Retrieves futures CFTC reports historical data.

Provided with a set of futures active contract Bloomberg tickers and a time period, queries Bloomberg for the corresponding futures CFTC reports historical data or retrieves it from an existing storethat SQLite database.

pull_futures_CFTC(
  source = "Bloomberg",
  active_contract_tickers,
  start,
  end,
  verbose = T,
  file = NULL,
  ...
)

Arguments

source	a scalar character vector. Specifies the data source for the query: "Bloomberg" or "storethat". Defaults to "Bloomberg".
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.
file	a scalar chatacter vector. Optional parameter that specifies the target storethat SQLite database file to retrieve data from.
...	optional parameters to pass to the bdh function from the Rblpapi package used for the query (options parameter).

Value

An S4 object of class FuturesCFTC.

See also

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

• The tickers_cftc dataset in the BBGsymbols package (finRes suite) for details on the Bloomnerg position tickers used here.

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

Examples

if (FALSE) {

    BBG_CFTC <- pull_futures_CFTC(source = "Bloomberg",
      active_contract_tickers = c("W A Comdty", "KWA Comdty"),
      start = "2010-01-01", end = as.character(Sys.Date()))

    storethat_CFTC <- pull_futures_CFTC(source = "storethat",
      active_contract_tickers = c("W A Comdty", "KWA Comdty"),
      start = "2010-01-01", end = as.character(Sys.Date()))

  }