Retrieves futures aggregate historical data from Bloomberg.

Provided with a set of futures active contract Bloomberg tickers and a time period, queries Bloomberg for the corresponding futures historical aggregate data. For each individual field, futures aggregate data represents the aggregation of the corresponding field values over all the corresponding term structure contracts.

BBG_futures_aggregate(active_contract_tickers, start, end, verbose, ...)

Arguments

active_contract_tickers	a chatacter vector. Specifies the futures active contract Bloomberg tickers to query data for.
start	a scalar character vector. Specifies the starting date for the query in the following format: 'yyyy-mm-dd'.
end	a scalar character vector. Specifies the end date for the query in the following format: 'yyyy-mm-dd'.
verbose	a logical scalar vector. Should progression messages be printed? Defaults to TRUE.
...	optional parameters to pass to the bdh function from the Rblpapi package used for the query (options parameter).

Value

An S4 object of class FuturesAggregate.

See also

• "GFUT <GO>" on a Bloomberg terminal.

• The rolls dataset in the BBGsymbols package (finRes suite) for details regarding the roll_type & roll_adjustment parameters.

• The fields dataset in the BBGsymbols package for details on the Bloomnerg fields used here.

• Helper datasets in the fewISOs package (finRes suite).

Examples

if (FALSE) {
    BBG_futures_market(type = "aggregate",
      active_contract_tickers = c("W A Comdty", "KWA Comdty"),
      start = "2000-01-01", end = as.character(Sys.Date()))
  }