Thanks Whit. I have a look at it when it's available.
Regards,

-Mark-

2009/7/31 Whit Armstrong <armstrong.whit@gmail.com>

> if you have high quality data (i.e. no missing vol and oi data), then
> the problem isn't difficult.
>
> I'm not sure what the case is with IB, but quite a few futures data
> providers have very spotty data then you have to write a lot of code
> to deal with the bad data.
>
> typical problems that I've seen from our data provider are:
> 1) future contracts that do not overlap in time
> 2) OI data that is missing for some or all contracts
> 3) OI data that is represented as the total OI for all contracts (but
> appended to each contract)
> 4) contracts that were trading but not the active contract that have
> data on holidays (but the active contract doesn't have this date).
> This is a problem b/c to create the scratch space for the continuous
> series the easiest way to calc the total rows is
> unique(unlist(lapply(x,dates))), so you wind up with extra dates b/c
> of the bad data.
>
> I have a package for this that's not quite complete.  I'll post it to
> github shortly.
>
> -Whit
>
>
> On Fri, Jul 31, 2009 at 7:45 AM, Mark Breman<breman.mark@gmail.com> wrote:
> > Hi Brian,
> > Yes I think you are right; the roll strategy can differ for different
> types
> > of continuous contracts.
> >
> > I think that Ideally you would have a function/package that:
> >
> > 1) allows the creation of the continuous series to be based on a
> specified
> > roll strategy
> > 2) it should be data-source independant (thus expiration dates should
> also
> > be specified)
> >
> > The problem I face is that my current data provider (IB) does not offer
> > continuous contracts...
> >
> > Regards,
> >
> > -Mark-
> >
> >
> > 2009/7/31 Brian G. Peterson <brian@braverock.com>
> >
> >> Mark Breman wrote:
> >>
> >>> Hi,
> >>> I have been looking for existing R code to create a continuous futures
> >>> series from individual futures contract series, but have not found
> >>> anything
> >>> (yet).
> >>>
> >>> Is there really nothing out there?
> >>>
> >>> Kind regards,
> >>>
> >>>
> >> Mark,
> >>
> >> I think the biggest issue is that the roll can happen on any number of
> >> different criteria.  Volume Cross, Midpoint Roll, Date (expiration-n)
> Roll,
> >> some other method, etc.  Also, any data provider that you're already
> paying
> >> for data (Bloomberg, Reuters, CQG, QAI, etc.) will already have one or
> more
> >> continuous series methods available, making the potential R code even
> less
> >> useful, and probably specific to one data provider.
> >> Another problem would be instrument/contract descriptors through time,
> >> though this seems minor, R does not yet have an instrument model for
> >> reference data, though we're working on that.
> >>
> >> Can you be a little more explicit about what you are trying to do?  data
> >> source/provider, roll method, etc?
> >>
> >> Regards,
> >>
> >>   - Brian
> >>
> >> --
> >> Brian G. Peterson
> >> http://braverock.com/brian/
> >> Ph: 773-459-4973
> >> IM: bgpbraverock
> >>
> >>
> >>
> >
> >        [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > R-SIG-Finance@stat.math.ethz.ch mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only.
> > -- If you want to post, subscribe first.
> >
>

	[[alternative HTML version deleted]]

