStock"]] = as.integer(0)
csinum = .getCSInum(symbol)
if(csinum==-1) stop("invalid symbol", call. = FALSE)
getn = .ua$RetrieveNthNearestFuture( csinum, spec@spec$TargetForwardContract,
spec@spec$rollLogicType, spec@spec$rollWhen,
spec@spec$DayOfMonthToRoll, spec@spec$MonthsPriorToRoll, spec@spec$valid.months,
spec@spec$GenerateForward, spec@spec$rollNDays,
start.date, end.date)
if(getn == -1)
stop("no data...\n", call. = FALSE)
v.freq = c("d", "w", "m", "q", "y")
freq = tolower(freq[1])
if(!any(freq == v.freq))
stop("not a valid frequency choice", call. = FALSE)
freq = switch(EXPR=freq, d = 0, w = 1, m = 2, q = 3, y = 4)
freq = as.integer(freq)
.ans = .ua$GetUAStrClipFormat()
.ans = eval(.ua$CombineDataToClipboard2(freq,","), envir=.GlobalEnv)
s = read.csv(file = "clipboard", header = FALSE, sep = ",", dec = ".")
colnames(s) = try(c("Date","DayOfWeek","DeliveryCode","Open","High","Low", "Close", "Cash", "CVolume", "COpenInt",
"TVolume", "TOpenInt", "ClosingBid", "ClosingAsk", "Unadj.Close", "UnadjVol", "UnadjOI", "Expansion"),
silent = TRUE)
if(inherits(s, "try-error"))
stop("no data...\n", call. = FALSE)
s = s[,c(1,3,4,5,6,7,8,9,10,11,12)]
s = as.data.frame(s)
sol = new("uaNthNearestSeries",
csinum = csinum,
symbol = symbol,
type = spec@spec$type,
freq = freq,
data = s)
return(sol)
}
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#################################################################################
##
## R package rcsi by Alexios Ghalanos Copyright (C) 2008, 2009
## This file is part of the R package rcsi.
##
## The R package rcsi is free software: you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 3 of the License, or
## (at your option) any later version.
##
## The R package rcsi is distributed in the hope that it will be useful,
## but WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
## GNU General Public License for more details.
##
#################################################################################
contractlist = function(symbol, is.stock = FALSE, is.option = FALSE)
{
if(!exists(".ua")) startUA()
csinum = .getCSInum(symbol)
.ua[["IsStock"]] = as.integer(is.stock)
if(csinum==-1) stop("invalid symbol", call. = FALSE)
.ua[["MarketNumber"]] = csinum
n = .ua$BuildContractList(csinum, as.integer(is.stock), as.integer(is.option))
# 0 is the cash
futcode = vector(mode = "integer", length = n)
futstart = vector(mode = "integer", length = n)
futend = vector(mode = "integer", length = n)
futyear = vector(mode = "integer", length = n)
futmonth = vector(mode = "integer", length = n)
if(n==-1) stop("could not build contract list...", call. = FALSE)
for(i in 1:n){
futcode[i] = .ua$GetContractDeliveryCode(i-1)
futstart[i] = .ua$GetContractFirstDate(i-1)
futend[i] = .ua$GetContractLastDate(i-1)
if(futcode[i]==54) next()
futyear[i] = as.integer(substr(as.character(futcode[i]),1,4))
futmonth[i] = as.integer(substr(as.character(futcode[i]),5,6))
}
ctable = data.frame(futcode = futcode, futstart = futstart, futend = futend, futyear = futyear,
futmonth = futmonth)
# get valid months
uniqmonths = sort(unique(ctable[,5]))
# remove the case series from the unique months
if(uniqmonths[1]==0) uniqmonths = uniqmonths[-1]
# in case of some error:
if(any(uniqmonths>12)) uniqmonths = uniqmonths[uniqmonths<12]
mmat = match(uniqmonths,1:12)
valid.months = vector(mode="character", length=12)
valid.months = rep("I",12)
valid.months[mmat] = "V"
valid.months = paste(valid.months,sep="",collapse="")
# clear the contract list
clrfut = .ua$InvalidateContractList()
return(list(contractTable = ctable, validMonths = valid.months))
}
# individual contract
contractspec = function( contract.code = 54)
{
clist = list( contract.code = contract.code, type = "Individual Contract")
ans = new("uaContractSpec",
spec = clist)
return(ans)
}
# perpetual spec
perpetualspec = function(MonthsAheadToViewMarket = 1, OIWeighted = 1, DayOfMonthToRoll = 1,
MonthsPriorToRoll = 0, valid.months = "VVVVVVVVVVVV")
{
clist = list( MonthsAheadToViewMarket = MonthsAheadToViewMarket, OIWeighted = OIWeighted,
DayOfMonthToRoll = DayOfMonthToRoll, MonthsPriorToRoll = MonthsPriorToRoll,
valid.months = valid.months, type = "CSI Perpetual Contract")
ans = new("uaPerpetualSpec",
spec = clist)
return(ans)
}
# gann contract
gannspec = function(DeliveryMonthToView = 1, DayOfMonthToRoll = 1, MonthsPriorToRoll = 0)
{
clist = list( DeliveryMonthToView = DeliveryMonthToView, DayOfMonthToRoll = DayOfMonthToRoll,
MonthsPriorToRoll = MonthsPriorToRoll, type = "Gann Contract")
ans = new("uaGannSpec",
spec = clist)
return(ans)
}
# backadjusted contract
backadjspec = function(rollLogicType = -1, rollWhen = 1, DayOfMonthToRoll = 1, MonthsPriorToRoll = 0,
accumulationMethod = 0, rollDeltaType = 0, valid.months = "VVVVVVVVVVVV", GenerateForward = 0,
rollNDays = 5, ProportionalAdjustment = 1)
{
# do checks on valid entries:
# RollOnOpenInterest, RollOnVolume, RollOnOpenInterestAndVolume, RollOnOpenInterestOrVolume,
# RollOnDayRelativeToStartOfMonth, RollOnDayRelativeToEndOfMonth
v.rollLogicType = c(-1, -2, -3, -4, -5, -6)
if(!any(rollLogicType[1] == v.rollLogicType))
stop("invalid rollLogicType choice", call. = FALSE)
# OpenToOpen, CloseToClose, CloseToOpen, CloseToOpenOldGap, CloseToOpenNewGap
v.rollDeltaType = c(-1, 0, 1, 2, 3)
if(!any(rollDeltaType[1] == v.rollDeltaType))
stop("invalid rollDeltaType choice", call. = FALSE)
# Reported, Known, Anticipated, Lagged2
v.rollWhen = c(0, 1, 2, 3)
if(!any(rollWhen[1] == v.rollWhen))
stop("invalid rollWhen choice", call. = FALSE)
# BackAdjust, ForwardAdjust
v.accumulationMethod = c(0, 1)
if(!any(accumulationMethod[1] == v.accumulationMethod))
stop("invalid accumulationMethod choice", call. = FALSE)
clist = list( rollLogicType = rollLogicType, rollWhen = rollWhen, DayOfMonthToRoll = DayOfMonthToRoll,
MonthsPriorToRoll = MonthsPriorToRoll, accumulationMethod = accumulationMethod, rollDeltaType = rollDeltaType,
valid.months = valid.months, GenerateForward = GenerateForward, rollNDays = rollNDays,
ProportionalAdjustment = ProportionalAdjustment, type = "BackAdjusted Contract")
ans = new("uaBackAdjSpec",
spec = clist)
return(ans)
}
# nth nearest contract
nnearestspec = function(TargetForwardContract = 1, rollLogicType = -1, rollWhen = 1,
DayOfMonthToRoll = 5, MonthsPriorToRoll = 0, valid.months = "VVVVVVVVVVVV", GenerateForward = 0,
rollNDays = 5)
{
# do checks on valid entries:
# RollOnOpenInterest, RollOnVolume, RollOnOpenInterestAndVolume, RollOnOpenInterestOrVolume,
# RollOnDayRelativeToStartOfMonth, RollOnDayRelativeToEndOfMonth
v.rollLogicType = c(-1, -2, -3, -4, -5, -6)
if(!any(rollLogicType[1] == v.rollLogicType))
stop("invalid rollLogicType choice", call. = FALSE)
# Reported, Known, Lagged2
v.rollWhen = c(0, 1, 3)
if(!any(rollWhen[1] == v.rollWhen))
stop("invalid rollWhen choice", call. = FALSE)
# 1:9
v.TargetForwardContract = 1:9
if(!any(TargetForwardContract[1] == v.TargetForwardContract))
stop("invalid TargetForwardContract choice", call. = FALSE)
clist = list(TargetForwardContract = TargetForwardContract, rollLogicType = rollLogicType, rollWhen = rollWhen,
DayOfMonthToRoll = DayOfMonthToRoll, MonthsPriorToRoll = MonthsPriorToRoll, valid.months = valid.months,
GenerateForward = GenerateForward, rollNDays = rollNDays, type = "Nth Nearest Contract")
ans = new("uaNthNearestSpec",
spec = clist)
return(ans)
}
futcontrol = function(IncludeSaturdays = FALSE, IncludeHolidays = FALSE, DetrendMethod = 0,
FillInCashPrice = FALSE, ApplyCommodityAdjustments = TRUE, UseAlternateBackAdjuster = TRUE,
RaiseNegBackAdjustSeries = FALSE, NumDaysConfirmation = 2, CloseOutOfRangeAdjustmentMethod = 0,
RoundToTick = FALSE, UseTradeableTick = TRUE, OnHolidaysUsePreviousData = FALSE, OnHolidaysUseCloseOnly = FALSE,
AggregateVolAs = 3, AggregateOiAs = 3, AggregateCashAs = 3, AggregateDateAsLastRecord = 1, AggregateDayOfWeekAs = 6)
{
# convert to integers
IncludeSaturdays = as.integer(IncludeSaturdays)
IncludeHolidays = as.integer(IncludeHolidays)
DetrendMethod = as.integer(DetrendMethod)
FillInCashPrice = as.integer(FillInCashPrice)
ApplyCommodityAdjustments = as.integer(ApplyCommodityAdjustments)
UseAlternateBackAdjuster = as.integer(UseAlternateBackAdjuster)
RaiseNegBackAdjustSeries = as.integer(RaiseNegBackAdjustSeries)
NumDaysConfirmation = as.integer(NumDaysConfirmation)
CloseOutOfRangeAdjustmentMethod = as.integer(CloseOutOfRangeAdjustmentMethod)
RoundToTick = as.integer(RoundToTick)
UseTradeableTick = as.integer(UseTradeableTick)
OnHolidaysUsePreviousData = as.integer(OnHolidaysUsePreviousData)
OnHolidaysUseCloseOnly = as.integer(OnHolidaysUseCloseOnly)
AggregateVolAs = as.integer(AggregateVolAs)
AggregateOiAs = as.integer(AggregateOiAs)
AggregateCashAs = as.integer(AggregateCashAs)
AggregateDateAsLastRecord = as.integer(AggregateDateAsLastRecord)
AggregateDayOfWeekAs = as.integer(AggregateDayOfWeekAs)
# DetrendMethod
# -1 (Detrend By Second Contract), 0 (None), 1 (Detrend by Second Day)
v.DetrendMethod = c(-1, 0, 1)
if(!any(DetrendMethod[1] == v.DetrendMethod))
stop("invalid DetrendMethod choice", call. = FALSE)
# CloseOutOfRangeAdjustmentMethod
# 0 (LeaveAlone), 1 (CompromiseHighLow), 2 (CompromiseClose)
v.CloseOutOfRangeAdjustmentMethod = c(0, 1, 2)
if(!any(CloseOutOfRangeAdjustmentMethod[1] == v.CloseOutOfRangeAdjustmentMethod))
stop("invalid CloseOutOfRangeAdjustmentMethod choice", call. = FALSE)
# Aggregate (Vol, Oi, Cash) As
# 0 (Largest), 1 (Smallest), 2 (Average), 3 (Last), 4 (Total)
v.AggregateVolAs = c(0, 1, 2, 3, 4)
if(!any(AggregateVolAs[1] == v.AggregateVolAs))
stop("invalid AggregateVolAs choice", call. = FALSE)
v.AggregateOiAs = c(0, 1, 2, 3, 4)
if(!any(AggregateOiAs[1] == v.AggregateOiAs))
stop("invalid AggregateVolAs choice", call. = FALSE)
v.AggregateCashAs = c(0, 1, 2, 3, 4)
if(!any(AggregateCashAs[1] == v.AggregateCashAs))
stop("invalid AggregateVolAs choice", call. = FALSE)
# Aggregate Date As
# 0 (First Day of Week), 1 (Last Day of Week)
v.AggregateDateAsLastRecord = c(0, 1)
if(!any(AggregateDateAsLastRecord[1] == v.AggregateDateAsLastRecord))
stop("invalid AggregateDateAs choice", call. = FALSE)
# AggregateDayOfWeekAs
# 1 (Sunday)...7 (Saturday)
v.AggregateDayOfWeekAs = c(1, 2, 3, 4, 5, 6, 7)
if(!any(AggregateDayOfWeekAs[1] == v.AggregateDayOfWeekAs))
stop("invalid AggregateDayOfWeekAs choice", call. = FALSE)
clist = list(IncludeSaturdays = IncludeSaturdays, IncludeHolidays = IncludeHolidays,
DetrendMethod = DetrendMethod, FillInCashPrice = FillInCashPrice,
ApplyCommodityAdjustments = ApplyCommodityAdjustments,
UseAlternateBackAdjuster = UseAlternateBackAdjuster,
RaiseNegBackAdjustSeries = RaiseNegBackAdjustSeries,
NumDaysConfirmation = NumDaysConfirmation,
CloseOutOfRangeAdjustmentMethod = CloseOutOfRangeAdjustmentMethod,
RoundToTick = RoundToTick, UseTradeableTick = UseTradeableTick,
OnHolidaysUsePreviousData = OnHolidaysUsePreviousData,
OnHolidaysUseCloseOnly = OnHolidaysUseCloseOnly,
AggregateVolAs = AggregateVolAs, AggregateOiAs = AggregateOiAs,
AggregateCashAs = AggregateCashAs, AggregateDateAsLastRecord = AggregateDateAsLastRecord,
AggregateDayOfWeekAs = AggregateDayOfWeekAs)
return(clist)
}
.callfutcontrol = function(control)
{
.ua[["IncludeSaturdays"]] = as.integer(control$IncludeSaturdays)
.ua[["IncludeHolidays"]] = as.integer(control$IncludeHolidays)
.ua[["DetrendMethod"]] = as.integer(control$DetrendMethod)
.ua[["FillInCashPrice"]] = as.integer(control$FillInCashPrice)
.ua[["ApplyCommodityAdjustments"]] = as.integer(control$ApplyCommodityAdjustments)
.ua[["UseAlternateBackAdjuster"]] = as.integer(control$UseAlternateBackAdjuster)
.ua[["RaiseNegBackAdjustSeries"]] = as.integer(control$RaiseNegBackAdjustSeries)
.ua[["NumDaysConfirmation"]] = as.integer(control$NumDaysConfirmation)
.ua[["CloseOutOfRangeAdjustmentMethod"]] = as.integer(control$CloseOutOfRangeAdjustmentMethod)
.ua[["RoundToTick"]] = as.integer(control$RoundToTick)
.ua[["UseTradeableTick"]] = as.integer(control$UseTradeableTick)
.ua[["OnHolidaysUsePreviousData"]] = as.integer(control$OnHolidaysUsePreviousData)
.ua[["OnHolidaysUseCloseOnly"]] = as.integer(control$OnHolidaysUseCloseOnly)
.ua[["AggregateVolAs"]] = as.integer(control$AggregateVolAs)
# the values below seem to return an error --> contact csi
#.ua[["AggregateOiAs"]] = as.integer(control$AggregateOiAs)
#.ua[["AggregateCashAs"]] = as.integer(control$AggregateCashAs)
.ua[["AggregateDateAsLastRecord"]] = as.integer(control$AggregateDateAsLastRecord)
.ua[["AggregateDayOfWeekAs"]] = as.integer(control$AggregateDayOfWeekAs)
return(1)
}
# contract series
.futureseries1 = function(symbol, spec, start.date = -1, end.date = -1, freq = c("d", "w", "m", "q", "y"), fut.control = NULL)
{
if(!exists(".ua")) startUA()
if(is.null(fut.control)) fut.control = futcontrol()
setprop = .callfutcontrol(fut.control)
.ua[["IsStock"]] = as.integer(0)
csinum = .getCSInum(symbol)
if(csinum==-1) stop("invalid symbol", call. = FALSE)
getn = .ua$RetrieveContract( csinum, spec@spec$contract.code, start.date,
end.date)
if(getn == -1)
stop("no data...\n", call. = FALSE)
v.freq = c("d", "w", "m", "q", "y")
freq = tolower(freq[1])
if(!any(freq == v.freq))
stop("not a valid frequency choice", call. = FALSE)
freq = switch(EXPR=freq, d = 0, w = 1, m = 2, q = 3, y = 4)
freq = as.integer(freq)
.ans = .ua$GetUAStrClipFormat()
.ans = eval(.ua$CombineDataToClipboard2(freq,","), envir=.GlobalEnv)
s = read.csv(file = "clipboard", header = FALSE, sep = ",", dec = ".")
colnames(s) = try(c("Date","DayOfWeek","DeliveryCode","Open","High","Low", "Close", "Cash", "CVolume", "COpenInt",
"TVolume", "TOpenInt", "ClosingBid", "ClosingAsk", "Unadj.Close", "UnadjVol", "UnadjOI", "Expansion"),
silent = TRUE)
if(inherits(s, "try-error"))
stop("no data...\n", call. = FALSE)
s = s[,c(1,3,4,5,6,7,8,9,10,11,12)]
s = as.data.frame(s)
sol = new("uaContractSeries",
csinum = csinum,
symbol = symbol,
type = spec@spec$type,
freq = freq,
data = s)
return(sol)
}
# perpetual series
.futureseries2 = function(symbol, spec, start.date = -1, end.date = -1, freq = c("d", "w", "m", "q", "y"), fut.control = NULL)
{
if(!exists(".ua")) startUA()
if(is.null(fut.control)) fut.control = futcontrol()
setprop = .callfutcontrol(fut.control)
.ua[["IsStock"]] = as.integer(0)
csinum = .getCSInum(symbol)
if(csinum==-1) stop("invalid symbol", call. = FALSE)
getn = .ua$RetrievePerpetualContract( csinum, spec@spec$MonthsAheadToViewMarket,
spec@spec$OIWeighted, spec@spec$DayOfMonthToRoll, spec@spec$MonthsPriorToRoll,
spec@spec$valid.months, start.date, end.date)
if(getn == -1)
stop("no data...\n", call. = FALSE)
v.freq = c("d", "w", "m", "q", "y")
freq = tolower(freq[1])
if(!any(freq == v.freq))
stop("not a valid frequency choice", call. = FALSE)
freq = switch(EXPR=freq, d = 0, w = 1, m = 2, q = 3, y = 4)
freq = as.integer(freq)
.ans = .ua$GetUAStrClipFormat()
.ans = eval(.ua$CombineDataToClipboard2(freq,","), envir=.GlobalEnv)
s = read.csv(file = "clipboard", header = FALSE, sep = ",", dec = ".")
colnames(s) = try(c("Date","DayOfWeek","DeliveryCode","Open","High","Low", "Close", "Cash", "CVolume", "COpenInt",
"TVolume", "TOpenInt", "ClosingBid", "ClosingAsk", "Unadj.Close", "UnadjVol", "UnadjOI", "Expansion"), silent = TRUE)
if(inherits(s, "try-error"))
stop("no data...\n", call. = FALSE)
s = s[,c(1,3,4,5,6,7,8,9,10,11,12)]
s = as.data.frame(s)
sol = new("uaPerpetualSeries",
csinum = csinum,
symbol = symbol,
type = spec@spec$type,
freq = freq,
data = s)
return(sol)
}
# gann series
.futureseries3 = function(symbol, spec, start.date = -1, end.date = -1, freq = c("d", "w", "m", "q", "y"), fut.control = NULL)
{
if(!exists(".ua")) startUA()
if(is.null(fut.control)) fut.control = futcontrol()
setprop = .callfutcontrol(fut.control)
.ua[["IsStock"]] = as.integer(0)
csinum = .getCSInum(symbol)
if(csinum==-1) stop("invalid symbol", call. = FALSE)
getn = .ua$RetrieveGannContract( csinum, spec@spec$DeliveryMonthToView,
spec@spec$DayOfMonthToRoll, spec@spec$MonthsPriorToRoll,
start.date, end.date)
if(getn == -1)
stop("no data...\n", call. = FALSE)
v.freq = c("d", "w", "m", "q", "y")
freq = tolower(freq[1])
if(!any(freq == v.freq))
stop("not a valid frequency choice", call. = FALSE)
freq = switch(EXPR=freq, d = 0, w = 1, m = 2, q = 3, y = 4)
freq = as.integer(freq)
.ans = .ua$GetUAStrClipFormat()
.ans = eval(.ua$CombineDataToClipboard2(freq,","), envir=.GlobalEnv)
s = read.csv(file = "clipboard", header = FALSE, sep = ",", dec = ".")
colnames(s) = try(c("Date","DayOfWeek","DeliveryCode","Open","High","Low", "Close", "Cash", "CVolume", "COpenInt",
"TVolume", "TOpenInt", "ClosingBid", "ClosingAsk", "Unadj.Close", "UnadjVol", "UnadjOI", "Expansion"),
silent = TRUE)
if(inherits(s, "try-error"))
stop("no data...\n", call. = FALSE)
s = s[,c(1,3,4,5,6,7,8,9,10,11,12)]
s = as.data.frame(s)
sol = new("uaGannSeries",
csinum = csinum,
symbol = symbol,
type = spec@spec$type,
freq = freq,
data = s)
return(sol)
}
.futureseries4 = function(symbol, spec, start.date = -1, end.date = -1, freq = c("d", "w", "m", "q", "y"), fut.control = NULL)
{
if(!exists(".ua")) startUA()
if(is.null(fut.control)) fut.control = futcontrol()
setprop = .callfutcontrol(fut.control)
.ua[["IsStock"]] = as.integer(0)
csinum = .getCSInum(symbol)
if(csinum==-1) stop("invalid symbol", call. = FALSE)
if(spec@spec$ProportionalAdjustment){
getn = .ua$RetrieveBackAdjustedContract2(csinum, spec@spec$rollLogicType, spec@spec$rollWhen,
spec@spec$DayOfMonthToRoll, spec@spec$MonthsPriorToRoll, spec@spec$accumulationMethod,
spec@spec$rollDeltaType, spec@spec$valid.months, spec@spec$GenerateForward,
spec@spec$rollNDays, start.date, end.date, 1)
} else{
getn = .ua$RetrieveBackAdjustedContract(csinum, spec@spec$rollLogicType, spec@spec$rollWhen,
spec@spec$DayOfMonthToRoll, spec@spec$MonthsPriorToRoll, spec@spec$accumulationMethod,
spec@spec$rollDeltaType, spec@spec$valid.months, spec@spec$GenerateForward,
spec@spec$rollNDays, start.date, end.date)
}
if(getn == -1)
stop("no data...\n", call. = FALSE)
v.freq = c("d", "w", "m", "q", "y")
freq = tolower(freq[1])
if(!any(freq == v.freq))
stop("not a valid frequency choice", call. = FALSE)
freq = switch(EXPR=freq, d = 0, w = 1, m = 2, q = 3, y = 4)
freq = as.integer(freq)
.ans = .ua$GetUAStrClipFormat()
.ans = eval(.ua$CombineDataToClipboard2(freq,","), envir=.GlobalEnv)
s = read.csv(file = "clipboard", header = FALSE, sep = ",", dec = ".")
colnames(s) = try(c("Date","DayOfWeek","DeliveryCode","Open","High","Low", "Close", "Cash", "CVolume", "COpenInt",
"TVolume", "TOpenInt", "ClosingBid", "ClosingAsk", "Unadj.Close", "UnadjVol", "UnadjOI", "Expansion"),
silent = TRUE)
if(inherits(s, "try-error"))
stop("no data...\n", call. = FALSE)
s = s[,c(1,3,4,5,6,7,8,9,10,11,12)]
s = as.data.frame(s)
sol = new("uaBackAdjSeries",
csinum = csinum,
symbol = symbol,
type = spec@spec$type,
freq = freq,
data = s)
return(sol)
}
# nth nearest series
.futureseries5 = function(symbol, spec, start.date = -1, end.date = -1, freq = c("d", "w", "m", "q", "y"), fut.control = NULL)
{
if(!exists(".ua")) startUA()
if(is.null(fut.control)) fut.control = futcontrol()
setprop = .callfutcontrol(fut.control)
.ua[["IsStock"]] = as.integer(0)
csinum = .getCSInum(symbol)
if(csinum==-1) stop("invalid symbol", call. = FALSE)
getn = .ua$RetrieveNthNearestFuture( csinum, spec@spec$TargetForwardContract,
spec@spec$rollLogicType, spec@spec$rollWhen,
spec@spec$DayOfMonthToRoll, spec@spec$MonthsPriorToRoll, spec@spec$valid.months,
spec@spec$GenerateForward, spec@spec$rollNDays,
start.date, end.date)
if(getn == -1)
stop("no data...\n", call. = FALSE)
v.freq = c("d", "w", "m", "q", "y")
freq = tolower(freq[1])
if(!any(freq == v.freq))
stop("not a valid frequency choice", call. = FALSE)
freq = switch(EXPR=freq, d = 0, w = 1, m = 2, q = 3, y = 4)
freq = as.integer(freq)
.ans = .ua$GetUAStrClipFormat()
.ans = eval(.ua$CombineDataToClipboard2(freq,","), envir=.GlobalEnv)
s = read.csv(file = "clipboard", header = FALSE, sep = ",", dec = ".")
colnames(s) = try(c("Date","DayOfWeek","DeliveryCode","Open","High","Low", "Close", "Cash", "CVolume", "COpenInt",
"TVolume", "TOpenInt", "ClosingBid", "ClosingAsk", "Unadj.Close", "UnadjVol", "UnadjOI", "Expansion"),
silent = TRUE)
if(inherits(s, "try-error"))
stop("no data...\n", call. = FALSE)
s = s[,c(1,3,4,5,6,7,8,9,10,11,12)]
s = as.data.frame(s)
sol = new("uaNthNearestSeries",
csinum = csinum,
symbol = symbol,
type = spec@spec$type,
freq = freq,
data = s)
return(sol)
}
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