RTL (version 1.3.2)

chart_spreads: Futures contract spreads comparison across years

Description

Plots specific contract pairs across years with time being days from expiry.

Usage

chart_spreads(
  cpairs = cpairs,
  daysFromExpiry = 200,
  from = "2012-01-01",
  conversion = c(1, 1),
  feed = "CME_NymexFutures_EOD",
  iuser = "[e-mail]",
  ipassword = "pass",
  title = "March/April ULSD Nymex Spreads",
  yaxis = "$ per bbl",
  output = "chart"
)

Value

A plotly object or a dataframe

Arguments

cpairs

Tibble of contract pairs - see example for expiry when not expired yet.

daysFromExpiry

Number of days (numeric) from expiry to compute spreads.

from

From date as character string

conversion

Defaults to c(1,1) first and second contracts. 42 from $ per gallons to bbls.

feed

Morningstar Feed Table.

iuser

Morningstar user name as character - sourced locally in examples.

ipassword

Morningstar user password as character - sourced locally in examples.

title

Title for chart.

yaxis

y-axis label.

output

"chart" for plotly object or "data" for dataframe.

Author

Philippe Cote

Examples

if (FALSE) {
cpairs <- dplyr::tibble(
 year = c("2018", "2019", "2020","2021","2022","2023"),
 first = c("@HO8H", "@HO9H", "@HO0H","@HO21H","@HO22H","@HO23H"),
 second = c("@CL8H", "@CL9H", "@CL0H","@CL21H","@CL22H","@CL23H"),
 expiry = c(NA,NA,NA,NA,NA,"2023-02-23")
)
chart_spreads(
  cpairs = cpairs, daysFromExpiry = 200, from = "2012-01-01",
  conversion = c(42, 1), feed = "CME_NymexFutures_EOD",
  iuser = "[e-mail]", ipassword = "pass",
  title = "March/April ULSD Nymex Spreads",
  yaxis = "$ per bbl",
  output = "data"
)
}