Purpose

• Purposely designed functions for trading, trading analytics and risk practitioners in Commodities and Finance.
• Build to support delivery of Finance classes from one of the co-authors of RTL at the Alberta School of Business.

Features

• Historical forward curves charting.
• Calendars and expiry dates data objects for a wide range of commodity futures contracts.
• rolladjust() to adjust continuous contracts returns for roll adjustments using expiries above.
• chart_zscore() supports seasonality adjusted analysis of residuals, particularly useful when dealing with commodity stocks and/or days demand time series with trends as well as non-constant variance across seasonal periods.
• chart_eia_steo() and chart_eia_sd() return either a chart or dataframe of supply demand balances from the EIA.
• chart_spreads() to generate specific contract spreads across years e.g. ULSD March/April. Requires Morninstar credentials.
• swapInfo() returns all information required to price first line futures contract averaging swap or CMA physical trade, including a current month instrument with prior settlements.
• ...
• ... Check the functions index and send feedback to pcote@ualberta.ca. We welcome feedback, suggestions and collaborators.

APIs

Genscape

Gensccape API functions:

• getGenscapeStorageOil().
• getGenscapePipeOil().

Morningstar Commodities

Morningstar Marketplace API functions:

• getPrice(), getPrices() and getCurve() using your own Morningstar credentials. Current feeds included:

  • ICE_EuroFutures and ICE_EuroFutures_continuous.
  • CME_NymexFutures_EOD and CME_NymexFutures_EOD_continuous.
  • CME_NymexOptions_EOD.
  • CME_CbotFuturesEOD and CME_CbotFuturesEOD_continuous.
  • CME_Comex_FuturesSettlement_EOD and CME_Comex_FuturesSettlement_EOD_continuous.
  • LME_AskBidPrices_Delayed.
  • CME_CmeFutures_EOD and CME_CmeFutures_EOD_continuous.
  • CME_STLCPC_Futures.
  • ICE_NybotCoffeeSugarCocoaFutures and ICE_NybotCoffeeSugarCocoaFutures_continuous.
  • Morningstar_FX_Forwards.
  • ... see ?getPrice for up to date selection and examples.

Data Sets

Accessible via data(<datsetname>)

Energy Markets Reference Data

• expiry_table: Historical and forward futures contract metadata.

• holidaysOil: Holiday calendars for ICE and NYMEX.

• tickers_eia: Mapping of EIA tickers to crude and refined products markets for building supply demand balances.

• eiaStorageCap: EIA crude storage capacity by PADD.

• eiaStocks: Sample data set of EIA.gov stocks for key commodiities.

• cancrudeassays contains historical Canadian crude assays by batch from Crudemonitor. cancrudeassayssum is a summarised average assays version.

• crudeassaysXOM for all publicly available complete assays in Excel format from ExxonMobil

• crudeassaysBP for all publicly available complete assays in Excel format from BP

GIS Dataset

EIA

• crudepipelines <- getGIS(url = "https://www.eia.gov/maps/map_data/CrudeOil_Pipelines_US_EIA.zip")
• refineries <- getGIS(url = "https://www.eia.gov/maps/map_data/Petroleum_Refineries_US_EIA.zip")
• productspipelines <- getGIS(url = "https://www.eia.gov/maps/map_data/PetroleumProduct_Pipelines_US_EIA.zip")
• productsterminals <- getGIS(url = "https://www.eia.gov/maps/map_data/PetroleumProduct_Terminals_US_EIA.zip")
• ngpipelines <- getGIS(url = "https://www.eia.gov/maps/map_data/NaturalGas_InterIntrastate_Pipelines_US_EIA.zip")
• ngstorage <- getGIS(url = "https://www.eia.gov/maps/map_data/PetroleumProduct_Terminals_US_EIA.zip")
• nghubs <- getGIS(url = "https://www.eia.gov/maps/map_data/NaturalGas_TradingHubs_US_EIA.zip")
• lngterminals <- getGIS(url = "https://www.eia.gov/maps/map_data/Lng_ImportExportTerminals_US_EIA.zip")

Alberta Oil Sands, Petroleum and Natural Gas

• AB <- getGIS(url = "https://gis.energy.gov.ab.ca/GeoviewData/OS_Agreements_Shape.zip")

Interest Rates

• usSwapIRDef: Data frame of definitions for instruments to build a curve for use with RQuantlib. Use getIRswapCurve() to extract the latest data from FRED and Morningstar.
• usSwapIR: Sample data set output of getIRswapCurve.
• usSwapCurves: Sample data set output of RQuantlib::DiscountCurve().

Python

A python version of RTL for most functions is available at https://pypi.org/project/risktools/.

Installation

Latest Package devtools::install_github("risktoollib/RTL")

CRAN Stable install.packages("RTL")

Credentials

Usernames and password for API services are required.