Amazon retail survivors Spain spread and Best Buy beat
Europe Travel outpace while CAD USA bond spread tight
Files for PostGreSQL SQL database to generate long and short of spread trading idea
Here are the files used including SQL and Excel as explained here
What metrics I use to measure my long and short trades for spread trading opportunity
This quick video explains it as part of my long and sort to measure who those pairs will be when trade ideas are generated. Once identified, they are added to my watchlist.
This came in from the NYC Contact which could be very very useful for y’all. More to come!
R Code for for charting Daily Crude Oil Futures spread (calendar spread of first two months) .
The chart shows mean reversion and volatility. Extreme contango has happened several times.
Here is the R code:
CL1 = read.csv('http://www.quandl.com/api/v1/datasets/CHRIS/CME_CL1.csv?&trim_start=1983-03-31&trim_end=2014-03-24&sort_order=desc', colClasses=c('Date'='Date'))
CL2 = read.csv('http://www.quandl.com/api/v1/datasets/CHRIS/CME_CL2.csv?&trim_start=1983-03-30&trim_end=2014-03-24&sort_order=desc', colClasses=c('Date'='Date'))
CL_Spread["Date"] = CL1["Date"]
CL_Spread["Settle"] = CL1["Settle"] - CL2["Settle"]
High frequency market data in R with realized volatility, spread, trade direction, bid/ask spread, calendar patterns with tick pattern
This is a pretty good tutorial PDF:
Get the data from: http://faculty.washington.edu/ezivot/splus.htm
This is hinted at the bottom of page2.Ensure to load the RTAQ R package from CRAN for use to load the data. Note that the TAQLoad has changed since this PDF so you will need to change the call.
This also contains some great metrics where you can instantly capture things llike realized volatility, spread, trade direction, bid/ask spread, calendar patterns with tick pattern
All I can say is wow!