FinancialInstrument (version 1.3.1)

instrument.auto: Create an instrument based on name alone

Description

Given a name, this function will attempt to create an instrument of the appropriate type.

Usage

instrument.auto(primary_id, currency = NULL, multiplier = 1,
  silent = FALSE, default_type = "unknown", root = NULL,
  assign_i = TRUE, ...)

Arguments

primary_id

charater primary identifier of instrument to be created

currency

character name of currency that instrument will be denominated it. Default=“USD”

multiplier

numeric product multiplier

silent

TRUE/FALSE. silence warnings?

default_type

What type of instrument to make if it is not clear from the primary_id. ("stock", "future", etc.) Default is NULL.

root

character string to pass to parse_id to be used as the root_id for easier/more accurate parsing.

assign_i

TRUE/FALSE. Should the instrument be assigned in the .instrument environment?

...

other passthrough parameters

Value

Primarily called for its side-effect, but will return the name of the instrument that was created

Details

If currency is not already defined, it will be defined (unless it is not 3 uppercase characters). The default value for currency is “USD”. If you do not provide a value for currency, “USD” will be defined and used to create the instrument.

If primary_id is 6 uppercase letters and default_type is not provided, it will be assumed that it is the primary_id of an exchange_rate, in which case, the 1st and 2nd half of primary_id will be defined as currencys if not the names of already defined instruments. If the primary_id begins with a “^” it will be assumed that it is a yahoo symbol and that the instrument is an index (synthetic), and the ‘src’ will be set to “yahoo”. (see setSymbolLookup)

If it is not clear from the primary_id what type of instrument to create, an instrument of type default_type will be created (which is 'NULL' by default). This will happen when primary_id is that of a stock, future, option, or bond. This may also happen if primary_id is that of a future_series or option_series but the corresponding future or option cannot be found. In this case, the instrument type would be default_type, but a lot of things would be filled in as if it were a valid series instrument (e.g. ‘expires’, ‘strike’, ‘suffix_id’, etc.)

Examples

# NOT RUN {
instrument.auto("CL_H1.U1")
getInstrument("CL_H1.U1") #guaranteed_spread

instrument.auto("ES_H1.YM_H1")
getInstrument("ES_H1.YM_H1") #synthetic

currency(c("USD","EUR"))
instrument.auto("EURUSD")
getInstrument("EURUSD") #made an exchange_rate

instrument.auto("VX_H11") #no root future defined yet!
getInstrument("VX_H11") #couldn't find future, didnt make future_series
future("VX","USD",1000,underlying_id=synthetic("SPX","USD")) #make the root 
instrument.auto("VX_H11") #and try again
getInstrument("VX_H11") #made a future_series
# }