R: FinancialInstrument initialize cross currency instrument not working

Question

I want to initialize a curreny pair using FinancialInstrument. The data contains exchange rates for a certain currency pair (e.g. USD_CHF, USD_EUR etc.).

But this doesn't work, why?

> currency("USD")
[1] "USD"
> instrument("USD_CHF",currency="USD",multiplier=1)
primary_id :"USD_CHF"
currency   :"USD"
multiplier :1
tick_size  : NULL
identifiers: list()
type       : NULL
> getInstrument("USD_CHF")
[1] FALSE
Warning message:
In getInstrument("USD_CHF") :
  instrument USD_CHF not found, please create it first.

Or at first it works after creating there is an output with the correct primary_id. However getInstrument doesn't work..and my code thereafter neither.

Answer 1

It didn't save the instrument because the default for the assign_i argument is FALSE.

> instrument("USD_CHF", currency="USD", multiplier=1, assign_i=TRUE)
[1] "USD_CHF"
> getInstrument("USD_CHF")
primary_id :"USD_CHF"
currency   :"USD"
multiplier :1
tick_size  : NULL
identifiers: list()
type       : NULL

You're going to make your life difficult if you use that naming convention because parse_id will not know how to make sense of that. I suggest USDCHF or USD.CHF. You could use USD_CHF as an identifier (other than the primary_id) if you want so that getInstrument (and getSymbols.FI) could still find it by that name.

Also, you'd be better off using the exchange_rate constructor

> currency("USD")
[1] "USD"
> currency("CHF")
[1] "CHF"
> exchange_rate("USDCHF")
[1] "USDCHF"
> getInstrument("USDCHF")
primary_id      :"USDCHF"
currency        :"CHF"
multiplier      :1
tick_size       :0.01
identifiers     : list()
type            :"exchange_rate" "currency"
counter_currency:"USD"