All of the things you want seem fairly straightforward to implement.  Can
you describe what is meant by ratio back-adjustment of prices?

-Whit


On Mon, Mar 24, 2008 at 8:15 PM, David-Michael Lincke <dlincke@lincke.net>
wrote:

> I am aware of GFUT. Problem with that is that for many commodities it is
> not
> flexible enough as it does not allow to configure the contract cycle, and
> Bloomberg's defaults for many commodities are not sensible.
>
>  _____
>
> From: Ryan Sheftel [mailto:ryan.sheftel@malbecpartners.com]
> Sent: Monday, March 24, 2008 8:02 AM
> To: David-Michael Lincke; R-SIG-Finance@stat.math.ethz.ch
> Subject: Re: [R-SIG-Finance] R package for continuous futures contract
> construction
>
>
>
> I have built back-adjusted futures a few times and agree that you can
> seperate from the data source is the best option. If you are looking at
> this
> for personal or light use, I recommend csi data (www.csidata.com), they
> have
> very clean data and their product does every posible back adjustment.
> Obviously this is outside R, but if your setup is one-time it may be worth
> it.
>
> Also, remember that if you really trust Bloomberg (????) they have built
> in
> back-adjsuters with GFUT <GO>
>
>
>
>
> "David-Michael Lincke" <dlincke@lincke.net>
> Sent by: r-sig-finance-bounces@stat.math.ethz.ch
>
>
> 03/24/08 07:48 AM
>
>
> To
> "'Whit Armstrong'" <armstrong.whit@gmail.com>,
> <R-SIG-Finance@stat.math.ethz.ch>
>
> cc
>
> Subject
> Re: [R-SIG-Finance] R package for continuous futures contract
> construction
>
>
>
>
>
> Judging from a quick glance at the documentation LIM does not even seem to
> support ratio back-adjustment which we require as we need to maintain
> historical percentage performance relations. In addition, we need to be
> able
> to define custom contract cycles by month codes.
>
> Going forward BB will have to be used for ongoing updates. Historical
> contracts will be cross verified with Reuters and Thomson. To maintain
> feed
> independence loading contract data in as CSV as opposed to going straight
> through the API may be the way to go at least for historical data.
>
>  _____
>
> From: Whit Armstrong [mailto:armstrong.whit@gmail.com]
> Sent: Sunday, March 23, 2008 6:30 PM
> To: dave@lincke.net
> Subject: Re: [R-SIG-Finance] R package for continuous futures contract
> construction
>
>
> I wrote a better version of this when I was at Highbridge.  but in my view
> it's better to have the functions separate from the actual data source.
>
> in our setup, a commodity object was simply a list of the futures
> contracts
> in order of expiration date.  as attributes, the list had expiration
> dates,
> which we actually had LIM calculate for us.
>
> In practice, there should probably be a few different options for deciding
> roll dates like open interest crossover, volume crossover, number of days
> from expiration, etc.
>
> Are you sure you want to use BBG as your source for futures data?  They
> are
> ok as far as real time feeds go, but for long term history, the data is
> very
> questionable.
>
> -Whit
>
>
>
> On Sun, Mar 23, 2008 at 3:43 PM, <dave@lincke.net> wrote:
>
>
> Thanks a lot. I'll take a closer look. We would have to integrate this
> with
> Bloomberg as data source.
>
> David
>
>
>
>
> a rudimentary version of what you want is part of the RLim package, but it
> would be nice to release it as a separate package.
>
> svn checkout http://rlim.googlecode.com/svn/trunk/ rlim
>
>
> -Whit
>
>
>
> On Sat, Mar 22, 2008 at 6:37 PM, David-Michael Lincke <dlincke@lincke.net>
> wrote:
>
>
> Before I reinvent the wheel, I was wondering if anybody is aware of a
> preexisting R or Matlab package for the assembly of of continuous
> commodity
> futures contracts? For my purposes this would have to support construction
> of ratio-adjusted time series based on a configurable roll calendar.
>
> David
>
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