TIC Portfolio Flows

Published: July 1st, 2018

The Treasury International Capital release, maintained by the U.S. Treasury, can easily lead to information overload. The fact that it is ignored by free data services such as FRED and Quandl does not make it easier. TIC data is a primary input in calculations for international trade and investment (ITA) by Bureau of Economic Analysis. In the associated study the focus is on domestic securities in the segment that contains transactions in long-term securities. It is released monthly with a lag of approximately one and a half month. It is therefore more timely than similar series in BEA's...

Continuous futures rollover calculations

Published: May 13th, 2018

Much of the content on this site will evolve around continuous futures, so it would be useful to know exactly how they are calculated. Currently, only front contracts are used, but the rollover dates could also easily be used to derive continuous series further out on the curve in instruments where the two nearest expiring contracts are not the only ones that are active. Although this would only be relevant for certain commodities that typically trades in steep contango or backwardation, like for example crude oil or natural gas. Individual contracts are downloaded from Quandl, which obtai...

Welcome to Macronomics

Published: May 1st, 2018

Whether you’re a market strategist, trader, economist or something else, hopefully you will find Macronomics useful. With time, more studies will be added in each category. The macroeconomics category, for example, needs much more content, in addition to recession markers for each country. This is a priority. The futures charting section could also be improved by adding time frequency options and technical indicators, among other things. This however would require much more javascript’ing and is therefore not a priority. Writing a small dedicated Python app for this would be more interesti...