front_future.IB: instrument class constructor for front futures contract

Description Usage Arguments Details Value Author(s) See Also Examples

Description

Create a future instrument for the front-month contract as well as specs for the root. Looks up contract details of a futures contract from IB and creates a futures instrument. The contract root will also be defined if it hasn't been defined yet.

Usage

1
2
3
4
5
front_future(roots, currency = "USD", exchange = NULL,
  underlying_id = NULL, addIBslot = TRUE, src = "IB")

front_future.IB(roots, currency = "USD", exchange = NULL,
  underlying_id = NULL, addIBslot = TRUE)

Arguments

roots

vector of chr strings; contract roots.

currency

name of currency; if more than one root, they all must have the same currency

exchange

optional character string name of exchange ("GLOBEX", "NYMEX", etc.)

underlying_id

name of underlying

addIBslot

should an IB slot be added to the instrument; i.e. do you want to create a twsInstrument.

src

currently only dQuoteIB is supported

Details

The contract details that IB gives are usually for the front month contract, but there is no guarantee that the contract will actually be the front contract. (perhaps default_future would be a better name for this function?)

This is not a very robust function. define_futures is probably a better alternative, but requires more user input.

If you find that front_future.IB is defining something different than what you wanted (e.g. futures on Colgate Palmolive instead of Light Sweet Crude) try providing the underlying_id

Currently, front_future is just a wrapper for front_future.IB. I.e. “IB” is the only functional value for src

using root and currency it will get the contract details of the front month future with a call to reqContractDetails. Using that info, it will create a future_series instrument, and a future instrument if it doesn't exist yet.

Value

called for side-effect. Returns the name of any instruments that were created.

Author(s)

Garrett See

See Also

define_futures, future, future_series, update_instruments.IB, Instr_From_Contr, option_series.yahoo

Examples

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
## Not run: 
front_future('YM')
front_future('ES')
front_future('SPY')

#alternatively
#front_future(c("YM","ES","SPY"))
#or,
#unlist(lapply(c("YM","ES","SPY"), front_future))

## End(Not run)

twsInstrument documentation built on May 2, 2019, 5:24 p.m.