String describing the unique ID for the instrument. May be
a vector for future_series and option_series
root_id
String product code or underlying_id, usually something like
'ES' or 'CL' for futures, or the underlying stock symbol (maybe preceded
with a dot) for equity options.
suffix_id
String suffix that should be associated with the series,
usually something like 'Z9' or 'Mar10' denoting expiration and year.
first_traded
String coercible to Date for first trading day.
expires
String coercible to Date for expiration date
identifiers
Named list of any other identifiers that should also be
stored for this instrument.
assign_i
TRUE/FALSE. Should the instrument be assigned in the
.instrument environment?
overwrite
TRUE/FALSE. If FALSE, only first_traded and
expires will be updated.
...
any other passthru parameters
callput
Right of option; call or put
strike
Strike price of option
maturity
String coercible to Date for maturity date of bond series.
payment_schedule
Not currently being implemented
Details
The root instrument (e.g. the future or option) must be
defined first.
In custom parameters for these series contracts, we have often found it
useful to store attributes such as local roll-on and roll-off dates
(rolling not on the first_listed or expires.
For future_series and option_series you may either provide a
primary_id (or vector of primary_ids),
OR both a root_id and suffix_id.
Note that the code for bond and bond_series has not been
updated recently and may not support all the features supported for
option_series and future_series. Patches welcome.
Examples
## Not run:
currency("USD")
future("ES","USD",multiplier=50, tick_size=0.25)
future_series('ES_U1')
future_series(root_id='ES',suffix_id='Z11')
stock('SPY','USD')
option('.SPY','USD',multiplier=100,underlying_id='SPY')
#can use either .SPY or SPY for the root_id.
#it will find the one that is option specs.
option_series('SPY_110917C125', expires='2011-09-16')
option_series(root_id='SPY',suffix_id='111022P125')
option_series(root_id='.SPY',suffix_id='111119C130')
#multiple series instruments at once.
future_series(c("ES_H12","ES_M12"))
option_series(c("SPY_110917C115","SPY_110917P115"))
## End(Not run)