[R-SIG-Finance] Blotter - Setting up a futures_series

Wolfgang Wu wobwu22 at yahoo.de
Wed Apr 28 17:58:47 CEST 2010


I am playing around with blotter and am trying to set up several futures contracts. So assume I've got data for the crude oil future CL. I want to set up futures for the June 09 and July 09 contract. 

What I've done is the following:

currency("USD", multiplier=1);    
future("CL", "USD", 1000, identifiers=c("CLM9", "CLN9"))
future_series("CL", "M9", "2009-03-23", "2009-05-19")
future_series("CL", "N9", "2009-04-22", "2009-06-22")

1.) How do I link the future to the future_series? I assume this is by using the primary_id, correct?
2.) What do I specify in the identifiers in the futures function? 
3.) What is the multiplier in the future mean? Is it the value for one tick or for one point? So for oil one tick is 10 USD and one point move is 1000 USD. 

Wolfgang Wu

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