Skip to main content

Python implementation of the R package RTL

Project description


Python implementation of the R package RTL.

See CRAN for original R version


Purposely designed functions for trading, trading analytics and risk practitioners in Commodities and Finance.
Build to support delivery of Finance classes from one of the co-authors of RTL at the Alberta School of Business.

Version Notes

Note that the latest version will require compilation on Windows for python version 3.11 due to the 
dependency on arch. Arch does not come with binaries and must be compiled on Windows which can be
avoided by installing numba, however numba is not yet available for python 3.11.


Historical forward curves charting.

Calendars and expiry dates data objects for a wide range of commodity futures contracts.

roll_adjust to adjust continuous contracts returns for roll adjustments using expiries above.

Morningstar Marketplace API functions getPrice(), getPrices() and getCurve() using your own Morningstar credentials. Current feeds included:
    … see ?getPrice for up to date selection and examples.

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 Morningstar credentials.

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.

Data Sets

Accessible via Also use to get list of available data.

expiry_table: Historical and forward futures contract metadata.
holidaysOil: Holiday calendars for ICE and NYMEX.
tickers_eia: Mapping of EIA tickers to crude and refined products markets for building supply demand balances.
usSwapIRDef: Data frame of definitions for instruments to build a curve for use with RQuantlib. Use getIRswapCurve() to extract the latest data from FRED and Morningstar.
usSwapIR: Sample data set output of getIRswapCurve.
usSwapCurves: Sample data set output of RQuantlib::DiscountCurve().
cancrudeassays contains historical Canadian crude assays by batch from Crudemonitor. cancrudeassayssum is a summarised average assays version.
crudeassaysXOM for all publicly available complete assays in Excel format from ExxonMobil
crudeassaysBP for all publicly available complete assays in Excel format from BP
eiaStocks: Sample data set of stocks for key commodiities.
eiaStorageCap: EIA crude storage capacity by PADD.
dflong and dfwide contain continuous futures prices sample data sets for Nymex (CL, HO, RB and NG contracts) and ICE Brent.
crudepipelines and refineries contain GIS information in the North American crude space.

Usernames and password for API services are required.


Version 0.2.0

New functions added:

  • get_curves
  • get_gis
  • get_ir_swap_curve
  • refineryLP
  • swap_fut_weight
  • swap_info
  • dist_desc_plot

New feeds for get_prices:

  • ERCOT_LmpsByResourceNodeAndElectricalBus
  • PJM_Rt_Hourly_Lmp
  • AESO_ForecastAndActualPoolPrice
  • LME_MonthlyDelayed_Derived
  • SHFE_FuturesSettlement_RT
  • CFTC_CommitmentsOfTradersCombined

New datasets for function

  • Replicated/refreshed RTL datsets

removed geojson files and dependencies to geopandas - replaced with get_gis function removed support for Python 3.6. Supports >= 3.7

Companion package to

Project details

Download files

Download the file for your platform. If you're not sure which to choose, learn more about installing packages.

Source Distribution

risktools- (6.7 MB view hashes)

Uploaded source

Built Distributions

risktools- (7.3 MB view hashes)

Uploaded cp39

risktools- (7.3 MB view hashes)

Uploaded cp38

Supported by

AWS AWS Cloud computing and Security Sponsor Datadog Datadog Monitoring Fastly Fastly CDN Google Google Download Analytics Microsoft Microsoft PSF Sponsor Pingdom Pingdom Monitoring Sentry Sentry Error logging StatusPage StatusPage Status page