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.

• Gensccape API functions getGenscapeStorageOil().

• 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.

• 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.

Data Sets

Accessible via data(datsetname)

• 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.
• 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().
• 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
• eiaStocks: Sample data set of EIA.gov stocks for key commodiities.
• eiaStorageCap: EIA crude storage capacity by PADD.
• dflong and dfwide contain continuous futures prices sample data sets for Nymex (CL, HO, RB and NG contracts) and ICE Brent.
• crudepipelines and refineries contain GIS information in the North American crude space.

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.