Hi Garret,

Although a good solution, I would insist user to be careful with
downloading data from TradingBlox.
Any futures strategy backtesting especially on higher timeframes like daily
and above will be very sensitive to method of construction of continous
contract and if user is not aware of how such a continuos contract is
created, they may lead themselves to reaching overly optimistic conclusions
from that backtesting.

TradingBlox data while good (they source the data CSIdata as well) is a
continuous contract based on their rolling methodology and may not suite
every user.

Best Regards,
Chinmay Patil


On Sun, Dec 16, 2012 at 12:03 PM, G See <gsee000@gmail.com> wrote:

> If you just want daily data, there is a script in the parser directory
> of FinancialInstrument
> (
> http://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/FinancialInstrument/inst/parser/download.tblox.R?root=blotter
> )
> that will download free data since 1995 from tradingblox.
>
> Try this,
>
> library(FinancialInstrument)
> source(paste0("http://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/
> ",
>
>  "FinancialInstrument/inst/parser/download.tblox.R?root=blotter"))
> define_futures.tblox() # define meta data for available futures -- not
> required to get data
>
> buildHierarchy(ls_futures(), "description") # show the descriptions of
> available futures
>
> find.instrument("Eurodollar")
> getInstrument("ED")
>
> # this getSymbols.tblox method will download all data from tblox, but will
> only
> # assign the symbols you give it.
> getSymbols("ED", src='tblox')
> tail(ED)
>
> # this will download all tblox futures data and assign in your globalenv()
> get_tblox()
>
> tail(TY)
> head(CL)
>
> HTH,
> Garrett
>
> On Sat, Dec 15, 2012 at 9:39 PM, Robert A'gata <rhelpacc@gmail.com> wrote:
> > Eurodollar, treasury, S&P500 e-mini, crude oil, natural gas,
> > agricultural
>
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