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I am trying to create a continuous daily futures contract time series. I've already calculated the log returns for this series and want to create an artificial price series starting with the most recent price (the one with the...

Hello, I keep on having the same problem over and over again and couldn't find a satisfying solution yet. I have some missing datapoints in my financial time series and am replacing them currently in the following way: for...

Hello, I am playing around with blotter and am trying to set up several futures contracts. So assume I've got data for the crude oil future CL. I want to set up futures for the June 09 and July...

The quantmod package might be a good start.? http://cran.r-project.org/web/packages/quantmod/index.html Regards, ? Wolfgang Wu ----- Urspr?ngliche Message ----- Von: Yves S. Garret <yoursurrogategod at gmail.com> An: r-help at r-project.org Cc...

I have updated to version 0.7-4. Unfortunately I can't remember what my previous version was, but I think it was something like 0.6-x. Now when I run this example I get a different result to...

I am getting confused in how to use R effectively. Below is the example that I would like to optimize, which is basically a loop. In its current version it takes about 20 seconds to run. I have looked at...

Consider the following example. Initialise portfolio on day 1 with 100 USD, buy stock ABC on day 2 at a price of 100, sell stock ABC on day 3 at a price of 100. Now the End.Eq in getAccount...

I am having the following problem. I want to calculate the maximum of each row in a matrix. If I pass in the matrix split up by each column then this is no problem and works great. However I don...

I am trying to solve the following problem using the mmap package: ? 1.)?Store some data as a memory mapped file that resides on the disk.? 2.) Open the data and add some new data (or change it) to that...

I think something like this might do what you want: library(xts) library(quantmod) EURGBP <- xts(get(getFX('EUR/GBP', from = Sys.Date() - 499, to = Sys.Date()))); for (iDate in seq(500, 2000, by=500)){ EURGBP <- rbind.xts(EURGBP, get...

Hello everyone, I am currently storing my price data for fast access as a mmap file on disk. This works great and is super fast. All data is in one big file which I subset to get the data I...

Ok. Here is another log of me trying to get through the demo. It seems like the first warnings are just there because the rm function can't find the objects. I then get another warning when trying to do...

Hello, I am trying to construct a continous price series of future contracts. This is all working well apart from one bit in my code. After spending hours of debugging I still can't find the source of the problem...

I am trying to reproduce the longtrend example in the current blotter package. > require('blotter') Loading required package: blotter Loading required package: FinancialInstrument > demo('longtrend') The demo breaks after the for loop with the error: object 'ConMult' not found. Is...

Thanks Brian, I do get the following warnings but my knowledge of R is unfortunately reaching its limit to evaluate if they are relevant or not. [1] "1998-10-30 GSPC 91 @ 1098.67" Error: object 'ConMult' not found In...

Is there an example of how to use blotter for multiple currencies. Imagine a portfolio of two stocks. One is denominated in USD the other in EUR. I buy them both at time t. At time t+1 I want...

A small addition to the addTxn function. So far you need to specify the contracts that you are using in a Portfolio object before doing any transaction. This might not be known in advance. Therefore I've added a more...

Hmmm works fine for me. xts(1, order.by = strptime("04/05/87 2:00",format="%m/%d/%y %H:%M")) [,1] 1987-04-05 02:00:00 ? ?1 Maybe an old version of xts? I am using xts version...