IKTrading (version 1.0)

quandClean: Quandl Futures Data Cleaning

Description

Constructs a continuous futures time series from front and back month contracts from Quandl's database.

Usage

quandClean(stemCode, start_date = NULL, end_date = NULL,
    verbose = FALSE, ...)

Arguments

stemCode

the characters for the corresponding futures series. Usually in the form of CHRIS/EXCHANGE_SYMBOL, such as CHRIS/CME_CL for light, sweet crude oil, and CHRIS/CME_GC for gold.

start_date

a character string date in the form of yyyy-mm-dd such as 2000-01-01

end_date

a character string date identical to the above

verbose

an argument that displays how many NA and spike days were removed, then prints the removed dates

Value

an OHLCVI time series of daily data