Just to note: The schwartz97 package, for the Schwartz 1997 two-factor commodity model, contains some commodities futures data for those wanting to use it: http://cran.r-project.org/web/packages/schwartz97/. It also includes vingettes that are worth reading.
> library(schwartz97) Loading required package: FKF Loading required package: mvtnorm > data(futures) > names(futures) [1] "corn" "wheat" "soybean" "soybean.meal" "soybean.oil" "lumber" "live.cattle" "coffee" "heating.oil" "copper" > futuresplot(futures$lumber, type = "forward.curve") On Tue, Jan 11, 2011 at 9:30 AM, Mark Knecht <[email protected]> wrote: > On Tue, Jan 11, 2011 at 5:17 AM, Brian G. Peterson <[email protected]> > wrote: > > On 01/10/2011 05:46 PM, Mark Knecht wrote: > >> > >> On Sun, Jan 9, 2011 at 12:33 PM, Brian G. Peterson<[email protected]> > >> wrote: > >>> > >>> On Sunday, January 09, 2011 02:03:49 pm Edgar Vega wrote: > >>>> > >>>> getSymbols("ZC ",src="cmegroup") > >>>> I am trying to get futures symbols from cme. > >>> > >>> I'm not aware of a getSymbols.cmegroup function for source 'cmegroup'. > >>> > >>> Did you write one? > >>> > >>> - Brian > >> > >> Do any of the current methods support the lookup of futures symbols > >> like the Emini? > > > > The CME Group, like most exchanges, charges for their data. > > > > http://www.cmegroup.com/market-data/datamine-historical-data/ > > > > We get historical futures data from Reuters or CQG, but many other > sources > > are available. As Mark Breman has pointed out, none of them, to the best > of > > my knowledge, are free. The exception may be your broker. Brokers that > > cater to individual traders will often provide some historical data. > > > > Regards, > > > > - Brian > > Thanks for the info Brian. I have access to historical and real-time > futures data through TradeStation. It's just a little more work to get > it into R. (export/import) I just wanted to make sure I wasn't > missing something free and easier to do. > > Cheers, > Mark > > _______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
