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

Brian G. Peterson brian at braverock.com
Thu Apr 29 01:28:48 CEST 2010

Wolfgang Wu wrote:
> Hello,
> 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? 

anything or nothing at all.  identifiers are for other symbols, e.g. Bloomberg, 
Reuters, etc.  In your example, I would probably not add identifiers to the 
main contract.

> 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. 

'point value' in your terminology.  It is used to get from the price to the 
notional value in the listed currency.  I'll probably add tick value to the 
model later this week.

> Thanks!!!

You're welcome.


    - Brian

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

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