[R-SIG-Finance] QUANTMOD package: retrieving the rolling front month price when using the "getSymbols" function

[Joshua Ulrich]

On Sun, Aug 4, 2013 at 11:48 AM, Ryan Christopher <ryanc023 at gmail.com> wrote:
> Hello,
>
> I'm working on a project that requires me to retrieve the prices of NYMEX
> WTI oil futures over a 5-year period of time.  I'm interested in retrieving
> the rolling 'front month' price, rather than a particular contract
> expiration.
>
> I'm using the "getSymbols" function in the Quantmod package to retrieve the
> data from Yahoo.
>
No you're not, because Yahoo doesn't provide historical data for NYMEX
crude oil futures.

Go to the page for the symbol you want and you'll see there is no
"Historical Data" link:
http://finance.yahoo.com/q?s=CLU13.NYM

> At this point, I can't even seem to retrieve My code is:
>
> ************************************************************
> initDate <- "2008-07-31"
> endDate <- "2013-07-31"
> symbols <- c("CLU13.NYM")
> getSymbols(symbols, src="yahoo",from=initDate, to=endDate,
> index.class=c("POSIXt","POSIXct"))
>
> Which returns this error message:
>
> Error in download.file(paste(yahoo.URL, "s=", Symbols.name, "&a=", from.m,
>  :
>   cannot open URL '
> http://chart.yahoo.com/table.csv?s=CLU13.NYM&a=6&b=31&c=2009&d=6&e=19&f=2013&g=d&q=q&y=0&z=CLU13.NYM&x=.csv
> '
> In addition: Warning message:
> In download.file(paste(yahoo.URL, "s=", Symbols.name, "&a=", from.m,  :
>   cannot open: HTTP status was '404 Not Found'
> ************************************************************
>
> Does anyone know if it's possible to retrieve the rolling front month price
> (instead of a particular contract expiration)?
>
Google knows.  The first page of results from searching "wti futures
historical prices" has many candidates.  One is the Open Financial
Data Project, which is available via Quandl:
http://www.quandl.com/OFDP-Open-Financial-Data-Project/FUTURE_CL1-NYMEX-Crude-Oil-Futures-Continuous-Contract-1-CL1-Front-Month

> Thanks,
> Ryan
>

Best,
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com