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

[Wolfgang Wu]

Understood.  

But in order to mark the book at some point you will need historical data of the contracts. How is the link from the contract specifications, using the future() and future_series() functions to the actual 
historical data. What would be the equivalent to the example of a stock like this:

#Defined the stock as financial instrument
stock("GSPC",currency="USD",multiplier=1) 
#Get the historical data for variable with name "GSPC"
getSymbols('^GSPC', src='yahoo', index.class=c("POSIXt","POSIXct"),from='1998-01-01') 

Assuming I have the time series for CLM9 and CLN9 in an xts format

CLM9
            Open  High   Low Close Volume OpenInterest
2009-03-23 54.28 55.92 53.57 55.73  78959       187205
2009-03-24 55.50 55.70 54.38 55.63  75464       190182
2009-03-25 55.35 55.58 53.50 54.19 119624       198422
...
2009-05-19 59.16 60.48 58.55 59.65  40957         1838

and

CLN9
            Open  High   Low Close Volume OpenInterest
2009-04-22 50.95 51.14 49.72 50.70  95249       178023
2009-04-23 50.38 51.38 50.09 51.07  90781       181605
2009-04-24 51.13 53.09 50.40 52.94  70061       187690
...
2009-06-22 69.89 69.89 66.25 66.93  32070         4299

Regards,


 Wolfgang Wu



----- Ursprüngliche Mail ----
Von: Brian G. Peterson <brian at braverock.com>
An: Wolfgang Wu <wobwu22 at yahoo.de>
CC: R SIG Finance <R-SIG-Finance at stat.math.ethz.ch>
Gesendet: Donnerstag, den 29. April 2010, 0:28:48 Uhr
Betreff: Re: [R-SIG-Finance] Blotter - Setting up a futures_series

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?

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.

Regards,

   - Brian

> Wolfgang Wu
> 
> 
> 
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