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require(Quandl)
Quandl.auth("yourTokenHere")
authCode <- "yourTokenHere"
quandlSCF <- function(code, authCode, from =
NA, to = NA) {
dataCode <- paste0("SCF/",
code) out <- Quandl(dataCode,
authCode = authCode)
out <- xts(out[, -1], order.by=out$Date)
colnames(out)[4] <- "Close"
colnames(out)[6] <- "PrevDayOpInt"
if(!is.na(from)) {
out <- out[paste0(from,
"::")] }
if(!is.na(to)) {
out <- out[paste0("::",
to)]
} return(out)
}
#Front open-interest cross
from <- NAto <- NA
#Energies
CME_CL1 <- quandlSCF("CME_CL1_ON",
authCode = authCode, from = from, to = to) #crudeCME_NG1 <-
quandlSCF("CME_NG1_ON", authCode = authCode,
from = from, to = to) #natgas
CME_HO1 <- quandlSCF("CME_HO1_ON",
authCode = authCode, from = from, to = to) #heatOilCME_RB1 <-
quandlSCF("CME_RB1_ON", authCode = authCode,
from = from, to = to) #RBob
ICE_B1 <- quandlSCF("ICE_B1_ON",
authCode = authCode, from = from, to = to) #BrentICE_G1 <-
quandlSCF("ICE_G1_ON", authCode = authCode,
from = from, to = to) #GasOil
#Grains
CME_C1 <- quandlSCF("CME_C1_ON",
authCode = authCode, from = from, to = to) #Chicago CornCME_S1
<- quandlSCF("CME_S1_ON", authCode = authCode,
from = from, to = to) #Chicago Soybeans
CME_W1 <- quandlSCF("CME_W1_ON",
authCode = authCode, from = from, to = to) #Chicago WheatCME_SM1
<- quandlSCF("CME_SM1_ON", authCode = authCode,
from = from, to = to) #Chicago Soybean Meal
CME_KW1 <- quandlSCF("CME_KW1_ON",
authCode = authCode, from = from, to = to) #Kansas City WheatCME_BO1
<- quandlSCF("CME_BO1_ON", authCode = authCode,
from = from, to = to) #Chicago Soybean Oil
#Softs
ICE_SB1 <- quandlSCF("ICE_SB1_ON",
authCode = authCode, from = from, to = to) #Sugar No. 11ICE_KC1
<- quandlSCF("ICE_KC1_ON", authCode = authCode,
from = from, to = to) #Coffee
ICE_CC1 <- quandlSCF("ICE_CC1_ON",
authCode = authCode, from = from, to = to) #CocoaICE_CT1 <-
quandlSCF("ICE_CT1_ON", authCode = authCode,
from = from, to = to) #Cotton
#Other Ags
CME_LC1 <- quandlSCF("CME_LC1_ON",
authCode = authCode, from = from, to = to) #Live CattleCME_LN1
<- quandlSCF("CME_LN1_ON", authCode = authCode,
from = from, to = to) #Lean Hogs
#Precious Metals
CME_GC1 <- quandlSCF("CME_GC1_ON",
authCode = authCode, from = from, to = to) #GoldCME_SI1 <-
quandlSCF("CME_SI1_ON", authCode = authCode,
from = from, to = to) #Silver
CME_PL1 <- quandlSCF("CME_PL1_ON",
authCode = authCode, from = from, to = to) #PlatinumCME_PA1 <-
quandlSCF("CME_PA1_ON", authCode = authCode,
from = from, to = to) #Palladium
#Base
CME_HG1 <- quandlSCF("CME_HG1_ON",
authCode = authCode, from = from, to = to) #Copper
#Currencies
CME_AD1 <- quandlSCF("CME_AD1_ON",
authCode = authCode, from = from, to = to) #OzzieCME_CD1 <-
quandlSCF("CME_CD1_ON", authCode = authCode,
from = from, to = to) #Canadian Dollar
CME_SF1 <- quandlSCF("CME_SF1_ON",
authCode = authCode, from = from, to = to) #Swiss FrancCME_EC1
<- quandlSCF("CME_EC1_ON", authCode = authCode,
from = from, to = to) #Euro
CME_BP1 <- quandlSCF("CME_BP1_ON",
authCode = authCode, from = from, to = to) #PoundCME_JY1 <-
quandlSCF("CME_JY1_ON", authCode = authCode,
from = from, to = to) #Yen
ICE_DX1 <- quandlSCF("ICE_DX1_ON",
authCode = authCode, from = from, to = to) #Dollar Index
#Equities
CME_ES1 <- quandlSCF("CME_ES1_ON",
authCode = authCode, from = from, to = to) #EminiCME_MD1 <-
quandlSCF("CME_MD1_ON", authCode = authCode,
from = from, to = to) #Midcap 400
CME_NQ1 <- quandlSCF("CME_NQ1_ON",
authCode = authCode, from = from, to = to) #Nasdaq 100ICE_RF1
<- quandlSCF("ICE_RF1_ON", authCode = authCode,
from = from, to = to) #Russell Smallcap
CME_NK1 <- quandlSCF("CME_NK1_ON",
authCode = authCode, from = from, to = to) #Nikkei
#Bonds/rates
CME_FF1 <- quandlSCF("CME_FF1_ON",
authCode = authCode, from = from, to = to) #30-day fed fundsCME_ED1
<- quandlSCF("CME_ED1_ON", authCode = authCode,
from = from, to = to) #3 Mo. Eurodollar/TED Spread
CME_FV1 <- quandlSCF("CME_FV1_ON",
authCode = authCode, from = from, to = to) #Five Year TNoteCME_TY1
<- quandlSCF("CME_TY1_ON", authCode = authCode,
from = from, to = to) #Ten Year Note
CME_US1 <- quandlSCF("CME_US1_ON",
authCode = authCode, from = from, to = to) #30 year bond |
