Chinmay, The trading blox data has a column called Unadjusted close. The user is free to use that column. Also, it is trivial to un-adjust the Open, High, and Low as well. And, there is a column showing which contract is being used for each row which makes it trivial to re-adjust prices however you see fit, or not at all.
Garrett On Sat, Dec 15, 2012 at 10:13 PM, Chinmay Patil <chinmay.pa...@gmail.com> wrote: > Hi Garret, > > Although a good solution, I would insist user to be careful with downloading > data from TradingBlox. > Any futures strategy backtesting especially on higher timeframes like daily > and above will be very sensitive to method of construction of continous > contract and if user is not aware of how such a continuos contract is > created, they may lead themselves to reaching overly optimistic conclusions > from that backtesting. > > TradingBlox data while good (they source the data CSIdata as well) is a > continuous contract based on their rolling methodology and may not suite > every user. > > Best Regards, > Chinmay Patil > > > On Sun, Dec 16, 2012 at 12:03 PM, G See <gsee...@gmail.com> wrote: >> >> If you just want daily data, there is a script in the parser directory >> of FinancialInstrument >> >> (http://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/FinancialInstrument/inst/parser/download.tblox.R?root=blotter) >> that will download free data since 1995 from tradingblox. >> >> Try this, >> >> library(FinancialInstrument) >> >> source(paste0("http://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/", >> >> "FinancialInstrument/inst/parser/download.tblox.R?root=blotter")) >> define_futures.tblox() # define meta data for available futures -- not >> required to get data >> >> buildHierarchy(ls_futures(), "description") # show the descriptions of >> available futures >> >> find.instrument("Eurodollar") >> getInstrument("ED") >> >> # this getSymbols.tblox method will download all data from tblox, but will >> only >> # assign the symbols you give it. >> getSymbols("ED", src='tblox') >> tail(ED) >> >> # this will download all tblox futures data and assign in your globalenv() >> get_tblox() >> >> tail(TY) >> head(CL) >> >> HTH, >> Garrett >> >> On Sat, Dec 15, 2012 at 9:39 PM, Robert A'gata <rhelp...@gmail.com> wrote: >> > Eurodollar, treasury, S&P500 e-mini, crude oil, natural gas, >> > agricultural >> >> _______________________________________________ >> R-SIG-Finance@r-project.org 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. > > _______________________________________________ R-SIG-Finance@r-project.org 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.