[R-SIG-Finance] rbind and duplicates in monthly futures

Peter Neumaier peter.neumaier at gmail.com
Mon Apr 4 14:24:26 CEST 2016

Hi all, I am trying to rbind monthly futures to a continuous time series to
be run through an algo strategy. The problem here is that data is
overlapping, i.e. my Feb contract trades for 6 weeks and when I rbind with
my March data I get an overlap for last two weeks of Jan.

How can I create a time series that is continuous, not overlapping and
useable in quantstrat (i.e. XTS format)? I am not posting any code as it
would be really one single rbind statement.


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