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

[Joshua Ulrich]

On Sun, Aug 4, 2013 at 12:36 PM, Frank <frankm60606 at gmail.com> wrote:
> WTI crude prices are available, I use:
>
> getSymbols('DCOILWTICO',src='FRED')
> DCOILWTICO <- na.locf(DCOILWTICO)
> tail(DCOILWTICO)
> file_name <- "DCOILWTICO.csv"
> write.zoo(DCOILWTICO, file = file_name, append = FALSE, quote = TRUE, sep =
> ",")
> quit()
>
Those are spot prices, not the price of the front-month future, so it
doesn't answer Ryan's question.

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


> -----Original Message-----
> From: r-sig-finance-bounces at r-project.org
> [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Ryan Christopher
> Sent: Sunday, August 04, 2013 11:48 AM
> To: r-sig-finance at r-project.org
> Subject: [R-SIG-Finance] QUANTMOD package: retrieving the rolling front
> month price when using the "getSymbols" function
>
> 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.
>
> 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)?
>
> Thanks,
> Ryan
>
>         [[alternative HTML version deleted]]
>
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