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

[Whit Armstrong]

the roll code will eventually be moved to c++.

for now it just implements one roll policy, which is keep the current
contract active until expiration.

http://github.com/armstrtw/RCommodity/tree/master

-Whit


On Fri, Jul 31, 2009 at 9:09 AM, Mark Breman<breman.mark at gmail.com> wrote:
> Thanks Whit. I have a look at it when it's available.
> Regards,
> -Mark-
>
> 2009/7/31 Whit Armstrong <armstrong.whit at gmail.com>
>>
>> if you have high quality data (i.e. no missing vol and oi data), then
>> the problem isn't difficult.
>>
>> I'm not sure what the case is with IB, but quite a few futures data
>> providers have very spotty data then you have to write a lot of code
>> to deal with the bad data.
>>
>> typical problems that I've seen from our data provider are:
>> 1) future contracts that do not overlap in time
>> 2) OI data that is missing for some or all contracts
>> 3) OI data that is represented as the total OI for all contracts (but
>> appended to each contract)
>> 4) contracts that were trading but not the active contract that have
>> data on holidays (but the active contract doesn't have this date).
>> This is a problem b/c to create the scratch space for the continuous
>> series the easiest way to calc the total rows is
>> unique(unlist(lapply(x,dates))), so you wind up with extra dates b/c
>> of the bad data.
>>
>> I have a package for this that's not quite complete.  I'll post it to
>> github shortly.
>>
>> -Whit
>>
>>
>> On Fri, Jul 31, 2009 at 7:45 AM, Mark Breman<breman.mark at gmail.com> wrote:
>> > Hi Brian,
>> > Yes I think you are right; the roll strategy can differ for different
>> > types
>> > of continuous contracts.
>> >
>> > I think that Ideally you would have a function/package that:
>> >
>> > 1) allows the creation of the continuous series to be based on a
>> > specified
>> > roll strategy
>> > 2) it should be data-source independant (thus expiration dates should
>> > also
>> > be specified)
>> >
>> > The problem I face is that my current data provider (IB) does not offer
>> > continuous contracts...
>> >
>> > Regards,
>> >
>> > -Mark-
>> >
>> >
>> > 2009/7/31 Brian G. Peterson <brian at braverock.com>
>> >
>> >> 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,
>> >>>
>> >>>
>> >> Mark,
>> >>
>> >> 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 provider.
>> >> 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?
>> >>
>> >> Regards,
>> >>
>> >>   - Brian
>> >>
>> >> --
>> >> Brian G. Peterson
>> >> http://braverock.com/brian/
>> >> Ph: 773-459-4973
>> >> IM: bgpbraverock
>> >>
>> >>
>> >>
>> >
>> >        [[alternative HTML version deleted]]
>> >
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