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

[Joshua Ulrich]

On Mon, Apr 4, 2016 at 7:24 AM, Peter Neumaier <peter.neumaier at gmail.com> wrote:
> 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.
>
Even though the code may be simple, you still would be more likely to
receive help if you provide a minimal reproducible example of the
issue.  In this case, the data are not simple, and most people will
not take the time to construct sample data in order to attempt to
reproduce the issue you describe.

> Thanks
> Peter
>
>         [[alternative HTML version deleted]]
>
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-- 
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com
R/Finance 2016 | www.rinfinance.com