[Blotter-commits] r720 - pkg/FinancialInstrument/sandbox

[noreply at r-forge.r-project.org]

Author: braverock
Date: 2011-08-08 22:53:03 +0200 (Mon, 08 Aug 2011)
New Revision: 720

Added:
   pkg/FinancialInstrument/sandbox/continuousSeries.R
Log:
- generalized continuous series creator prototype contributed by Ilya Kipnis <ilya<dot>kipnis<at>gmail<dot>com>

Added: pkg/FinancialInstrument/sandbox/continuousSeries.R
===================================================================
--- pkg/FinancialInstrument/sandbox/continuousSeries.R	                        (rev 0)
+++ pkg/FinancialInstrument/sandbox/continuousSeries.R	2011-08-08 20:53:03 UTC (rev 720)
@@ -0,0 +1,114 @@
+
+
+#' continuous series 
+#' @param data 
+#' @param file 
+#' @param dirPath 
+#' @param extension 
+#' @param separator 
+#' @param outputFile 
+#' @param rollMethod 
+#' @param bindMethod 
+#' @author Ilya Kipnis <ilya<dot>kipnis<at>gmail<dot>com>
+#' @export
+continuousSeries<-function(data=NULL,file=NULL,dirPath=NULL,extension=".csv",separator=",",outputFile=NULL,rollMethod="OICross",bindMethod="splooth"){
+
+    if(!is.null(data)) {     #works differently depending on input
+    	Data<-data
+    } else if(!is.null(file)) {
+    	Data<-read.csv(file,header=TRUE,stringsAsFactors=FALSE,sep=separator)
+    } else if(!is.null(dirPath) & !is.null(extension)){ #needs an extension of your filetype, defaults to csv, but can also be ".txt" or whatever else you have read into R before.
+        setwd(dirPath)                                  #not sure if xls works--if you're working with spreadsheets, I recommend saving your files to csv types.
+        directory<-list.files(getwd(),pattern=extension)
+        Data<-NULL
+        for(i in 1:length(directory)){
+         workingFile<-read.table(directory[i],header=TRUE,stringsAsFactors=FALSE,sep=separator)
+         Data<-rbind(Data,workingFile)
+        }
+    } else {
+    		stop("you must either pass a data.frame as the 'data' parameter, the 'file' parameter, or the directory with its extension")
+    }
+    
+    #Data<-read.csv("CLseries2011.csv",stringsAsFactors=FALSE,header=TRUE)
+    #Data<-Data[-which(Data$Qualifiers=="No Trades"),]
+    Data<-Data[which(Data$Open.Interest>0),] #don't need the No Trades since these filters takes care of it
+    Data<-Data[which(Data$Volume>0),]
+    
+    completeFrame<-NULL
+    Data<-split(Data,Data$X.RIC)
+    for(i in 1:(length(Data)-1)){
+     #print(i)
+     monthOne<-Data[[i]]
+     monthTwo<-Data[[i+1]]
+     monthOne<-monthOne[which(monthOne$Date.L.%in%monthTwo$Date.L.),]    #grab month i and the next month, get their common dates
+     monthTwo<-monthTwo[which(monthTwo$Date.L.%in%monthOne$Date.L.),]
+     monthOne$trailMonthLast<-monthTwo$Last
+    
+     if(rollMethod=="OICross"){
+      rollVec<-which(monthTwo$Open.Interest>monthOne$Open.Interest)   #set the roll day to be the desired cross which occurs no earlier than 10 days before expiry
+      rollVec<-rollVec[which(rollVec>=(nrow(monthOne)-10))]
+      rollDay<-rollVec[1]
+     } else if(rollMethod=="VCross"){
+      rollVec<-which(monthTwo$Volume>monthOne$Volume)
+      rollVec<-rollVec[which(rollVec>=(nrow(monthOne)-10))]
+      rollDay<-rollVec[1]
+     } else {
+      rollDay<-(nrow(monthOne)-5)   #or if the roll date isn't specified by a certain metric cross, just have it be 5 days before expiry
+     }
+     
+     if(is.na(rollDay)){        #if a cross method is chosen and the cross hasn't occured yet, set it to be the last day of the series
+      rollDay<-(nrow(monthOne))
+     }
+     
+     monthOne<-monthOne[1:rollDay,]
+     
+     if(i>1){
+       removeDates<-which(monthOne[,which(substr(colnames(monthOne),1,4)=="Date")] %in% completeFrame[,which(substr(colnames(monthOne),1,4)=="Date")])  #remove days that have already been accounted for earlier
+       monthOne<-monthOne[-(removeDates[1]:removeDates[length(removeDates)]),]
+     }
+    
+    if(nrow(monthOne)>0){    #make sure that there's data left to bind or do calculations on
+        if(bindMethod=="splooth"){
+          closeGap<-monthOne$trailMonthLast[nrow(monthOne)]-monthOne$Last[nrow(monthOne)]   #splooth a bunch of things for the closeGap (difference in close prices on roll day between front month and next month)
+          #print(closeGap)
+          monthOne$Adj.Open<-monthOne$Open+closeGap
+          monthOne$Adj.High<-monthOne$High+closeGap
+          monthOne$Adj.Low<-monthOne$Low+closeGap
+          monthOne$Adj.Last<-monthOne$Last+closeGap
+          monthOne$Adj.Settle<-monthOne$Settle+closeGap
+          monthOne$Adj.trailMonthLast<-monthOne$trailMonthLast
+          completeFrame$Adj.Open<-completeFrame$Open+closeGap
+          completeFrame$Adj.High<-completeFrame$High+closeGap
+          completeFrame$Adj.Low<-completeFrame$Low+closeGap
+          completeFrame$Adj.Last<-completeFrame$Last+closeGap
+          completeFrame$Adj.Settle<-completeFrame$Settle+closeGap
+          completeFrame$Adj.trailMonthLast<-completeFrame$trailMonthLast+closeGap
+          completeFrame<-rbind(completeFrame,monthOne)
+        } else {
+          completeFrame<-rbind(completeFrame,monthOne)
+        }
+      }
+     
+    }
+     
+ 	if(!is.null(outputFile)){
+		write.csv(completeFrame,outputFile) #This is where I write my output.
+	} else {
+		return(completeFrame)
+	}
+ 
+}
+
+###############################################################################
+# R (http://r-project.org/) Instrument Class Model
+#
+# Copyright (c) 2009-2011
+# Peter Carl, Dirk Eddelbuettel, Jeffrey Ryan, Joshua Ulrich and Brian G. Peterson
+#
+# This library is distributed under the terms of the GNU Public License (GPL)
+# for full details see the file COPYING
+#
+# $Id$
+#
+###############################################################################
+


Property changes on: pkg/FinancialInstrument/sandbox/continuousSeries.R
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Added: svn:keywords
   + Revision Id Date Author