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
>
>
>

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