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

Peter Neumaier peter.neumaier at gmail.com
Tue Apr 5 22:06:58 CEST 2016

Hi all, in the interim I've managed to import the halfhourly data, cast to
a matrix, then rbind the two months
and convert to XTS for later use by my algo strategy.

I am wondering how the data overlap will be treated by the quantstrat
framework and how
it might be impacting the calculations (i.e. P&L during overlaps).

Below the files and the code I am using:

APR <-
MAY <-

APR_MAY <- as.xts(rbind(APR,MAY))




On Mon, Apr 4, 2016 at 2:30 PM, Joshua Ulrich <josh.m.ulrich at gmail.com>

> 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

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