[R-SIG-Finance] Quantstrat - extracting current symbol
Oskar Gottlieb
oskar.gottlieb at lenzglobal.com
Mon May 15 14:22:53 CEST 2017
Hi Brian,
thanks! Last thing, I believe I had it working prior to the weekend, but
now calling getInstrument(symbol) inside the 'add.indicator' function
results simply in error of "object 'symbol' not found".
Do I understand it correctly, that symbol can be called inside of a
function, which is then called by add.indicator()? If so, what am I doing
wrong?
My function looks as follows, its purpose is to get you flat around
expiration:
FLAT <- function(x, t = '12:00'){
expires <- as.POSIXct(paste(getInstrument(symbol)$expires, t))
df <- as.data.frame(index(x) >= expires)
colnames(df) <- 'FLAT'
FLAT <- xts(df, index(x))
return(FLAT)
}
Regards
Oskar
2017-05-12 13:35 GMT+02:00 Brian G. Peterson <brian at braverock.com>:
> You asked:
>
> > The best way to get the attribute then, would be to call
> > 'getInstrument(symbol)$newAttribute'?
>
> Yes.
>
> Here's an example:
>
> ###
>
> getInstrument('ESH8')
>
> # primary_id :"ES_H8"
> # currency :"USD"
> # multiplier :50
> # tick_size :0.25
> # identifiers :List of 2
> # ..$ X.RIC:"ESH8"
> # ..$ local:"ESH8"
> # type :"future_series" "future"
> # root_id :"ES"
> # suffix_id :"H8"
> # expires :"2018-03-16"
> # exchange :"GLOBEX"
> # underlying_id :"ES"
> # exchange_id :"ES"
> # series_description:"E-mini S&P 500 2018-03"
> # timeZoneId :"CTT"
> # tradingHours :"T15:30:00/T16:30:00" "T17:00:00/T15:15:00"
> # liquidHours :"T08:30:00/T15:15:00"
> # primary_start :"08:30:00"
> # primary_end :"15:15:00"
> # electronic_start :"15:30:00"
> # electronic_end :"16:30:00"
> # validExchanges :"GLOBEX" "MIBSX"
> # updated : POSIXct, format: "2012-02-27 15:26:53.52408"
> # contract_month :"2018-03"
>
> getInstrument('ESH8')$tick_size
> # [1] 0.25
>
> ###
>
> So the method you ask about works just fine. If you're going to be
> extracting multiple attributes, it would make sense to call
> getInstrument only once to minimize the search time (we have many
> thousands of instruments in our instrument environment) and then take
> the attributes you want out of your local copy.
>
> Regards,
>
> Brian
>
> On Fri, 2017-05-12 at 12:07 +0200, Oskar Gottlieb wrote:
> > Hi Brian,
> >
> > Thanks for the quick reply!
> > I was aware of the instrument objects, I just did not know there were
> > the instrument_attr(), instrument.table() functions. This solves the
> > need for external meta info dataframe, which is extremely convinient.
> > The best way to get the attribute then, would be to call
> > 'getInstrument(symbol)$newAttribute'?
> >
> > About add.indicator - I did a poor job explaining what I was trying
> > to achieve, but it's exactly what you're saying. I will create a new
> > indicator function, which will get some metadata from the instrument
> > and all of that will be handled inside the indicator function, there
> > is no need to pass it as a parameter to the add.indicator function.
> >
> > Thanks again!
> > Oskar
> >
> > 2017-05-12 11:16 GMT+02:00 Brian G. Peterson <brian at braverock.com>:
> >
> > > On 05/12/2017 03:58 AM, Oskar Gottlieb wrote:
> > >
> > > > I have multiple symbols (futures contracts) of one product and I
> would
> > > > like
> > > > to access a data frame with their meta information. I would then
> parse the
> > > > meta info into an add.indicator argument list. Is there a function,
> which
> > > > would return the current symbol over which we are looping?
> > > >
> > >
> > > quantstrat would expect the metadata for these symbols to be in
> > > FinancialInstrument, not in a data.frame. That is where quantstrat and
> > > blotter expect to get things like tick size, multiplier, expiration
> date,
> > > and currency for each instrument.
> > >
> > > Inside quantstrat, there will always be a 'symbol' variable which you
> > > could access to find out what symbol is currently being processed
> (unless
> > > we're in a rebalancing rule, when that doesn't apply).
> > >
> > > What I would recommend is to put all your instrument metadata in
> > > FinancialInstrument (since that is what it is for) and have your
> indicator
> > > and signal functions access that data with
> > >
> > > getInstrument(symbol)
> > >
> > > To further guess at what you're trying to do, you talk about using this
> > > list for add.indicator. I don't understand what you're trying to do
> with
> > > that statement. The strategy object is a specification of how the
> strategy
> > > will work. The indicators, signals, and rules should all work on the
> > > mktdata passed to them by the applyStrategy function (and inside that
> by
> > > applyIndicators, applySignals, applyRules). So any call to
> add.indicator
> > > should be generic for the entire strategy specification.
> > >
> > > If you wanted an indicator to do something different based on tenor or
> > > days to expiration, for example, you'd handle that inside the indicator
> > > function, not as parameters to the call to add.indicator. (probably
> after
> > > calling getInstrument to get the metadata, as described above).
> > >
> > > If this hasn't answered your question, perhaps you could follow up with
> > > something more specific including a *minimal* example.
> > >
> > > Regards,
> > >
> > > Brian
> > >
> > > --
> > > Brian G. Peterson
> > > http://braverock.com/brian/
> > > Ph: 773-459-4973
> > > IM: bgpbraverock
> > >
> > > _______________________________________________
> > > R-SIG-Finance at r-project.org mailing list
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> > > should go.
> > >
> >
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> >
> > _______________________________________________
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>
--
Oskar Gottlieb
Email: oskar.gottlieb at lenzglobal.com
Tel: +420 725 005 642
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