RTL 1.2.0

New

• simMultivariates() generates multivariate normal random epsilons from a a historical data set.
• efficientFrontier() generates Markowitz mean-variance portfolios for commodities assets i.e. risk and reward not in percentages.
• simOU() augmented with an extra parameter epsilon in case your simulation is part of a multivariate simulation.

Enhancement

Bugs & Fixes

• UTF characters in crudeassaysBP.

Remove

Updates

RTL 1.1.0

New

• tradeHubs contains GIS coordinates for major crude oil trading hubs in North America.
• tsQuotes dataset for use with RQuantLib::DiscountCurve().
• simOUt() implements simOU() with a mean reversion level as a function of time.

Enhancement

• simGBM() vectorized.
• simOU(), simOUt() and simOUJ() implemented in Rcpp - see ./src/rcpp*.cpp
• Added Mont Belvieu and TMX Burnaby to tradeHubs.

Bugs & Fixes

• Remove dependencies to tidyquant::tq_get().
• chart_zscore() time axis fixed.

Remove

• ‘ir_df_us()’ removed as it uses quandl for interest rates. Use RTL::ir_df_us data set instead.

Updates

• expiry_table updated and now includes LTH and HG CME contracts.
• Removed usSwapIR and getIRswapCurve() as data is no longer available after discontinuation of LIBOR fixes..

RTL 1.0.0

Bugs & Fixes

• eia2tidy() makes requests over https instead of http as API now requires it.

Package Structure

• Normalizing version control to first stable version.
• Tidy package documentation to standards.
• testthat implemented for metadata checks.

RTL 0.1.91

• Fixed a minor bug in tradeCycle dates for Canadian Crude.

RTL 0.1.9

Updates

• dfwide retains the NA so as not to reduce scope where all tickers have data.
• eiaStorageCap now includes Lower 48 States Working Natural Gas Total Underground Storage Capacity.
• chart_fwd_curves() vectorized.
• Added storage capacity to eiaStorageCap data set for PADD1 middle and light distillates as a proxy for NYH.
• tradeCycle updated for 2022 Canadian Notice of Shipments and US Domestic crude calendar added.
• rolladjust() updated with CME Canadian crude calendar cmdty == “cmecan”.
• chart_eia_steo() inventory imbalance subplot updated to a line fill type for better visibility.

Bugs & Fixes

• Fixed promptBeta() period input.
• getPrices() merging with all = TRUE.

Deprecated

• stl_decomp() has been removed.

RTL 0.1.8

Updates and Fixes

• tradestats partially migrated to tidyquant from quantmod.
• getCurve() updated for LME and SHFE feeds.
• fxfwd dataset created for USD/CAD FX forwards.
• eurodollar dataset created for eurodollar future contract.
• rmp dataset created for Producer Hedging project.
• dflong and dflong datasets now contain CME Aluminium prices.

RTL 0.1.7

New

• Added the following feeds to Morningstar API function getPrice():
  • AESO_ForecastAndActualPoolPrice
  • Send email to pcote@ualberta.ca if you wish to add more feeds.
• getGIS() to obtain a object from a shapefile URL. The datasets below were removed and can be recreated as follows:
  • crudepipelines <- getGIS(url = "https://www.eia.gov/maps/map_data/CrudeOil_Pipelines_US_EIA.zip")
  • refineries <- getGIS(url = "https://www.eia.gov/maps/map_data/Petroleum_Refineries_US_EIA.zip")
  • productspipelines <- getGIS(url = "https://www.eia.gov/maps/map_data/PetroleumProduct_Pipelines_US_EIA.zip")
  • productsterminals <- getGIS(url = "https://www.eia.gov/maps/map_data/PetroleumProduct_Terminals_US_EIA.zip")
  • ngpipelines <- getGIS(url = "https://www.eia.gov/maps/map_data/NaturalGas_InterIntrastate_Pipelines_US_EIA.zip")
  • ngstorage <- getGIS(url = "https://www.eia.gov/maps/map_data/PetroleumProduct_Terminals_US_EIA.zip")
  • nghubs <- getGIS(url = "https://www.eia.gov/maps/map_data/NaturalGas_TradingHubs_US_EIA.zip")
  • lngterminals <- getGIS(url = "https://www.eia.gov/maps/map_data/Lng_ImportExportTerminals_US_EIA.zip")

Updates and Fixes

• expiry_table updated for expiries + Yahoo Finance tickers to pull using tidyquant::tq_get().
• eiaStorageCap: EIA crude storage capacity by PADD.

Removed

• None.

RTL 0.1.6

New

• Genscpae API interface added for getGenscapeStorageOil() and getGenscapePipeOil().
• Added the following feeds to Morningstar API function getPrice():
  • ERCOT_LmpsByResourceNodeAndElectricalBus
  • PJM_Rt_Hourly_Lmp
  • Send email to pcote@ualberta.ca if you wish to add more feeds.

Updates and Fixes

• chart_spreads conversion armument now a vector allowing for different conversion e.g. crack spreads.
• Updated cancrudeassays dataset. Removed AHS, WCB and SYN grades.
• chart_zscore() amended. Output stats returns statistical tests and res fitted results.
• promptBeta() removed output stats.
• Updated usSwapIR, usSwapCurves with rates as of 2020-12-31.
• tradeCycle table updated for Canadian crude oil 2021 calendar. Source: COLC.
• getPrice fixed to return Settle instead of Open when feed=CME_NymexOptions_EOD.

Removed

RTL 0.1.5

New

• chart_spreads() to generate specific contract spreads across years e.g. ULSD March/April. Requires Morninstar credentials.

• Morningstar feeds:

  • CME_Comex_FuturesSettlement_EOD and CME_Comex_FuturesSettlement_EOD_continuous.
  • LME_AskBidPrices_Delayed.
  • SHFE_FuturesSettlement_RT.
  • EIA GIS data sets ngpipelines, ngstorage, nghubs, lngterminals.

Updates and Fixes

• eia2tidy() amended for quarterly and hourly data.
• Morningstar tickers for getPrice() and getPrices() functions.
• promptBeta() chart moved to plotly.

Removed

RTL 0.1.4

New

• getCurve() added to extract OHLC futures contract forward curves from Morningstar.
• chart_eia_steo() returns a Supply/Demand balance from the EIA STEO data set. Currently configured for Global Liquids and will be augmented for US Crude, Light and Middle Distillates.
• chart_eia_sd() returns Supply/Demand balance from the EIA weekly data for mogas, distillates, jet and resids.
• tickers_eia table updated to build Supply Demand Balances for US products.
• Datasets ref.opt.inputs and ref.opt.outputs to support refinery LP optimization education using lpSolve package.
• swapFutWeight() returns the % applied to the first line contract in Calendar Month Average commodity swaps when two futures contracts are involved e.g. WTI. It uses the proper NYMEX or ICE holiday calendars and fit for purpose for building trading sheets.
• swapInfo() returns all information required to price first line futures contract averaging swap or CMA physical trade, including a current month instrument with prior settlements.

Updates and Fixes

• eia2tidy() fix for key variable in function.
• crudes dataset updated.

Removed

• twtrump and twoott tweets datasets for learning NLP.

RTL 0.1.3

• eia2tidy() removed dependency to EIAdata package.
• chart_pairs() funtion added to render plotly pairs chart for time series.
• Summarised statistics dataset cancrudeassayssum for Canadian Crude assays.
• Crude oil qualities dataset crudes from crudemonitor.ca and BP Assays.
• Sample GIS data sets for North American refineries and crudepipelines.
• Added eiaStocks and eiaStorageCap data sets.
• Upgrade for dplyr 1.0.0.
• Sample data sets dflong and dfwide updated.
• Added crudeassaysXOM as a list for complete public assays from ExxonMobil.
• Added planets data for interest rate exercises.

RTL 0.1.1

• RTL rebuilt to CRAN standards and published.