https://github.com/risktoollib/rtl

R package for commodities and finance analytics. Sister python package details below.
https://github.com/risktoollib/rtl

analytics api commodities commodities-api finance genscape morningstar python r risk-management

Last synced: about 2 months ago
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R package for commodities and finance analytics. Sister python package details below.

• Host: GitHub
• URL: https://github.com/risktoollib/rtl
• Owner: risktoollib
• License: other
• Created: 2019-12-27T22:39:09.000Z (over 5 years ago)
• Default Branch: master
• Last Pushed: 2025-02-26T12:54:05.000Z (3 months ago)
• Last Synced: 2025-04-09T22:16:36.233Z (about 2 months ago)
• Topics: analytics, api, commodities, commodities-api, finance, genscape, morningstar, python, r, risk-management
• Language: R
• Homepage:
• Size: 179 MB
• Stars: 30
• Watchers: 6
• Forks: 8
• Open Issues: 2
• Metadata Files:
  • Readme: README.Rmd
  • License: LICENSE

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README

        
---

output: github_document

---

[![CRAN_Status_Badge](https://www.r-pkg.org/badges/version/RTL)](https://cran.r-project.org/package=RTL)

[![metacran downloads](https://cranlogs.r-pkg.org/badges/RTL)](https://cran.r-project.org/package=RTL)

[![R-CMD-check](https://github.com/risktoollib/RTL/workflows/R-CMD-check/badge.svg)](https://github.com/risktoollib/RTL/actions)

 

## Overview

RTL is a purposely designed for traders, analysts and risk practitioners in Commodities and Finance. It also supports delivery of Finance classes from one of the creator also in Academics at the [Alberta School of Business](https://www.ualberta.ca/en/business/index.html).

Send feedback to `[email protected]`. We welcome feedback, suggestions and collaboration.

### Energy Markets Reference Data

+ `expiry_table`: NYMEX and ICE contracts expiry tables.

+ `holidaysOil`: Holiday calendars for NYMEX and ICE.

+ `tradeCycle`: US and Canadian crude oil trading calendars.

+ `tickers_eia`: Mapping of EIA tickers to crude and refined products markets for building supply demand balances.

+ `eiaStorageCap`: Historical EIA crude storage capacity by PADD.

+ `eiaStocks`: Sample data set of EIA.gov stocks for key commodities.

### Swap Pricing and Contract Roll Adjustement

+ `rolladjust()` adjusts continuous contracts returns for roll adjustments using `expiry_table`.

+ `swapCOM()` computes Calendar Month Average commodity swap prices. 

+ `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. 

+ `swapIRS()` computes IRS swap prices. 

### Charting

+ `chart_fwd_curves()`: plots historical forward curves, a useful feature to understand the pricing dynamics of a market. 

+ `chart_zscore()` supports seasonality adjusted analysis of residuals, particularly useful when dealing with commodity stocks and/or days demand time series with trends as well as non-constant variance across seasonal periods.

+ `chart_eia_steo()` and `chart_eia_sd()` return either a chart or dataframe of supply demand balances from the EIA.

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

+ ...

### APIs

Valid credentials for commercial API services are required. 

#### Genscape

[Genscape API ](https://developer.genscape.com/) functions:

+ `getGenscapeStorageOil()`.

+ `getGenscapePipeOil()`.

#### Morningstar Commodities

[Morningstar Marketplace API](https://mp.morningstarcommodity.com/marketplace/) functions:

+ `getPrice()`, `getPrices()` and `getCurve()` using your own Morningstar credentials. Current feeds included:

  + ICE_EuroFutures and ICE_EuroFutures_continuous.

  + CME_NymexFutures_EOD and CME_NymexFutures_EOD_continuous.

  + CME_NymexOptions_EOD.

  + CME_CbotFuturesEOD and CME_CbotFuturesEOD_continuous.

  + CME_Comex_FuturesSettlement_EOD and CME_Comex_FuturesSettlement_EOD_continuous.

  + LME_AskBidPrices_Delayed.

  + CME_CmeFutures_EOD and CME_CmeFutures_EOD_continuous.

  + CME_STLCPC_Futures.

  + ICE_NybotCoffeeSugarCocoaFutures and ICE_NybotCoffeeSugarCocoaFutures_continuous.

  + Morningstar_FX_Forwards.

  + ... see `?getPrice` for up to date selection and examples.

### GIS Dataset

#### EIA

+ 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")`

+ `tradeHubs` has North Americas crude oil trading hubs (WIP).

#### Alberta Oil Sands, Petroleum and Natural Gas

+ AB <- `getGIS(url = "https://gis.energy.gov.ab.ca/GeoviewData/OS_Agreements_Shape.zip")`

### Interest Rates

+ `usSwapIR`: Sample data set output of `getIRswapCurve`.

+ `usSwapCurves`: Sample data set output of `RQuantlib::DiscountCurve()`.

## Python

A python version of RTL for most functions is available at https://pypi.org/project/risktools/.

## Installation

**Latest Package**

`devtools::install_github("risktoollib/RTL")`

**CRAN Stable**

`install.packages("RTL")`