[R-SIG-Finance] Syntax - symbol problem

[Enrico Schumann]

On Wed, 01 Mar 2017, Christian Lear writes:

> Hi,
>
> I’m using Interactive Brokers (IB) data feed running through R code (R
> studio) with moving average filters on futures contracts.
>
> I have listed the contracts in an excel sheet.  The sheet has 4
> columns, contract (or ticker) i.e. “CLJ7" for April 2007 Crude Oil,
> Security Type “Future”, Exchange “NYMEX” and Use 1 or 0 to activate
> the excel line (contract) or not.
>
> My program works perfectly for Nymex energy contracts (CL, NG, RB,
> HO), Nymex metals (GC, SI, etc.), Globex mini S&P (ES).  However, the
> program stops working and has an error when running Globex Euro FX
> (6E), Japanese Yen (6J) and the other currencies.  Note that the
> currency contracts have the same syntax as the Nymex Energy, and Nymex
> metals, namely “TickerMonthYear" (6EM7, CLJ7, GCJ7 etc.)
>
> 1.  Does anyone know why the program fails to
> recognize the currency futures contracts?  Any
> suggestions?
>
> Grains are also a problem.  IB uses a different symbol structure,
> namely Ticker MONth YEar “ZS MONabbrev YEar” (ZS JUL 17).
>
> 2.  How would you solve for one code to read both the
> CL contracts and the Grains ticker, knowing that the
> symbol structure is different?  Any ideas?
>
> I can send a short code and excel sheet test list to better
> demonstrate the issue.
>
> Thanks for your help.
>
> Christian
>

1) In my experience, you need four attributes to
   reliably specify a contract: the local symbol, the
   exchange, the currency and the security type. For
   6E futures, that would mean

   symbol = 6EH7
   exchange = GLOBEX
   currency = USD
   type = FUT

2) An easy and _safe_ way is to keep a list/database of
   contracts with the four mentioned attributes, and
   then refer to this list when contract information is
   needed.


-- 
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net