[R-SIG-Finance] quantmod for futures
jeffrey.ryan at lemnica.com
Tue Jan 11 16:30:50 CET 2011
getSymbols needs a backend for the data you are getting, the ones
shipped in quantmod are just examples of what you can do (though
useful in their own right)
Futures data, as well as other EOD style data, can also be had from
CSI: http://www.csidata.com/ or EODdata: http://www.eoddata.com/
They seem reasonably clean and very reasonably priced. Both are
simple .csv files, and I think both have APIs available depending on
your subscription. I've subscribed to the latter, not the former.
CSI even has a package on R-forge that could be of use, though haven't
On Tue, Jan 11, 2011 at 9:13 AM, Shane Conway <shane.conway at gmail.com> wrote:
> Just to note:
> The schwartz97 package, for the Schwartz 1997 two-factor commodity model,
> contains some commodities futures data for those wanting to use it:
> http://cran.r-project.org/web/packages/schwartz97/. It also includes
> vingettes that are worth reading.
> Loading required package: FKF
> Loading required package: mvtnorm
>  "corn" "wheat" "soybean" "soybean.meal"
> "soybean.oil" "lumber" "live.cattle" "coffee" "heating.oil"
>> futuresplot(futures$lumber, type = "forward.curve")
> On Tue, Jan 11, 2011 at 9:30 AM, Mark Knecht <markknecht at gmail.com> wrote:
>> On Tue, Jan 11, 2011 at 5:17 AM, Brian G. Peterson <brian at braverock.com>
>> > On 01/10/2011 05:46 PM, Mark Knecht wrote:
>> >> On Sun, Jan 9, 2011 at 12:33 PM, Brian G. Peterson<brian at braverock.com>
>> >> wrote:
>> >>> On Sunday, January 09, 2011 02:03:49 pm Edgar Vega wrote:
>> >>>> getSymbols("ZC ",src="cmegroup")
>> >>>> I am trying to get futures symbols from cme.
>> >>> I'm not aware of a getSymbols.cmegroup function for source 'cmegroup'.
>> >>> Did you write one?
>> >>> - Brian
>> >> Do any of the current methods support the lookup of futures symbols
>> >> like the Emini?
>> > The CME Group, like most exchanges, charges for their data.
>> > http://www.cmegroup.com/market-data/datamine-historical-data/
>> > We get historical futures data from Reuters or CQG, but many other
>> > are available. As Mark Breman has pointed out, none of them, to the best
>> > my knowledge, are free. The exception may be your broker. Brokers that
>> > cater to individual traders will often provide some historical data.
>> > Regards,
>> > - Brian
>> Thanks for the info Brian. I have access to historical and real-time
>> futures data through TradeStation. It's just a little more work to get
>> it into R. (export/import) I just wanted to make sure I wasn't
>> missing something free and easier to do.
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jeffrey.ryan at lemnica.com
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