Re: [R-SIG-Finance] 'Defaults' removed from CRAN? (2014-10-03)
On Tue, Oct 7, 2014 at 7:14 PM, Joshua Ulrich josh.m.ulr...@gmail.com wrote:
I just pushed an updated quantmod_0.4-2 to R-Forge. Most of the
Defaults-related issues have been addressed, except for
getSymbols.MySQL and setTA/unsetTA. Feedback would be much
appreciated.
--
Joshua Ulrich | about.me/joshuaulrich
FOSS Trading | www.fosstrading.com
On Tue, Oct 7, 2014 at 3:40 PM, Brian G. Peterson br...@braverock.com wrote:
On 10/07/2014 03:26 PM, Daniel Cegiełka wrote:
http://cran.r-project.org/web/packages/Defaults/index.html
That's a pretty important package that is required by quantmod.
Yes.
Defaults makes use of unlockBindings to change loaded package namespaces.
That's no longer allowed by CRAN.
So, we'll need to modify getSymbols to not require it.
The old chartSeries uses it too, but we'll be replacing that soon, so I'm
not worried about that dependency.
Regards,
Brian
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
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OK, it seems to work but requires me to modify long working code to remove
setDefaults and then put the database stuff in the actual call. Is
this the way this
is intended to work in the future and I should modify my files?
I'm pretty sure the data is coming from MySQL as AAPL is not in the ETF
database and it fails if I add it to the symbol list:
source('~/.active-rstudio-document')
[1] From MySQL -- SPY
[1] From MySQL -- IWM
[1] From MySQL -- QQQ
[1] From MySQL -- AAPL
Error in Symbols[[i]] : subscript out of bounds
In addition: Warning message:
In getSymbols.MySQL(Symbols = AAPL, env = environment, verbose = FALSE, :
could not load symbol(s): AAPL
The code I ran is at the bottom.
Thanks,
Mark
source('~/R/Test Cases/RMySQL-Test.R')
Loading required package: xts
Loading required package: zoo
Attaching package: ‘zoo’
The following objects are masked from ‘package:base’:
as.Date, as.Date.numeric
Loading required package: TTR
Version 0.4-0 included new data defaults. See ?getSymbols.
Loading required package: DBI
[1] From MySQL -- SPY
As of 0.4-0, ‘getSymbols’ uses env=parent.frame() and
auto.assign=TRUE by default.
This behavior will be phased out in 0.5-0 when the call will
default to use auto.assign=FALSE. getOption(getSymbols.env) and
getOptions(getSymbols.auto.assign) are now checked for alternate defaults
This message is shown once per session and may be disabled by setting
options(getSymbols.warning4.0=FALSE). See ?getSymbol for more details
[1] From MySQL -- IWM
[1] From MySQL -- QQQ
llibrary(quantmod)
library(RMySQL)
Sys.setenv(TZ = UTC)
DataStart = 1990-01-01
DataEnd = format(Sys.time(), %Y-%m-%d)
SymbolSrc = yahoo
dbName = R_ETF
MyAdjust = TRUE
UseMySQL = TRUE
SymbolList = c(SPY,IWM,QQQ)
if (UseMySQL){
if (MyAdjust) { dbName = paste0(dbName, Adjust)}
dbc = dbConnect(MySQL(), dbname=dbName)
# setDefaults(getSymbols.MySQL, user=mark,
password=MyTempPassword, dbname=dbName)
}
if (!UseMySQL){
for (i in 1:length(SymbolList)){
print(paste(From ,SymbolSrc, -- ,SymbolList[i]))
getSymbolsCont(SymbolList[i], from = DataStart, to = DataEnd,
adjust = MyAdjust, src=SymbolSrc)
}
} else {
for (i in 1:length(SymbolList)){
print(paste(From MySQL -- ,SymbolList[i]))
# getSymbols(SymbolList[i], src=MySQL)
getSymbols(SymbolList[i], src=MySQL, user=mark,
password=MyTempPassword, dbname=dbName)
assign(SymbolList[i], get(SymbolList[i])[paste0(DataStart,/,DataEnd)])
}
dbDisconnect(dbc)
}
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Re: [R-SIG-Finance] 'Defaults' removed from CRAN? (2014-10-03)
Thank you for this information. This solves annoying problems that have recently emerged in this topic, but as Mark pointed out, the complete removal of Defaults may take much more time. Best regards, Daniel ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] 'Defaults' removed from CRAN? (2014-10-03)
On Wed, Oct 8, 2014 at 9:27 AM, Daniel Cegiełka daniel.cegie...@gmail.com wrote: Thank you for this information. This solves annoying problems that have recently emerged in this topic, but as Mark pointed out, the complete removal of Defaults may take much more time. Best regards, Daniel For getSymbols.MySQL only: WRT to coding I'm certainly not the best person to do it but if getSymbols.MySQL , or even just some other support function, read the .my.cnf file then we'd probably have a more standard long term solution with (slightly) better security. I'm coding up a simple function to do that for my simple needs. It doesn't seem like it should be an overly difficult task. The basic file format is: mark@c2RAID6 ~ $ cat .my.cnf [client] user = mark password = MyTempPassword host = localhost mark@c2RAID6 ~ $ so finding the [client] group and then gathering user password would be enough to handle the security part of the MySQL access. args(getSymbols.MySQL) function (Symbols, env, return.class = xts, db.fields = c(date, o, h, l, c, v, a), field.names = NULL, user = NULL, password = NULL, dbname = NULL, host = localhost, port = 3306, ...) NULL If the function was called from within getSymbols.MySQL then the user password would remain private and be destroyed when exiting getSymbols.MySQL which would yield better security. (I think...) The user could still pass in the values if he didn't want to do this on every call. I need to learn to handle strings better... :-) - Mark ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] 'Defaults' removed from CRAN? (2014-10-03)
Out of curiosity, did you try _not_ changing your current code, but
instead adding library(Defaults) to the top of the script? It's not
ideal, but Defaults _is_ still available
(http://cran.r-project.org/src/contrib/Archive/Defaults/). That could
buy you some time until you come up with something better.
Just a (possibly bad) thought.
Garrett
On Wed, Oct 8, 2014 at 9:43 AM, Mark Knecht markkne...@gmail.com wrote:
On Tue, Oct 7, 2014 at 7:14 PM, Joshua Ulrich josh.m.ulr...@gmail.com wrote:
I just pushed an updated quantmod_0.4-2 to R-Forge. Most of the
Defaults-related issues have been addressed, except for
getSymbols.MySQL and setTA/unsetTA. Feedback would be much
appreciated.
--
Joshua Ulrich | about.me/joshuaulrich
FOSS Trading | www.fosstrading.com
On Tue, Oct 7, 2014 at 3:40 PM, Brian G. Peterson br...@braverock.com
wrote:
On 10/07/2014 03:26 PM, Daniel Cegiełka wrote:
http://cran.r-project.org/web/packages/Defaults/index.html
That's a pretty important package that is required by quantmod.
Yes.
Defaults makes use of unlockBindings to change loaded package namespaces.
That's no longer allowed by CRAN.
So, we'll need to modify getSymbols to not require it.
The old chartSeries uses it too, but we'll be replacing that soon, so I'm
not worried about that dependency.
Regards,
Brian
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
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OK, it seems to work but requires me to modify long working code to remove
setDefaults and then put the database stuff in the actual call. Is
this the way this
is intended to work in the future and I should modify my files?
I'm pretty sure the data is coming from MySQL as AAPL is not in the ETF
database and it fails if I add it to the symbol list:
source('~/.active-rstudio-document')
[1] From MySQL -- SPY
[1] From MySQL -- IWM
[1] From MySQL -- QQQ
[1] From MySQL -- AAPL
Error in Symbols[[i]] : subscript out of bounds
In addition: Warning message:
In getSymbols.MySQL(Symbols = AAPL, env = environment, verbose = FALSE, :
could not load symbol(s): AAPL
The code I ran is at the bottom.
Thanks,
Mark
source('~/R/Test Cases/RMySQL-Test.R')
Loading required package: xts
Loading required package: zoo
Attaching package: ‘zoo’
The following objects are masked from ‘package:base’:
as.Date, as.Date.numeric
Loading required package: TTR
Version 0.4-0 included new data defaults. See ?getSymbols.
Loading required package: DBI
[1] From MySQL -- SPY
As of 0.4-0, ‘getSymbols’ uses env=parent.frame() and
auto.assign=TRUE by default.
This behavior will be phased out in 0.5-0 when the call will
default to use auto.assign=FALSE. getOption(getSymbols.env) and
getOptions(getSymbols.auto.assign) are now checked for alternate defaults
This message is shown once per session and may be disabled by setting
options(getSymbols.warning4.0=FALSE). See ?getSymbol for more details
[1] From MySQL -- IWM
[1] From MySQL -- QQQ
llibrary(quantmod)
library(RMySQL)
Sys.setenv(TZ = UTC)
DataStart = 1990-01-01
DataEnd = format(Sys.time(), %Y-%m-%d)
SymbolSrc = yahoo
dbName = R_ETF
MyAdjust = TRUE
UseMySQL = TRUE
SymbolList = c(SPY,IWM,QQQ)
if (UseMySQL){
if (MyAdjust) { dbName = paste0(dbName, Adjust)}
dbc = dbConnect(MySQL(), dbname=dbName)
# setDefaults(getSymbols.MySQL, user=mark,
password=MyTempPassword, dbname=dbName)
}
if (!UseMySQL){
for (i in 1:length(SymbolList)){
print(paste(From ,SymbolSrc, -- ,SymbolList[i]))
getSymbolsCont(SymbolList[i], from = DataStart, to = DataEnd,
adjust = MyAdjust, src=SymbolSrc)
}
} else {
for (i in 1:length(SymbolList)){
print(paste(From MySQL -- ,SymbolList[i]))
# getSymbols(SymbolList[i], src=MySQL)
getSymbols(SymbolList[i], src=MySQL, user=mark,
password=MyTempPassword, dbname=dbName)
assign(SymbolList[i], get(SymbolList[i])[paste0(DataStart,/,DataEnd)])
}
dbDisconnect(dbc)
}
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Re: [R-SIG-Finance] 'Defaults' removed from CRAN? (2014-10-03)
On Wed, Oct 8, 2014 at 9:56 AM, G See gsee...@gmail.com wrote: Out of curiosity, did you try _not_ changing your current code, but instead adding library(Defaults) to the top of the script? It's not ideal, but Defaults _is_ still available (http://cran.r-project.org/src/contrib/Archive/Defaults/). That could buy you some time until you come up with something better. Just a (possibly bad) thought. Garrett I did not but for whatever reason it didn't seem to work for me. SetDefaults is apparently found and the defaults are in therebut getSymbols.MySQL didn't apparently pick up. SPY is not returned, QQQ is when I pass the info in explicitly. I'm probably doing something stupid... - Mark library(quantmod) library(RMySQL) library(Defaults) dbName = R_ETF getDefaults() [1] getSymbols.MySQL dbc = dbConnect(MySQL(), dbname=dbName) setDefaults(getSymbols.MySQL, user=mark, password=MyTempPassword, dbname=dbName) getDefaults() [1] getSymbols.MySQL getDefaults(getSymbols.MySQL) $user [1] 'mark' $password [1] 'MyTempPassword' $dbname [1] dbName getSymbols(SPY, src=MySQL) Error in getSymbols.MySQL(Symbols = SPY, env = environment, verbose = FALSE, : At least one connection argument ( ‘user’ ‘password’ ‘dbname’ ) is not set getSymbols(QQQ, src=MySQL, user=mark, password=MyTempPassword, dbname=dbName) [1] QQQ library(quantmod) library(RMySQL) library(Defaults) dbName = R_ETF getDefaults() dbc = dbConnect(MySQL(), dbname=dbName) setDefaults(getSymbols.MySQL, user=mark, password=MyTempPassword, dbname=dbName) getDefaults() getDefaults(getSymbols.MySQL) getSymbols(SPY, src=MySQL) getSymbols(QQQ, src=MySQL, user=mark, password=MyTempPassword, dbname=dbName) ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
[R-SIG-Finance] Return.rebalancing contemporaneous calculation
Hi, I'm working with Performance Analytics for calculating portfolio returns using the function Return.rebalancing. I don't understand why the results - portfolio returns - are lagged by 1 period when compared to Return.portfolio (assuming weight are time invariant). I read the definition that explain the rebalancing is taken place in the next period but since the input are returns (like in Return.portfolio) they should be consolidated on same period. Is there a way not losing the first input? Here few lines to illustrate my question pfmf2003-Return.rebalancing(mfr2003,wghts1) pfstat-Return.portfolio(mfr2003,c(1,0)) ** wghts1 = 1 for the period Results portfolio.Rebal portfolio.returns. 2003-05-31 0.0087336245 0.203679369 2003-06-30 0.1093073593 0.008733624 2003-07-31 -0.0351219512 0.109307359 2003-08-31 -0.0404448938-0.035121951 2003-09-30 -0.0063224447-0.040444894 many thanks Charles ** The contents of this email and any attachments are confidential to the intended recipient. They may not be disclosed to or used by or copied in any way by anyone other than the intended recipient. If this email is received in error, please contact Northview Investment Advisors Ltd. on + 1 345 943 2828 quoting the name of the sender and the email address to which it has been sent and then delete it. Please further note that neither Northview Investment Advisors Ltd. nor the sender accepts any responsibility for viruses and it is your responsibility to scan or otherwise check this email and any attachments. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
