[R-SIG-Finance] Continuous futures series with R

Brian G. Peterson brian at braverock.com
Fri Jul 31 12:36:58 CEST 2009

Mark Breman wrote:
> Hi,
> I have been looking for existing R code to create a continuous futures
> series from individual futures contract series, but have not found anything
> (yet).
> Is there really nothing out there?
> Kind regards,

I think the biggest issue is that the roll can happen on any number of 
different criteria.  Volume Cross, Midpoint Roll, Date (expiration-n) 
Roll, some other method, etc.  Also, any data provider that you're 
already paying for data (Bloomberg, Reuters, CQG, QAI, etc.) will 
already have one or more continuous series methods available, making the 
potential R code even less useful, and probably specific to one data 

Another problem would be instrument/contract descriptors through time, 
though this seems minor, R does not yet have an instrument model for 
reference data, though we're working on that.

Can you be a little more explicit about what you are trying to do?  data 
source/provider, roll method, etc?


    - Brian

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

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