[R-SIG-Finance] Futures data

[G See]

Chinmay,

The trading blox data has a column called Unadjusted close.  The user
is free to use that column.  Also, it is trivial to un-adjust the
Open, High, and Low as well.  And, there is a column showing which
contract is being used for each row which makes it trivial to
re-adjust prices however you see fit, or not at all.

Garrett

On Sat, Dec 15, 2012 at 10:13 PM, Chinmay Patil <chinmay.patil at gmail.com> wrote:
> Hi Garret,
>
> Although a good solution, I would insist user to be careful with downloading
> data from TradingBlox.
> Any futures strategy backtesting especially on higher timeframes like daily
> and above will be very sensitive to method of construction of continous
> contract and if user is not aware of how such a continuos contract is
> created, they may lead themselves to reaching overly optimistic conclusions
> from that backtesting.
>
> TradingBlox data while good (they source the data CSIdata as well) is a
> continuous contract based on their rolling methodology and may not suite
> every user.
>
> Best Regards,
> Chinmay Patil
>
>
> On Sun, Dec 16, 2012 at 12:03 PM, G See <gsee000 at gmail.com> wrote:
>>
>> If you just want daily data, there is a script in the parser directory
>> of FinancialInstrument
>>
>> (http://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/FinancialInstrument/inst/parser/download.tblox.R?root=blotter)
>> that will download free data since 1995 from tradingblox.
>>
>> Try this,
>>
>> library(FinancialInstrument)
>>
>> source(paste0("http://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/",
>>
>> "FinancialInstrument/inst/parser/download.tblox.R?root=blotter"))
>> define_futures.tblox() # define meta data for available futures -- not
>> required to get data
>>
>> buildHierarchy(ls_futures(), "description") # show the descriptions of
>> available futures
>>
>> find.instrument("Eurodollar")
>> getInstrument("ED")
>>
>> # this getSymbols.tblox method will download all data from tblox, but will
>> only
>> # assign the symbols you give it.
>> getSymbols("ED", src='tblox')
>> tail(ED)
>>
>> # this will download all tblox futures data and assign in your globalenv()
>> get_tblox()
>>
>> tail(TY)
>> head(CL)
>>
>> HTH,
>> Garrett
>>
>> On Sat, Dec 15, 2012 at 9:39 PM, Robert A'gata <rhelpacc at gmail.com> wrote:
>> > Eurodollar, treasury, S&P500 e-mini, crude oil, natural gas,
>> > agricultural
>>
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>
>