| build_spread_symbols {FinancialInstrument} | R Documentation |
build symbols for exchange guaranteed (calendar) spreads
Description
The columns needed by this version of the function are primary_id,
month_cycle, and code contracts_ahead.
Usage
build_spread_symbols(data = NULL, file = NULL, outputfile = NULL,
start_date = Sys.Date())
Arguments
data |
data.frame containing at least columns |
file |
if not NULL, will read input data from the file named by this argument, in the same folrmat as |
outputfile |
if not NULL, will write out put to this file as a CSV |
start_date |
date to start building from, of type |
Details
primary_id should match the primary_id
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.
If type is also specified, it should be a specific instrument type,
e.g. 'future_series','option_series','guaranteed_spread' or 'calendar_spread'
One of data or file must be populated for input data.
Author(s)
Ilya Kipnis <Ilya.Kipnis<at>gmail.com>
See Also
load.instruments
build_series_symbols