[R-SIG-Finance] Download and parse CME data

Brian G. Peterson brian at braverock.com
Wed Jun 17 15:11:33 CEST 2009

I believe that the best approach to this will be to create a getSymbols 
call for quantmod to minimize the amount of "infrastructure" work 
needed.  This should be just a few lines of code in a getSymbols.CME 
function.  I'm sure Jeff would include such a function in future 
releases of quantmod.

I think that the other business wrappers on when to download, and how to 
automate that download, are not really a problem for inside R, and will 
likely vary significantly from shop to shop.  If the data is retrievable 
via getSymbols, each individual or firm should be able to adapt the 
timing to their needs.  Certainly it would be easy enough to write a 
sample R batch file that would do the download that could be run via 
cron or a similar task scheduler.


  - Brian

James Long wrote:
> I have the need to download and parse daily futures and options data
> from the CME FTP server. Before I get deep into it I wanted to see if
> any of you have or have seen code that does this. Ultimately it would
> make some sense to hack together a library for this.
> -JD Long

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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