Re: [R-SIG-Finance] Remove first two weeks of data in half hourly resolution

[G See]

Brian's example is good if you want to remove the first 14 calendar
days.  If you want to remove the first 14 dates that appear in your
data, it's even simpler

#create sample data
x <- .xts(1:1000, .POSIXct(1:1000*60*30))
# remove 1st 14 days by using a negative with first()
first(x, "-14 days")

Garrett


On Thu, Mar 31, 2016 at 6:24 AM, Brian G. Peterson  wrote:
> Peter,
>
> You haven't published a reproducible example, and I'm not going to take
> the time to write a complete example from scratch.
>
> We use xts subsetting for this type of thing, so I suggest using xts for
> your time series (this is always good advice for time series in R).
>
> Here's a partial example to get you started.
>
> ###
>
> #load some data from the PerformanceAnalytics package
> data(edhec)
>
> #check the range
> range(index(edhec))
>
> #add 14 days from the start
> first(index(edhec))+14
>
> #now assume that you have an object 'z' with  intraday data
> range(z)
>
> #check the range of Dates by forcing the index to Date type
> range(as.Date(index(z)))
>
> #add 114 days, as before
> first(as.Date(index(z)))+14
>
> # now subset by cutting off the first 14 calendar days
> # from the start of the series
> zs <- z[paste0(first(as.Date(index(z)))+14,'/')]
>
> #check the range
> range(as.Date(index(zs)))
>
> ##
>
> Regards,
>
> Brian
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
>
> On Thu, 2016-03-31 at 11:50 +0100, Peter Neumaier wrote:
>> Hi all,
>>
>> I am doing some analysis on monthly futures contracts from 2011-2016.
>> Each monthly contract goes for eight weeks, in half hourly resolution.
>>
>> I'd like to remove first two weeks of eight weeks history for each monthly
>> contract.
>> My approach was to work out the start and end date and cut the 1st two weeks
>> data off, but problem is that the half hourly resolution is sometimes
>> incomplete(
>> i.e. a trading day goes from 7:00am - 4:00pm but sometimes starts at
>> 7:30am).
>>
>> Any suggestion on how to resolve this? Below a sample trading day in half
>> hourly:
>>
>> NGFH6.Open NGFH6.High NGFH6.Low NGFH6.Close
>> NGFH6.Volume NGFH6.WAP NGFH6.hasGaps NGFH6.Count
>> 2016-01-06 07:30:00 0.3395 0.33950.3375  0.3380
>> 45   0.33811 0   5
>> 2016-01-06 08:00:00 0.3400 0.34000.3387  0.3395
>> 140   0.33928 0  12
>> 2016-01-06 08:30:00 0.3395 0.33950.3379  0.3379
>> 70   0.33884 0   5
>> 2016-01-06 09:00:00 0.3379 0.33790.3379  0.3379
>> 0   0.33790 0   0
>> 2016-01-06 09:30:00 0.3379 0.33790.3379  0.3379
>> 0   0.33790 0   0
>> 2016-01-06 10:00:00 0.3375 0.33800.3373  0.3373
>> 230   0.33738 0  14
>> 2016-01-06 10:30:00 0.3376 0.33790.3376  0.3379
>> 20   0.33775 0   2
>> 2016-01-06 11:00:00 0.3370 0.33700.3370  0.3370
>> 105   0.33700 0   5
>> 2016-01-06 11:30:00 0.3366 0.33660.3365  0.3365
>> 65   0.33658 0   4
>> 2016-01-06 12:00:00 0.3370 0.33700.3370  0.3370
>> 10   0.33700 0   1
>> 2016-01-06 12:30:00 0.3372 0.33720.3361  0.3361
>> 125   0.33686 0   9
>> 2016-01-06 13:00:00 0.3360 0.33600.3357  0.3360
>> 225   0.33585 0  17
>> 2016-01-06 13:30:00 0.3357 0.33570.3355  0.3355
>> 50   0.33560 0   5
>> 2016-01-06 14:00:00 0.3350 0.33590.3350  0.3359
>> 25   0.33554 0   2
>> 2016-01-06 14:30:00 0.3359 0.33590.3359  0.3359
>> 0   0.33590 0   0
>> 2016-01-06 15:00:00 0.3352 0.33520.3348  0.3352
>> 150   0.33492 0  15
>> 2016-01-06 15:30:00 0.3352 0.33520.3334  0.3341
>> 280   0.33364 0  24
>> 2016-01-06 16:00:00 0.3341 0.33750.3341  0.3370
>> 145   0.33543 0  17
>> 2016-01-06 16:30:00 0.3380 0.33850.3380  0.3385
>> 25   0.33830 0   3
>>
>> Many Thanks
>> Peter
>>
>>   [[alternative HTML version deleted]]
>>
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>
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Re: [R-SIG-Finance] Reading the GSW spot rates from fed 2006 website

[G See]

It might be easier to work with the .xls file that you can download
from a link on this page:
http://www.federalreserve.gov/pubs/feds/2006/200628/200628abs.html

hope it helps,
Garrett

On Sun, Oct 11, 2015 at 5:02 PM, Mahmoud Shammaa  wrote:
> Hello,
> Does anyone have any tips or suggestions regarding reading the rates that
> Gurkaynak, Sack and Wright are updating on this website:
> http://www.federalreserve.gov/econresdata/researchdata/feds200628_1.html
> While I know how to scrape an html page the issue is that they have the
> pages going from oldest to newest so It is not easily apparent where the
> latest data is:
> As of right now it is on page 29...
> http://www.federalreserve.gov/econresdata/researchdata/feds200628_29.html
> .
>
> the problem is that this will change
> What is even more frustrating that if you go to
> http://www.federalreserve.gov/econresdata/researchdata/feds200628_30.html
> data exists but it is not clear in what sequence ... it seems to be draft
> data..
>
> So I am not sure if anyone on this list has recommendations regarding
> unruly webpages ..
>
> Thanks,
> Mido Shammaa
>
> [[alternative HTML version deleted]]
>
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Re: [R-SIG-Finance] Constant maturity Futures

[G See]

I don't really remember how it works, to be honest. :-P  I wish I had
time to look into it.  2015-08-19 is 20 days ago, so I guess the 20
day CMF needs 20 days of data as it's currently implemented?

Sorry I can't be of more help.

Garrett

On Tue, Sep 8, 2015 at 9:30 AM, Ilya Kipnis <ilya.kip...@gmail.com> wrote:
> Hi Garrett,
>
> I just tested this code out and...it doesn't compute up to the most current
> day. As of now, the term.structure function ends at 2015-08-19. AKA in the
> last month. Is there a way to make it go up to the last day for which there
> is data available? Thanks.
>
> -Ilya
>
> On Thu, Aug 13, 2015 at 5:56 PM, G See <gsee...@gmail.com> wrote:
>>
>> Hi Samuel,
>>
>> Here's some code (also attached) that creates constant maturity
>> futures for VIX futures.  I wrote this code 4 years ago.  I'm not
>> particularly proud of it.  I don't know for sure that it works.  It
>> might not be elegant.  etc.  Take it for what it's worth.
>>
>> You should be able to source this code and get a time series plot of
>> several different CMFs of varying maturities.  You'll need my qmao
>> package which you can install with
>> devtools::install_github("gsee/qmao")
>>
>>
>> #' @export
>> #' @rdname primary2expiry
>> suffix2expiry <- function(suffix, root='VX', ...) {
>> if (exists(paste('suffix2expiry',root,sep="."))) {
>> do.call(paste('suffix2expiry',root,sep='.'),list(suffix, ...))
>> } else {
>> warning(paste(root, 'is not and available suffix2expiry
>> method; using "VX" instead'))
>> do.call('suffix2expiry.VX',list(suffix, ...))
>> }
>> }
>>
>> #' Get the expiration date of an instrument given it's primary_id
>> #'
>> #' \code{primary2expiry} is basically a wrapper for
>> \code{\link{suffix2expiry}}.  It uses
>> #' \code{\link[FinancialInstrument]{parse_id}} to split the
>> \code{primary_id} into rood_id and suffix_id.
>> #' then it calls the appropriate \code{\link{suffix2expiry}} method.
>> #'
>> #' \code{suffix2expiry} is a generic-like function.  There should be a
>> method defined
>> #' the "root_id".  Currently, written methods include "VX", "ES" (and
>> aliases "YM", "NQ").
>> #' There are links to methods help pages in the seealso section.
>> #'
>> #' @param primary_id character string.  Primary identifier of the
>> instrument
>> #' @param root character string. root symbol like "ES" or "VX" (NULL)
>> #' @param silent silence warnings? (TRUE)
>> #' @param suffix character string that indicates expiration month and
>> year (and, for options, right and strike).
>> #' See \code{\link[FinancialInstrument]{parse_suffix}} for examples of
>> acceptable formats.
>> #' @param ... any arguments to be passed to the \code{suffix2expiry}
>> method
>> #' @return expiration Date
>> #' @seealso \code{\link{suffix2expiry.VX}}, \code{\link{suffix2expiry.ES}}
>> #' @aliases primary2expiry, suffix2expiry
>> #' @author gsee
>> #' @examples
>> #' primary2expiry("ESU1")
>> #' suffix2expiry('V11', root='VX')
>> #' @export
>> #' @rdname primary2expiry
>> primary2expiry <- function(primary_id, root=NULL, silent=TRUE) {
>>   idlist <- parse_id(primary_id, silent=silent)
>>   if (is.null(root)) root <- idlist$root
>>   do.call(paste("suffix2expiry",root,sep='.'),
>> list(suffix=idlist$suffix, silent=silent))
>> }
>>
>>
>> #' VIX future contract expiration date
>> #'
>> #' Calculate the expiration date of a VIX future contract given a
>> suffix_id
>> #'
>> #' Per the contract specs, expiration will occur on \dQuote{the Wednesday
>> that
>> #' is thirty days prior to the third Friday of the calendar month
>> #' immediately following the month in which the contract expires
>> ("Final Settlement Date").
>> #' If the third Friday of the month subsequent to expiration of the
>> applicable
>> #' VIX futures contract is a CBOE holiday, the Final Settlement Date
>> for the contract
>> #' shall be thirty days prior to the CBOE business day immediately
>> preceding that Friday.}
>> #' @param suffix suffix_id that should be something like (\sQuote{U1},
>> \sQuote{U11}, or \sQuote{SEP11})
>> #' @param silent silence warnings? (TRUE)
>> #' @return an expiration Date
>> #' @author gsee
>> #' @references \url{http://cfe.cboe.com/products/spec_vix.aspx}
>> #' @examples
>> #'

Re: [R-SIG-Finance] Constant maturity Futures

[G See]

Hi Samuel,

Here's some code (also attached) that creates constant maturity
futures for VIX futures.  I wrote this code 4 years ago.  I'm not
particularly proud of it.  I don't know for sure that it works.  It
might not be elegant.  etc.  Take it for what it's worth.

You should be able to source this code and get a time series plot of
several different CMFs of varying maturities.  You'll need my qmao
package which you can install with
devtools::install_github(gsee/qmao)


#' @export
#' @rdname primary2expiry
suffix2expiry - function(suffix, root='VX', ...) {
if (exists(paste('suffix2expiry',root,sep=.))) {
do.call(paste('suffix2expiry',root,sep='.'),list(suffix, ...))
} else {
warning(paste(root, 'is not and available suffix2expiry
method; using VX instead'))
do.call('suffix2expiry.VX',list(suffix, ...))
}
}

#' Get the expiration date of an instrument given it's primary_id
#'
#' \code{primary2expiry} is basically a wrapper for
\code{\link{suffix2expiry}}.  It uses
#' \code{\link[FinancialInstrument]{parse_id}} to split the
\code{primary_id} into rood_id and suffix_id.
#' then it calls the appropriate \code{\link{suffix2expiry}} method.
#'
#' \code{suffix2expiry} is a generic-like function.  There should be a
method defined
#' the root_id.  Currently, written methods include VX, ES (and
aliases YM, NQ).
#' There are links to methods help pages in the seealso section.
#'
#' @param primary_id character string.  Primary identifier of the instrument
#' @param root character string. root symbol like ES or VX (NULL)
#' @param silent silence warnings? (TRUE)
#' @param suffix character string that indicates expiration month and
year (and, for options, right and strike).
#' See \code{\link[FinancialInstrument]{parse_suffix}} for examples of
acceptable formats.
#' @param ... any arguments to be passed to the \code{suffix2expiry} method
#' @return expiration Date
#' @seealso \code{\link{suffix2expiry.VX}}, \code{\link{suffix2expiry.ES}}
#' @aliases primary2expiry, suffix2expiry
#' @author gsee
#' @examples
#' primary2expiry(ESU1)
#' suffix2expiry('V11', root='VX')
#' @export
#' @rdname primary2expiry
primary2expiry - function(primary_id, root=NULL, silent=TRUE) {
  idlist - parse_id(primary_id, silent=silent)
  if (is.null(root)) root - idlist$root
  do.call(paste(suffix2expiry,root,sep='.'),
list(suffix=idlist$suffix, silent=silent))
}


#' VIX future contract expiration date
#'
#' Calculate the expiration date of a VIX future contract given a suffix_id
#'
#' Per the contract specs, expiration will occur on \dQuote{the Wednesday that
#' is thirty days prior to the third Friday of the calendar month
#' immediately following the month in which the contract expires
(Final Settlement Date).
#' If the third Friday of the month subsequent to expiration of the applicable
#' VIX futures contract is a CBOE holiday, the Final Settlement Date
for the contract
#' shall be thirty days prior to the CBOE business day immediately
preceding that Friday.}
#' @param suffix suffix_id that should be something like (\sQuote{U1},
\sQuote{U11}, or \sQuote{SEP11})
#' @param silent silence warnings? (TRUE)
#' @return an expiration Date
#' @author gsee
#' @references \url{http://cfe.cboe.com/products/spec_vix.aspx}
#' @examples
#' \dontrun{
#' suffix2expiry.VX('U11')
#' suffix2expiry.VX(JUN09)
#' }
#' @export
suffix2expiry.VX - suffix2expiry.VIX - function(suffix, silent=TRUE) {
#require('timeDate')
sl - parse_suffix(suffix,silent=silent)
DT - as.Date(paste(15, sl$month, sl$year,sep='-'),format=%d-%b-%Y)
Y - format(DT,%Y)
M - format((DT + 30),%m)
if (as.numeric(M) == 1) Y - paste(as.numeric(Y) + 1)
DS - as.Date(paste(Y,M,01,sep='-'))+0:22
DS - DS[months(DS, abbreviate=TRUE) == C2M()[as.numeric(M)]]
ds - which(weekdays(DS) == Friday)[3]
if (DS[ds] %in% as.Date(holidayNYSE(as.numeric(Y))@Data)) {
while (DS[ds] %in% as.Date(holidayNYSE(as.numeric(Y))@Data)
|| any(c('Saturday', 'Sunday') == weekdays(DS[ds])))
ds - ds-1
}
#try(detach(package:timeDate), silent=TRUE);
try(detach(package:timeSeries), silent=TRUE)
DS[ds] - 30
}





.interp.fut.VX - function(x1, x2, n=36, prefer='Close') {
xs - c(x1,x2) # names of 2 instruments
x1 - get(x1,pos=.GlobalEnv)
x2 - get(x2,pos=.GlobalEnv)

x1$DTE - primary2expiry(xs[1])-index(x1)#, index(x1)) #dlf(x1)
x2$DTE - primary2expiry(xs[2])-index(x2)#, index(x2)) #dlf(x2)
df - merge(x1$DTE,x2$DTE,all=FALSE)
df - na.omit(df)
if (length(df[,1])  length(df[,2])) {
Pcmf - xts()
if(all(df[,1]  df[,2])) {
col1 - 1
col2 - 2
} else if (all(df[,2]  df[,1])) {
col1 - 2
col2 - 1
} else stop(paste(ambiguous nearby contract,xs))
for (ns in n) {
idx - index(df[(df[,col1] = ns)  (df[,col2]  ns)])
if (length(idx) == 0) return(NULL)
w - 1/ns
P1 

Re: [R-SIG-Finance] getquote function

[G See]

Works for me, but it's not that unusual for different yahoo servers to
give different answers (which you don't have much control over).

getQuote(SPY, src=yahoo)
# Trade Time   Last Change % Change   Open   HighLow   Volume
#SPY 2015-07-27 12:10:00 206.93  -1.07   -0.51% 206.94 207.55 206.26 54683280

#devtools::install_github(gsee/qmao)
suppressPackageStartupMessages(library(qmao))

getQuote(SPY, src=google)
#  TradeTime   Last Change PctChg Exchange GoogleID
#SPY 2015-07-27 12:27:00 207.01  -0.99  -0.48 NYSEARCA   700145

getQuote(SPY, src=bats, what=bbo)
#  TradeTime BidSize BidPrice AskPrice AskSizeLast LastSize row.names
#1  12:27:011965  207   207.013135 207.005   18   SPY

Garrett

On Mon, Jul 27, 2015 at 11:23 AM, Samuel Wilson
samuelcoltwil...@gmail.com wrote:
 Quick question,

 Anyone else having trouble with getQuote function this morning (quantmod
 library)?

 Mine will not pull a current delayed quote, but is pulling last close.
 Worked on Friday, but today not.  Before I spend time troubling shooting, I
 want to figure out if anyone else is having this problem.

 [[alternative HTML version deleted]]

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Re: [R-SIG-Finance] Monthly Midpoint return

[G See]

Try this

data(sample_matrix) # load sample data first
x - as.xts(sample_matrix)

do.call(rbind, lapply(split(x, months),
  function(xx) xx[ceiling(nrow(xx)/2)]))

This code splits the object by months, then uses lapply() to loop over
each month and apply a function which selects the row that is in the
middle of the month.  (you could replace ceiling() with floor() or
round()).

Once you have the subsetted data, you can calculate returns however
you normally would (ROC(), Delt(), dailyReturn(), etc.)

HTH,
Garrett


On Wed, Jun 17, 2015 at 9:30 AM, Mark Knecht markkne...@gmail.com wrote:
 On Wed, Jun 17, 2015 at 7:23 AM, Phil Steel steelstee...@outlook.com wrote:



 Hi Brian and everybody else,
 its downloaded stock prices I want to transform to middle of month stock 
 price.
 endpoints give end of month doesn't it?if Im using endpoints I get a really 
 strange result with a lot of NA:s My Data starts with the 15:th som my idea 
 it transforming the data to.monthly somehow
 My function is (provided by Ulrich):
 monthly = function(x){  sym - sub(\\..*$, , names(x)[1])  
 Ad(to.monthly(x, indexAt = 'lastof', drop.time = TRUE, name = sym))}


 Possibly put the month in an array, determine the size of the array
 and then take the price/returns at the midpoint of the array? That way
 number of days in the month, holidays, etc. wouldn't matter much?

 - Mark

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Re: [R-SIG-Finance] Weird behavior of getSymbols for symbol PLL and PL

[G See]

Not reproducible for me.  I've got an older version of R and a newer
version of quantmod

$ R --vanilla -q
 suppressMessages(library(quantmod))
 options(getSymbols.warning4.0=FALSE)
 getSymbols(c(PLL, PL))
[1] PLL PL
 head(PLL)
   PLL.Open PLL.High PLL.Low PLL.Close PLL.Volume PLL.Adjusted
2007-01-0335.0835.19   34.53 34.89 66810030.77
2007-01-0434.6934.74   34.32 34.69 52150030.60
2007-01-0534.0034.25   33.61 33.75117160029.77
2007-01-0833.7233.74   33.23 33.71 65670029.73
2007-01-0933.9034.27   33.67 34.21 76500030.17
2007-01-1034.0034.15   33.77 34.07 70800030.05
 tail(PLL)
   PLL.Open PLL.High PLL.Low PLL.Close PLL.Volume PLL.Adjusted
2015-03-06   101.18   101.85   99.90100.17 510200   100.17
2015-03-09   100.10   100.42  100.00100.22 441700   100.22
2015-03-1098.7999.67   98.25 98.25 52960098.25
2015-03-1198.2598.37   97.54 97.91 44570097.91
2015-03-1298.5299.75   98.40 99.55 43860099.55
2015-03-1399.4599.79   98.54 99.61 43730099.61
 head(PL)
   PL.Open PL.High PL.Low PL.Close PL.Volume PL.Adjusted
2007-01-03   47.79   48.56  47.5047.95380100   39.01
2007-01-04   47.93   48.30  47.8248.00370300   39.05
2007-01-05   48.25   50.45  48.2550.35   1108300   40.96
2007-01-08   50.17   50.45  49.6249.76656300   40.48
2007-01-09   49.74   49.74  49.2349.61473200   40.36
2007-01-10   49.48   50.06  49.4349.67467100   40.41
 tail(PL)
   PL.Open PL.High PL.Low PL.Close PL.Volume PL.Adjusted
2015-01-23   69.94   69.96  69.9469.95   500   69.95
2015-01-26   69.95   69.95  69.9469.95630900   69.95
2015-01-27   69.95   69.98  69.9569.96643800   69.96
2015-01-28   69.98   69.98  69.9569.95975200   69.95
2015-01-29   69.98   69.98  69.9669.96915500   69.96
2015-01-30   69.99   70.01  69.9569.95   9516700   69.95

 sessionInfo()
R version 3.1.2 (2014-10-31)
Platform: x86_64-apple-darwin13.4.0 (64-bit)

locale:
[1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8

attached base packages:
[1] stats graphics  grDevices utils datasets  methods   base

other attached packages:
[1] quantmod_0.4-3 TTR_0.22-0 xts_0.9-7  zoo_1.7-11

loaded via a namespace (and not attached):
[1] grid_3.1.2  lattice_0.20-29

Garrett

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Re: [R-SIG-Finance] CUSIP Numbers

[G See]

Since this is an R mailing list, I'll try to bring this thread back on
topic.  Unless you are willing to pay, the only free source that I am
aware of to get CUSIPs via R is TradeKing.
https://developers.tradeking.com/documentation/market-ext-quotes-get-post

You must have an account, but you can create an account for free and
you don't have to fund it in order to do this.


library(ROAuth) #importFrom(ROAuth, OAuthFactory)
library(RJSONIO) #importFrom(RJSONIO, fromJSON)

#' ## This part could go in your .Rprofile
#' # Set your application keys # https://developers.tradeking.com/applications
#' cKey - ''
#' cSecret - '#'
#' oKey - ''
#' oSecret - ''

# Set the API endpoint
tkURL - https://api.tradeking.com/v1/market/ext/quotes.json;

# Create the OAuth connection - this is straight from the ROAuth
documentation on CRAN
credentials - OAuthFactory$new(consumerKey=cKey,
consumerSecret=cSecret,
oauthKey = oKey,
oauthSecret = oSecret,
needsVerifier=FALSE,
signMethod='HMAC')
# Update the connection so the handshake is TRUE
credentials$handshakeComplete - TRUE

Symbols - tolower(c(AAPL, MSFT)) ## Whatever symbols you want
symbols - paste(Symbols, collapse=,)

#what - datetime,bidsz,bid,ask,asksz,last,chg,pchg,opn,hi,lo,vl
what - cusip
what - gsub( , , tolower(paste(unlist(strsplit(what, ,)),
  collapse=,)))
tkURL - https://api.tradeking.com/v1/market/ext/quotes.json;
query - list(symbols=symbols, fids=what)
response - credentials$OAuthRequest(tkURL, query)
res - fromJSON(response)
qt - res$response$quotes$quote
qt

#[[1]]
# cusip   exch symbol
#59491810 NASD MSFT
#
#[[2]]
# cusip   exch symbol
#03783310 NASD AAPL

HTH,
Garrett

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Re: [R-SIG-Finance] RFC: quantmod::getSymbols.MySQL

[G See]

Hi Josh,

As you probably noticed, I updated getSymbols.FI() to use options a
couple weeks ago, but instead of using a single option that is a list,
I made a separate option for each function argument.  This allows two
things:  1) you can have different default values set for the from
argument (for example) of different getSymbols.*() methods. 2) It
doesn't change the old defaults.  i.e. getOption(someOption,
2014-01-01) will return the value of the option if it is set, or
2014-01-01 if not.

With your list structure, the default value has to be determined
inside the function, I suppose.

Here's the formal argument list for getSymbols.FI

 args(getSymbols.FI)
function (Symbols, from = getOption(getSymbols.FI.from, 2010-01-01),
to = getOption(getSymbols.FI.to, Sys.Date()), ..., dir =
getOption(getSymbols.FI.dir,
), return.class = getOption(getSymbols.FI.return.class,
xts), extension = getOption(getSymbols.FI.extension,
rda), split_method = getOption(getSymbols.FI.split_method,
c(days, common)), use_identifier =
getOption(getSymbols.FI.use_identifier,
NA), date_format = getOption(getSymbols.FI.date_format),
verbose = getOption(getSymbols.FI.verbose, TRUE), days_to_omit =
getOption(getSymbols.FI.days_to_omit,
c(Saturday, Sunday)), indexTZ = getOption(getSymbols.FI.indexTZ,
NA))


Garrett

On Wed, Oct 29, 2014 at 7:25 AM, Joshua Ulrich josh.m.ulr...@gmail.com wrote:
 As many of you know, the Defaults package was removed from CRAN on
 2014-10-03 at Jeff's request.  This broke a fair bit of functionality
 in quantmod, most of which I have addressed in recent commits on
 R-Forge.

 One issue I have not resolved is how to adapt getSymbols.MySQL to the
 new no-Defaults paradigm.  I will be taking over as maintainer of
 quantmod, so I am soliciting input from getSymbols.MySQL users.

 My proposed solution to getSymbols.MySQL is to look for specific
 option()s if certain arguments are missing.  I think this is the
 cleanest and most obvious solution, but am open to alternatives.  I
 would use the option structure below, with only the three arguments
 listed.

 options(quantmod.defaults = list(
   getSymbols.MySQL = list(
 user=josh,
 password=secret,
 dbname=stocks)
   )
 )

 Should I consider another option structure?  Should additional
 arguments be supported?  Anything else I'm missing?

 Thanks,
 --
 Joshua Ulrich  |  about.me/joshuaulrich
 FOSS Trading  |  www.fosstrading.com

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Re: [R-SIG-Finance] How can I get Japanese Stock Daily Data in R?

[G See]

You can get intraday data for the past few days from here:
http://k-db.com/stocks

Sorry, I don't use R to download that, but it should be trivial.

Hope this helps,
Garrett

On Fri, Oct 17, 2014 at 8:18 AM, Qi Li qi.l...@gmail.com wrote:
 Hi,
   I am also very interested in this data. Please also let me know if you
 have a solution. Thanks.

 Qi

 On Fri, Oct 17, 2014 at 8:52 AM, Eric (YEN-LIN) CHIU ndc24...@gmail.com
 wrote:

 As I know, RFinanceYJ cannot work properly since the format of Yahoo in
 Japan change the format of data.

 Every time I try to fetch data, it shows
 Error in order(financial.data$date) : argument 1 is not a vector

 The current solution I found is in here:

 http://rstudio-pubs-static.s3.amazonaws.com/6475_3034596b267b4a7587cefd3b8ed4ba25.html

 But it is not convenient to choose date or change the data into xts object.
 I notice google finance has Japanese stock data, but getSymbols cannot
 access the data either.
 I tried getSymbols(TYO:4689), but it cannot open the URL.

 Could anyone please give me some advice for this? Thanks.

 Eric

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Re: [R-SIG-Finance] 'Defaults' removed from CRAN? (2014-10-03)

[G See]

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] How to download options data in R from a csv list of underlying stock symbols?

[G See]

Please don't cross post:
http://stackoverflow.com/questions/26091219/how-to-download-options-data-in-r-from-a-csv-list-of-underlying-stock-symbols

On Sun, Sep 28, 2014 at 8:11 PM, Liu carloslew...@gmail.com wrote:
 Hello everyone,


 I've recently joined this mailing list for quantstrat. I hope not to ask
 repetitive question but I haven't googled any effective solutions yet.


 I have a csv file containing 100 stock symbols. I want to download the
 option chains of each underlying including price, volume, IV, HV etc.
 Hopefully with greeks too. EOD data from yahoo finance would be adequate
 for now. I’m using R 3.1.1 on Windows 8, 64 bit.



 At first, I tried “quantmod” using “getSymbols”, as a result I have got a
 vector of stock symbols.



 ticker-read.csv(C:/User/User/Documents/equity ticker.csv)

 getSymbols(ticker, from=”2014-09-01”, to=Sys.date())



 But it is not numerical options data, but just character symbols. (I might
 understand it wrongly, please correct if I misuse getSymbols or other
 functions)



 Then I tried “yahoo_opt” 
 http://page.math.tu-berlin.de/~mkeller/index.php?target=rcode, but this
 script requires “fCalander” which is no longer available in CRAN. I
 downloaded the achive from here 
 http://cran.r-project.org/src/contrib/Archive/fCalendar/  But I couldn’t
 install it. The last version of “fCalander” seemed to be compatible with R
 2.2, therefore I was unable to run the R file.



 Please help with using quantmod/quantstrat more effectively, or other
 available methods to download those options data. By the way how can I
 search the old posts in this mailing list? Thank you.


 Carlos

 [[alternative HTML version deleted]]

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Re: [R-SIG-Finance] How to download options data in R from a csv list of underlying stock symbols?

[G See]

getOptionChain() only provides the most recent quote, not historical
time series data.  That's why I didn't answer your question on SO. ;-)

Sorry,
Garrett

On Sun, Sep 28, 2014 at 9:27 PM, Liu carloslew...@gmail.com wrote:
 Hello G See,
 May I ask about the usage of getOptionChain? If I want to download a whole
 month options EOD data, what do I do? I tried:
 AA-getOptionChain(tick[1],from=2014-09-01,to=2014-09-28)
 but it only returns 1 day option chain data, which is same as:
 AA-getOptionChain(tick[1])

 Thank you
 Carlos

 On Sun, Sep 28, 2014 at 10:05 PM, G See gsee...@gmail.com wrote:

 Please don't cross post:

 http://stackoverflow.com/questions/26091219/how-to-download-options-data-in-r-from-a-csv-list-of-underlying-stock-symbols

 On Sun, Sep 28, 2014 at 8:11 PM, Liu carloslew...@gmail.com wrote:
  Hello everyone,
 
 
  I've recently joined this mailing list for quantstrat. I hope not to ask
  repetitive question but I haven't googled any effective solutions yet.
 
 
  I have a csv file containing 100 stock symbols. I want to download the
  option chains of each underlying including price, volume, IV, HV etc.
  Hopefully with greeks too. EOD data from yahoo finance would be adequate
  for now. I’m using R 3.1.1 on Windows 8, 64 bit.
 
 
 
  At first, I tried “quantmod” using “getSymbols”, as a result I have got
  a
  vector of stock symbols.
 
 
 
  ticker-read.csv(C:/User/User/Documents/equity ticker.csv)
 
  getSymbols(ticker, from=”2014-09-01”, to=Sys.date())
 
 
 
  But it is not numerical options data, but just character symbols. (I
  might
  understand it wrongly, please correct if I misuse getSymbols or other
  functions)
 
 
 
  Then I tried “yahoo_opt” 
  http://page.math.tu-berlin.de/~mkeller/index.php?target=rcode, but this
  script requires “fCalander” which is no longer available in CRAN. I
  downloaded the achive from here 
  http://cran.r-project.org/src/contrib/Archive/fCalendar/  But I
  couldn’t
  install it. The last version of “fCalander” seemed to be compatible with
  R
  2.2, therefore I was unable to run the R file.
 
 
 
  Please help with using quantmod/quantstrat more effectively, or other
  available methods to download those options data. By the way how can I
  search the old posts in this mailing list? Thank you.
 
 
  Carlos
 
  [[alternative HTML version deleted]]
 
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Re: [R-SIG-Finance] How to download options data in R from a csv list of underlying stock symbols?

[G See]

That's not really an R question, but you could get historical options
prices with the IBrokers package if you have an Interactive Brokers
account, or with the Rbbg package if you have a Bloomberg.

Garrett

On Sun, Sep 28, 2014 at 9:35 PM, Liu carloslew...@gmail.com wrote:
 That's a pity. Do you know any alternative tools/methods to get the
 historical data?
 Thanks


 On Sunday, September 28, 2014, G See gsee...@gmail.com wrote:

 getOptionChain() only provides the most recent quote, not historical
 time series data.  That's why I didn't answer your question on SO. ;-)

 Sorry,
 Garrett

 On Sun, Sep 28, 2014 at 9:27 PM, Liu carloslew...@gmail.com wrote:
  Hello G See,
  May I ask about the usage of getOptionChain? If I want to download a
  whole
  month options EOD data, what do I do? I tried:
  AA-getOptionChain(tick[1],from=2014-09-01,to=2014-09-28)
  but it only returns 1 day option chain data, which is same as:
  AA-getOptionChain(tick[1])
 
  Thank you
  Carlos
 
  On Sun, Sep 28, 2014 at 10:05 PM, G See gsee...@gmail.com wrote:
 
  Please don't cross post:
 
 
  http://stackoverflow.com/questions/26091219/how-to-download-options-data-in-r-from-a-csv-list-of-underlying-stock-symbols
 
  On Sun, Sep 28, 2014 at 8:11 PM, Liu carloslew...@gmail.com wrote:
   Hello everyone,
  
  
   I've recently joined this mailing list for quantstrat. I hope not to
   ask
   repetitive question but I haven't googled any effective solutions
   yet.
  
  
   I have a csv file containing 100 stock symbols. I want to download
   the
   option chains of each underlying including price, volume, IV, HV etc.
   Hopefully with greeks too. EOD data from yahoo finance would be
   adequate
   for now. I’m using R 3.1.1 on Windows 8, 64 bit.
  
  
  
   At first, I tried “quantmod” using “getSymbols”, as a result I have
   got
   a
   vector of stock symbols.
  
  
  
   ticker-read.csv(C:/User/User/Documents/equity ticker.csv)
  
   getSymbols(ticker, from=”2014-09-01”, to=Sys.date())
  
  
  
   But it is not numerical options data, but just character symbols. (I
   might
   understand it wrongly, please correct if I misuse getSymbols or
   other
   functions)
  
  
  
   Then I tried “yahoo_opt” 
   http://page.math.tu-berlin.de/~mkeller/index.php?target=rcode, but
   this
   script requires “fCalander” which is no longer available in CRAN. I
   downloaded the achive from here 
   http://cran.r-project.org/src/contrib/Archive/fCalendar/  But I
   couldn’t
   install it. The last version of “fCalander” seemed to be compatible
   with
   R
   2.2, therefore I was unable to run the R file.
  
  
  
   Please help with using quantmod/quantstrat more effectively, or other
   available methods to download those options data. By the way how can
   I
   search the old posts in this mailing list? Thank you.
  
  
   Carlos
  
   [[alternative HTML version deleted]]
  
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Re: [R-SIG-Finance] IBrokers Problem

[G See]

I don't know; it works for me.  Does reqCurrentTime(tws) return the
current time?

Garrett

 tws - ibgConnect()
 reqCurrentTime(tws)
[1] 2013-12-09 09:04:37 CST
 reqContractDetails(tws, twsEquity(QQQ))
[[1]]
List of 18
 $ version   : chr 6
 $ contract  :List of 16
  ..$ conId  : chr 43661924
  ..$ symbol : chr QQQ
  ..$ sectype: chr STK
  ..$ exch   : chr SMART
  ..$ primary: chr NASDAQ
  ..$ expiry : chr 
  ..$ strike : chr 0
  ..$ currency   : chr USD
  ..$ right  : chr 
  ..$ local  : chr QQQ
  ..$ multiplier : chr 
  ..$ combo_legs_desc: chr 
  ..$ comboleg   : chr 
  ..$ include_expired: chr 0
  ..$ secIdType  : chr 
  ..$ secId  : chr 
  ..- attr(*, class)= chr twsContract
 $ marketName: chr NMS
 $ tradingClass  : chr NMS
 $ conId : chr 43661924
 $ minTick   : chr 0.01
 $ orderTypes: chr [1:49] ACTIVETIM ADJUST ALERT ALGO ...
 $ validExchanges: chr [1:17] SMART ISE CHX ARCA ...
 $ priceMagnifier: chr 1
 $ underConId: chr 0
 $ longName  : chr POWERSHARES QQQ NASDAQ 100
 $ contractMonth : chr 
 $ industry  : chr Funds
 $ category  : chr Equity Fund
 $ subcategory   : chr Sector Fund-Technology
 $ timeZoneId: chr EST
 $ tradingHours  : chr 20131209:0400-2000;20131210:0400-2000
 $ liquidHours   : chr 20131209:0930-1600;20131210:0930-1600

On Mon, Dec 9, 2013 at 7:47 AM, Michael Smith my.r.h...@gmail.com wrote:
 Thanks for the quick reply, but R still hangs after running this command
 with the new ticker.

 Best,
 Michael


 On 12/09/2013 09:29 PM, G See wrote:
 The ticker for that ETF changed to QQQ on March 23, 2011

 Try reqContractDetails(tws, twsEquity(QQQ))

 Best,
 Garrett

 On Mon, Dec 9, 2013 at 7:27 AM, Michael Smith my.r.h...@gmail.com wrote:
 All,

 I'm trying to better understand how to use the IBrokers package by going
 through the `IBrokers.pdf` vignette. I'm using the demo version of TWS
 (login `edemo`). TWS seems to be running fine. However, I get stuck at
 the following command from the vignette:

 reqContractDetails(tws, twsEquity())

 R just seems to hang and I don't get any further response. My
 sessionInfo is below. I'm using the most current IBrokers from Google Code.

 Am I doing something wrong, or is this not supposed to work with the TWS
 demo version?

 Thanks,
 Michael


 sessionInfo()
 R version 3.0.2 (2013-09-25)
 Platform: x86_64-redhat-linux-gnu (64-bit)

 locale:
  [1] LC_CTYPE=en_US.utf8   LC_NUMERIC=C
 LC_TIME=en_US.utf8
  [4] LC_COLLATE=en_US.utf8 LC_MONETARY=en_US.utf8
 LC_MESSAGES=en_US.utf8
  [7] LC_PAPER=en_US.utf8   LC_NAME=C LC_ADDRESS=C

 [10] LC_TELEPHONE=CLC_MEASUREMENT=en_US.utf8
 LC_IDENTIFICATION=C

 attached base packages:
 [1] stats graphics  grDevices utils datasets  methods   base

 other attached packages:
 [1] IBrokers_0.9-11 xts_0.9-7   zoo_1.7-10  colorout_1.0-1

 loaded via a namespace (and not attached):
 [1] grid_3.0.2  lattice_0.20-24 tools_3.0.2

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Re: [R-SIG-Finance] IBrokers Problem

[G See]

Yup.  Works fine for me with the demo account on Ubuntu.

Have you tried restarting the TWS?  (while you're at it, you might
consider using IB Gateway instead since it doesn't log you out every
day)

 sessionInfo()
R version 3.0.2 (2013-09-25)
Platform: x86_64-pc-linux-gnu (64-bit)

locale:
 [1] LC_CTYPE=en_US.UTF-8   LC_NUMERIC=C
 [3] LC_TIME=en_US.UTF-8LC_COLLATE=en_US.UTF-8
 [5] LC_MONETARY=en_US.UTF-8LC_MESSAGES=en_US.UTF-8
 [7] LC_PAPER=en_US.UTF-8   LC_NAME=C
 [9] LC_ADDRESS=C   LC_TELEPHONE=C
[11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C

attached base packages:
[1] stats graphics  grDevices utils datasets  methods   base

other attached packages:
[1] IBrokers_0.9-11 xts_0.9-7   zoo_1.7-11

loaded via a namespace (and not attached):
[1] grid_3.0.2  lattice_0.20-18


Sorry I can't be of more assistance,

Garrett

On Mon, Dec 9, 2013 at 5:25 PM, Michael Smith my.r.h...@gmail.com wrote:
 Does it work for you in the demo TWS version as well?

 For me, `reqCurrentTime` works fine in the demo TWS version, like all
 the other examples in the vignette, except for `twsFuture`.

 reqCurrentTime(tws)
 TWS Message: 2 -1 2104 Market data farm connection is OK:ibdemo
 TWS Message: 2 -1 2106 HMDS data farm connection is OK:demohmds
 [1] 2013-12-10 07:14:29 HKT

 Interestingly, when I run the following code, I get some feedback from
 the Unix shell that runs TWS.

 tws - twsConnect()
 reqContractDetails(tws, twsEquity(QQQ)) # R hangs here.
 ^C
 twsDisconnect(tws)

 So when I run `twsDisconnect` (only after running `reqContractDetails`)
 in the example above, I get the following output in the Unix shell from
 Java:

 07:23:13:870 JTS-EServerSocket-157: [1:47:67:1:0:0:0:ERR] Message type
 1.  Attempted read beyond end of socket stream -
 07:23:13:870 JTS-EServerSocket-157: Anticipated error
 jextend.c: Attempted read beyond end of socket stream -
 at jextend.tb.b(tb.java:307)
 at jextend.hf.eb(hf.java:1316)
 at jextend.hf.run(hf.java:1251)
 at java.lang.Thread.run(Thread.java:744)
 Caused by: java.io.EOFException
 at jextend.tb.c(tb.java:541)
 at jextend.tb.r(tb.java:183)
 at jextend.wd.a(wd.java:188)
 at jextend.tb.d(tb.java:613)
 at jextend.uc.a(uc.java:177)
 at jextend.tb.b(tb.java:304)
 ... 3 more
 07:23:13:871 JTS-EServerSocket-157: [1:47:67:1:0:0:0:SYS] Client{1}
 terminated conversation.
 07:23:13:871 JTS-EServerSocketNotifier-156: Terminating


 Thanks,
 Michael



 On 12/09/2013 11:06 PM, G See wrote:
 I don't know; it works for me.  Does reqCurrentTime(tws) return the
 current time?

 Garrett

 tws - ibgConnect()
 reqCurrentTime(tws)
 [1] 2013-12-09 09:04:37 CST
 reqContractDetails(tws, twsEquity(QQQ))
 [[1]]
 List of 18
  $ version   : chr 6
  $ contract  :List of 16
   ..$ conId  : chr 43661924
   ..$ symbol : chr QQQ
   ..$ sectype: chr STK
   ..$ exch   : chr SMART
   ..$ primary: chr NASDAQ
   ..$ expiry : chr 
   ..$ strike : chr 0
   ..$ currency   : chr USD
   ..$ right  : chr 
   ..$ local  : chr QQQ
   ..$ multiplier : chr 
   ..$ combo_legs_desc: chr 
   ..$ comboleg   : chr 
   ..$ include_expired: chr 0
   ..$ secIdType  : chr 
   ..$ secId  : chr 
   ..- attr(*, class)= chr twsContract
  $ marketName: chr NMS
  $ tradingClass  : chr NMS
  $ conId : chr 43661924
  $ minTick   : chr 0.01
  $ orderTypes: chr [1:49] ACTIVETIM ADJUST ALERT ALGO ...
  $ validExchanges: chr [1:17] SMART ISE CHX ARCA ...
  $ priceMagnifier: chr 1
  $ underConId: chr 0
  $ longName  : chr POWERSHARES QQQ NASDAQ 100
  $ contractMonth : chr 
  $ industry  : chr Funds
  $ category  : chr Equity Fund
  $ subcategory   : chr Sector Fund-Technology
  $ timeZoneId: chr EST
  $ tradingHours  : chr 20131209:0400-2000;20131210:0400-2000
  $ liquidHours   : chr 20131209:0930-1600;20131210:0930-1600

 On Mon, Dec 9, 2013 at 7:47 AM, Michael Smith my.r.h...@gmail.com wrote:
 Thanks for the quick reply, but R still hangs after running this command
 with the new ticker.

 Best,
 Michael


 On 12/09/2013 09:29 PM, G See wrote:
 The ticker for that ETF changed to QQQ on March 23, 2011

 Try reqContractDetails(tws, twsEquity(QQQ))

 Best,
 Garrett

 On Mon, Dec 9, 2013 at 7:27 AM, Michael Smith my.r.h...@gmail.com wrote:
 All,

 I'm trying to better understand how to use the IBrokers package by going
 through the `IBrokers.pdf` vignette. I'm using the demo version of TWS
 (login `edemo`). TWS seems to be running fine. However, I get stuck at
 the following command from the vignette:

 reqContractDetails(tws, twsEquity())

 R just seems to hang and I don't get any further response. My
 sessionInfo is below. I'm using the most current IBrokers from Google 
 Code.

 Am I doing something wrong, or is this not supposed to work with the TWS
 demo version

Re: [R-SIG-Finance] Introducing TFX: An R Interface to the TrueFX Web API

[G See]

Because you've pasted a right single quote unicode symbol instead of
typing an apostrophe.

When I copy/paste from the command you entered, I get

R charToRaw(’)
[1] e2 80 99

When I type an apostrophe using the keyboard, I get

R charToRaw(')
[1] 27

Try typing your command instead of copy/pasting it.

Hope this helps,
Garrett

On Wed, Nov 27, 2013 at 10:37 PM, veepsirtt veepsi...@gmail.com wrote:
 Hello Gsee,
 Why I am getting this error?.
 unexpected input in QueryTrueFX(ConnectTrueFX(username=’
 ---

  ## Cannot run these because there may not be an internet connection
  ## Not run:
 library(TFX)
 QueryTrueFX() #unauthenticated
 Symbol Bid.Price Ask.Price  High   Low   TimeStamp
 1  EUR/USD   1.35773   1.35781   1.35804   1.35634 2013-11-28 04:29:35
 2  USD/JPY 102.05800 102.06400 102.29100 101.93300 2013-11-28 04:29:38
 3  GBP/USD   1.63036   1.63055   1.63074   1.62763 2013-11-28 04:29:35
 4  EUR/GBP   0.83265   0.83282   0.83436   0.83235 2013-11-28 04:29:35
 5  USD/CHF   0.90768   0.90784   0.90874   0.90725 2013-11-28 04:29:40
 6  EUR/JPY 138.56800 138.58300 138.84900 138.29900 2013-11-28 04:29:35
 7  EUR/CHF   1.23241   1.23266   1.23308   1.23195 2013-11-28 04:29:35
 8  USD/CAD   1.05844   1.05867   1.05987   1.05746 2013-11-28 04:29:34
 9  AUD/USD   0.91259   0.91270   0.91411   0.90742 2013-11-28 04:29:34
 10 GBP/JPY 166.38900 166.42000 166.61000 165.95600 2013-11-28 04:29:35
  QueryTrueFX(pretty=FALSE)
 $Symbol
  [1] EUR/USD USD/JPY GBP/USD EUR/GBP USD/CHF EUR/JPY EUR/CHF
 USD/CAD AUD/USD GBP/JPY

 $BidBigNumber
  [1] 1.35 102. 1.63 0.83 0.90 138. 1.23 1.05 0.91 166.

 $BidPip
  [1] 773 058 036 265 768 568 241 844 259 389

 $OfferBigNumber
  [1] 1.35 102. 1.63 0.83 0.90 138. 1.23 1.05 0.91 166.

 $OfferPip
  [1] 781 064 055 282 784 583 266 867 270 420

 $High
  [1] 1.35804 102.291 1.63074 0.83436 0.90874 138.849 1.23308
 1.05987 0.91411 166.610

 $Low
  [1] 1.35634 101.933 1.62763 0.83235 0.90725 138.299 1.23195
 1.05746 0.90742 165.956

 $TimeStamp
  [1] 1385612975232 1385612978277 1385612975780 1385612975128
 1385612980409 1385612975181
  [7] 1385612975905 1385612974630 1385612974758 1385612975675

  QueryTrueFX(parse=FALSE)
 [1]
 EUR/USDUSD/JPYGBP/USDEUR/GBPUSD/CHFEUR/JPYEUR/CHFUSD/CADAUD/USDGBP/JPY1.35102.1.630.830.90138.1.231.050.91166.7690580362627735672398442593891.35102.1.630.830.90138.1.231.050.91166.7770640552787875812638672704201.35804102.2911.630740.834360.90874138.8491.233081.059870.91411166.6101.35634101.9331.627630.832350.90725138.2991.231951.057460.90742165.9561385612981970138561297827713856129820241385612981995138561298220413856129818141385612981814138561297463013856129747581385612975675

  ## For authenticated session, you must have a username and password
 (it’s free).
  ## Use your username and passward instead of JSTrader and Ou812

 id - ConnectTrueFX(’EUR/USD,GBP/USD’,
 username=’veepsirtt’,password=’veeps203’)
 Error: unexpected input in id - ConnectTrueFX(’
  QueryTrueFX(id)
Symbol Bid.Price Ask.PriceHigh Low   TimeStamp
 1 EUR/USD   1.35769   1.35777 1.35804 1.35634 2013-11-28 04:29:52
 2 GBP/USD   1.63031   1.63048 1.63074 1.62763 2013-11-28 04:29:52
 id
 environment: 0x10459290
 attr(,class)
 [1] TFXsession  environment
 QueryTrueFX(ConnectTrueFX(username=’veepsirtt’,
 password=’veeps203’,format=’csv’), arse=FALSE)
 Error: unexpected input in QueryTrueFX(ConnectTrueFX(username=’
 QueryTrueFX(ConnectTrueFX(username=’veepsirtt’,
 password=’veeps203’,format=’html’), arse=FALSE)
 Error: unexpected input in QueryTrueFX(ConnectTrueFX(username=’





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Re: [R-SIG-Finance] Introducing TFX: An R Interface to the TrueFX Web API

[G See]

you entered a less than sign instead of an assignment operator.

instead of
  id  ConnectTrueFX(...
it should be
  id - ConnectTrueFX(...


On Wed, Nov 27, 2013 at 11:10 PM, veepsirtt veepsi...@gmail.com wrote:
 id  ConnectTrueFX(EUR/USD,username=veepsirtt,password=veeps203)
 Error in id  ConnectTrueFX(EUR/USD, username = veepsirtt, password =
 veeps203) :
   comparison (3) is possible only for atomic and list types




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Re: [R-SIG-Finance] Introducing TFX: An R Interface to the TrueFX Web API

[G See]

Try typing that command.  Your single quote is a weird character.  Try this:

id - ConnectTrueFX('EUR/USD,GBP/USD', username='veepsirtt',
  password='veeps203')

On Tue, Nov 26, 2013 at 3:47 AM, veepsirtt veepsi...@gmail.com wrote:
 Hello gsee,

 I tryied the examples given in your documentation.
 But I am getting errors.
 what is the problem?
 With regards
 veepsirtt.
 

 ## Cannot run these because there may not be an internet connection
 ## Not run:
 library(TFX)
 QueryTrueFX() #unauthenticated
 QueryTrueFX(pretty=FALSE)
 QueryTrueFX(parse=FALSE)

 ## For authenticated session, you must have a username and password (it’s
 free).
 ## Use your username and passward instead of JSTrader and Ou812

 id - ConnectTrueFX(’EUR/USD,GBP/USD’, username=’veepsirtt’,
 password=’veeps203’)
 QueryTrueFX(id)
 QueryTrueFX(ConnectTrueFX(username=’veepsirtt’,
 password=’veeps203’,format=’csv’), parse=FALSE)
 QueryTrueFX(ConnectTrueFX(username=’veepsirtt’,
 password=’veeps203’,format=’html’), parse=FALSE)
 ## If you have shiny installed
 ## install.packages(shiny, repos=http://rstudio.org/_packages;)
 library(shiny)

 runGist(4122626)

 ## view the code for this shiny app at
 #browseURL(https://gist.github.com/4122626;)
 ## End(Not run)--



 RESULTS***
 source('~/.active-rstudio-document', echo=TRUE)
 Error in source(~/.active-rstudio-document, echo = TRUE) :
   ~/.active-rstudio-document:11:21: unexpected input
 10:
 11: id - ConnectTrueFX(�
^
 sessionInfo()
 R version 2.15.3 (2013-03-01)
 Platform: x86_64-pc-linux-gnu (64-bit)

 locale:
  [1] LC_CTYPE=en_US.UTF-8   LC_NUMERIC=C
 LC_TIME=en_US.UTF-8LC_COLLATE=en_US.UTF-8
  [5] LC_MONETARY=en_US.UTF-8LC_MESSAGES=en_US.UTF-8LC_PAPER=C
 LC_NAME=C
  [9] LC_ADDRESS=C   LC_TELEPHONE=C
 LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C

 attached base packages:
 [1] stats graphics  grDevices utils datasets  methods   base

 other attached packages:
  [1] shiny_0.8.0 TFX_0.1.0   ggplot2_0.9.3.1 xtsExtra_0.0-1
 tseries_0.10-32 quantmod_0.4-0
  [7] TTR_0.21-1  xts_0.9-3   zoo_1.7-9   Defaults_1.1-1

 loaded via a namespace (and not attached):
  [1] bitops_1.0-4.1 caTools_1.13   colorspace_1.2-0
 dichromat_1.2-4digest_0.5.2
  [6] grid_2.15.3gtable_0.1.1   httpuv_1.2.0   labeling_0.1
 lattice_0.20-13
 [11] MASS_7.3-23munsell_0.4plyr_1.7.1 proto_0.3-9.2
 quadprog_1.5-5
 [16] RColorBrewer_1.0-5 Rcpp_0.10.2reshape2_1.2.1 RJSONIO_1.0-1
 scales_0.2.3
 [21] stringr_0.6.1  tools_2.15.3   XML_3.98-1.1   xtable_1.7-0






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Re: [R-SIG-Finance] Do the blotter demos work?

[G See]

Looks like it's built on r-forge.  You should be able to install it with

install.packages(blotter, repos=http://r-forge.r-project.org;)

Regards,
Garrett

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Re: [R-SIG-Finance] day/month/year functions?

[G See]

I'd guess they come from lubridate.  Although, they exist is a few packages.

findFn() from the sos package is really good for finding out where a
function comes from.

library(sos)
findFn(day)

# it works better for functions with more obscure names.

Garrett


On Mon, Jul 22, 2013 at 7:15 PM, Mark Knecht markkne...@gmail.com wrote:
 Hi,
I've got a piece of old code I'm trying to resurrect which contains
 this function to convert R dates to TradeStation dates:

 function (MyDate) {
 ThisDay = day(MyDate)
 ThisMonth = month(MyDate)
 ThisYear = year(MyDate)
 TSDate = (ThisYear - 1900)*1 + ThisMonth*100 + ThisDay
 return(TSDate)
 }

 However I don't have the day/month/year functions and so far haven't
 found them searching using ??day, etc.

 Does anyone recognize these as coming from a package that for some
 reason might not be showing up using ??-type searching?

 Thanks,
 Mark

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Re: [R-SIG-Finance] qmao and earnings.com problem

[G See]

That's very disappointing.  Thanks for the heads up.

Garrett

On Sun, Jul 7, 2013 at 6:34 PM, TheTerrible ivan...@bit-of-light.com wrote:
 Hi All,

 It looks Earnings.com does not exist anymore - redirected to reuters.
 So qmao package doesn't work.

 Is there still a way to get earnings info from any free source?

 Thanks in advance,
 Ivan



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Re: [R-SIG-Finance] Delete bad dividend row

[G See]

Hi Frank,

There are a few ways to do it.

library(quantmod)
div - getDividends(PM, from=2010-01-01)

# find the row(s) you want to remove and use negative indexing
div[-12]
div[-which(div == 0.039)]
div[-div[2012-12-20, which.i=TRUE]]

# exclude specific date by passing logical vector to [.xts
div[!index(div) %in% as.Date(2012-12-20)]

# exclude specific weekdays
div[weekdays(index(div)) != Thursday]
div[as.POSIXlt(index(div))$wday != 4]

# exclude amounts smaller than some arbitrary number
div[div  0.1]
# exclude specific amount
div[div != 0.039]

HTH,
Garrett

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Re: [R-SIG-Finance] cut range from time objects

[G See]

Hi Dominykas

I would try the below as my first attempt.

library(xts)
library(timeSeries)
Sys.setenv(TZ=GMT)
temp - xts(1:84, timeCalendar(m=1, d=rep(1:7,each=12),h = seq(0,23,2)))

# Monday through Thursday
mt - temp[.indexwday(temp) %in% 1:4]

# Friday 00:00:00/20:00:00
f - temp[.indexwday(temp) == 5L][T00:00:00/T20:00:00]

# Sunday 20:00:00/24:00:00
s - temp[.indexwday(temp) == 0L][T20:00:00.000/T23:59:59.999]

out - rbind(mt, f, s)

# check answer by adding a column with weekday (0-6 starting on Sunday)
colnames(out) - temp # have to have a column name to do the next step
out$wday - .indexwday(out)
# Now you can look at the output and see that the only times where wday is 0
# are 20:00 or later, and the only times where wday is 5 are 20:00 or earlier
out

Hope this helps,
Garrett



On Sun, Jun 23, 2013 at 10:02 AM, Dominykas Grigonis
dominykasgrigo...@gmail.com wrote:
 Dear all,

 I have come across the issue and I hope you will be able to help me.

 I have minute data and unfortunately it has weekends in it and unfortunately 
 the values on weekend are not 0s and not NAs, but rather last trading price 
 of friday. I want to cut the ranges out as it slows down strategy testing.

 Say we have xts object with timeDate index
 temp - xts(1:84, timeCalendar(m=1, d=rep(1:7,each=12),h = seq(0,23,2)))


 I want to cut rows from friday 20:00 to sunday 20:00.
 I started writing function, but it just does not seem right…

 filtertime - function(x, rwd - 5/2, rt - 0800/1400){
 is.within   - function(x){
 value   - hour(x)*60+minute(x)
 (value  range[1]  value  range[2])}
 rwd - as.numeric(strsplit(rwd,/)[[1]])
 rt  - as.numeric(strsplit(rt,/)[[1]])
 rt  - (rt%/%100)*60+(rt%%100)
 time- index(x)
 if(rwd[1]rwd[2]){ wsq - c((rwd[1]:7), (1:rwd[2]))
 }else{wsq - rwd[1]:rwd[2]}
 wweek   - sapply(time, function(x){x[all(dayOfWeek(x) != wsq)]})
 wweek   - x[all(dayOfWeek(x) != wsq)]

 }
 I am not looking for help on this function, I hope someone could suggest some 
 efficient way to solve my problem as I am working on 1 year 1minute data.
 Thank you in advance.

 Kind regards,--
 Dominykas Grigonis


 [[alternative HTML version deleted]]


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Re: [R-SIG-Finance] create new columns xts

[G See]

It might be nice if `[[-` worked on zoo/xts objects like it does on a
data.frame.
For example,

X - as.data.frame(temp)
n - 1
X[[paste0(sma., n)]] - SMA(X[[1]])
tail(X)

But, with zoo/xts objects, temp[[1]] refers to the 1st row of the 1st column.

I _think_ the closest you can get is to pass dimnames= through a new
xts call like this:

merge(temp, xts(SMA(temp), dimnames=list(NULL, paste0(sma., n

It's a shame that the availability of dimnames= is so hidden (and that it has
to be specified as a list, which is a little weird.)

You probably also wanted your `temp` object to have colnames; otherwise,
temp$sma - SMA(temp) wouldn't work.  Instead of doing that with
colnames(temp) - temp you could do it when you create the object which can
sometimes be more convenient.

temp - xts(1:84, timeCalendar(m=1, d=rep(1:7,each=12),h = seq(0,23,2)),
dimnames=list(NULL, temp))

Garrett

On Sun, Jun 23, 2013 at 11:34 AM, Dominykas Grigonis
dominykasgrigo...@gmail.com wrote:
 One more question, that will get me going.

 temp - xts(1:84, timeCalendar(m=1, d=rep(1:7,each=12),h = seq(0,23,2)))

 I need to add named column, say SMA(temp)

 nice way to do this is temp$sma - SMA(temp)

 however it is inside a function and it might have different SMAs, so I want 
 to adda column named paste0(sma.,n)

 temp$paste0(sma.,n) - SMA(temp)
 temp[,paste0(sma.,n)] - SMA(temp)

 does not work

 it is an option to use merge
 merge(temp,SMA(temp))
 and then colnames

 However my question is whether it is possible to use temp$paste0(sma.,n) - 
 SMA(temp) in some way.
 I tried  temp$as.name(paste0(sma.,n)) and similar options...

 Thank you.

 Kind regards,--
 Dominykas Grigonis


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Re: [R-SIG-Finance] qmao installation failure

[G See]

BTW, this Warning (as opposed to error) in getEPS()

Warning message:
In readLines(tmp) :
  incomplete final line found on
'C:\Users\BAM\AppData\Local\Temp\RtmpC0laFg\file111060ec69e2'

actually comes from getFinancials().  It's harmless, but could be
avoided if getFinancials() were patched to use warn=FALSE in the
readLines() call.


Josh, Jeff,

Line 13 of getFinancials.R could be changed from

Symbol - readLines(tmp)

to

Symbols - readLines(tmp, warn=FALSE)


Garrett

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Re: [R-SIG-Finance] qmao installation failure

[G See]

They're on CRAN
http://cran.r-project.org/package=gdata
http://cran.r-project.org/package=pander

Garrett

On Fri, Mar 15, 2013 at 7:43 PM, rex r...@nosyntax.net wrote:
 Tried:

 install.packages(qmao, repos=http://R-Forge.R-project.org;)

 package ‘qmao’ is not available (for R version 2.15.3)

 SVN:
 svn checkout svn://scm.r-forge.r-project.org/svnroot/twsinstrument/
 Atwsinstrument/pkg
 Atwsinstrument/pkg/twsInstrument
 [...]
 Atwsinstrument/www
 Atwsinstrument/www/index.php
 Atwsinstrument/README
   U   twsinstrument
 Checked out revision 407.

 cd twsinstrument  R CMD INSTALL ./pkg/qmao  cd ..
 * installing to library ‘/home/rex/R/x86_64-pc-linux-gnu-library/2.15’
 ERROR: dependencies ‘gdata’, ‘pander’ are not available for package ‘qmao’
 * removing ‘/home/rex/R/x86_64-pc-linux-gnu-library/2.15/qmao’

 I was unable to find gdata or pander.

 Any suggestions appreciated.

 Thanks,

 -rex
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Re: [R-SIG-Finance] intraday historical data

[G See]

This is extremely broad.  You just want intraday data?  Whose day? The
SGX provides free intraday data:
http://www.sgx.com/wps/portal/sgxweb/home/marketinfo/historical_data/derivatives/time_sales

What asset class?  TrueFX provides historical tick data for FX
(http://truefx.com/?page=downloads).  There's a script called
download.TrueFX.R in the inst/parser directory of FinancialInstrument
that will download and parse that data.
(http://r-forge.r-project.org/scm/viewvc.php/pkg/FinancialInstrument/inst/parser/?root=blotter)

Maybe you want stocks?  Did you search the internet?  I found this via
google: 
http://www.quantshare.com/sa-426-6-ways-to-download-free-intraday-and-tick-data-for-the-us-stock-market

That link gives 6 sources.  One of them is stooq.  They provide 5
days of 5 minute OHLC data for thousands of stocks around the world.
I once wrote a script to download and parse that data.  I ran it on a
crontab for a couple weeks, then they put up a captcha.  So, I guess
they don't want you downloading the data systematically -- I don't
know, I can't read Polish.  If you're willing to manually download the
data at least once every 5 days, I'd be happy share my code that
parses it.

Also, the methods that page gives for getting historical intraday data
from Google and Yahoo look promising if you're up to parsing it.  I
think I have some scraps of code laying around somewhere where I
started working on that.  Let me know if you'd like me to look.

I use Interactive Brokers for my personal intraday data needs.
They're really hard to beat since they provide a year's worth of data
for stocks, bonds, FX, options, futures, etc. for products all over
the world.

I use (a small adaptation of) twsInstrument:::update.data() to
download minutely OHLC data for BID, ASK, and TRADES, data for over
2000 stocks.  Since you can only make 6 requests every minute, it
takes almost a full day to download 5 days of data.  So, it runs 24
hours a day.  (it's also helpful to get more than one log-in).  There
is a cost for Interactive Brokers.  It's about 10 or 20 bucks a month,
but if you spend that much money on commissions, they waive the fee.
I just get minutely data, because I want a lot of history for a lot of
symbols, but they also provide 1 second frequency historical data if
you are patient.  Here's the reference for how much data you can get
per request (remember: 6 requests a minute)
http://www.interactivebrokers.com/php/apiUsersGuide/apiguide/api/historical_data_limitations.htm

If you're interested in realtime/near-realtime intraday data, you have
a few options.

This will give you a 15 minute delayed quote:
getQuote(SPY, src=yahoo)

These will give you a real-time quote:
library(qmao)

getQuote(SPY, src=google)

getQuote(SPY, src=IB) # if you have an Interactive Brokers account

getQuote(SPY, src=bats)
getQuote(SPY, src=bats, what=bbo)
getQuote(SPY, src=bats, what=ladder)
getQuote(SPY, src=bats, what=depth)
getQuote(SPY, src=bats, what=trades)
# These come with plot methods too
plot(getQuote(SPY, src=bats))
plot(getQuote(SPY, src=ladder))
plot(getQuote(SPY, src=depth))

I created a shiny app using the getQuote.bats stuff.  If you run
qmao::shinyBATS() it will launch this shiny app:
http://glimmer.rstudio.com/gsee/BATS/

You can wrap one of these getQuote calls in a while loop to retrieve a
stream of data

dat - NULL
while(TRUE){
dat - rbind(dat, getQuote(SPY, src=yahoo))
Sys.sleep(1)
}

(If you like shiny, here's a crude way to plot intraday data as it
comes in -- just replace the rnorm call with a getQuote call:
https://gist.github.com/gsee/4384158)

If you want real-time intraday fx quotes, see the TFX package
(http://rpubs.com/gsee/TFX)

Recently, I've been excited about this new free API (requires a free
account): https://developers.tradeking.com/documentation/r
According to their forums, they're planning on rolling out historical
intraday data soon.  Currently, you can get snapshots, or streaming
data.


twsInstrument and qmao can be obtained via svn checkout from
https://r-forge.r-project.org/R/?group_id=1113

I hope this helps, and I hope that if you write code to parse some
intraday historical data, that you share it with the list.

Best,
Garrett


On Mon, Mar 11, 2013 at 6:15 PM, Bill Blount b...@easterngrain.com wrote:
 i just mean intraday historical quotes.  any ideas where?

 On Mon, Mar 11, 2013 at 6:36 PM, Michael Weylandt 
 michael.weyla...@gmail.com wrote:

 What exactly do you mean by end of day intraday?

 Regardless, I assume the answer is 'yes, many by subscription: some cheap:
 few free.'

 MW

 On Mar 11, 2013, at 22:26, Bill Blount b...@easterngrain.com wrote:

  is there a source for end of day intraday data (i am assuming that yahoo
 is
  daily only)?
 
  Thanks.  Bill
 
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Re: [R-SIG-Finance] IBrokers Risk Management Backend Solution Help with twsPortfolioValue

[G See]

I don't think the socket connection is shut down.

R invisible(reqAccountUpdates(con))
2 -1 2100 API client has been unsubscribed from account data.
R isConnected(con)
[1] TRUE

Why does your loop break?  Do you get an error in R?

The 2100 message is a warning
http://www.interactivebrokers.com/php/apiUsersGuide/apiguide/tables/api_message_codes.htm

Garrett

On Sun, Feb 10, 2013 at 12:33 PM, JohnnyPaper brad.saterf...@gmail.com wrote:
 Hi Everyone,

 I have a couple of questions to ask, and I absolutely don't mind if this
 gets resubmitted anywhere else.  It seems as though this may be helpful for
 many people trying to manage portfolio risk with IBrokers, which as I may
 add is an excellent addition to R.  Very nice work on Jeff's part, and many
 many thanks.

 I am just trying to keep a loop monitoring my position and shutting them
 down if they hit a stop or profit target based on my position value.  Mind
 you I am submitting these orders after my offline analysis is done at the
 EOD.  So they are market orders executed at the open, hence the reason for
 management of the portfolio in this sense through the twsPortfolioValue
 updates in the data.frame .

 Here is the code I am using and the results:

 con - twsConnect()

 while (TRUE){
 Offset-50
 Val-twsPortfolioValue(reqAccountUpdates(con),zero.pos=FALSE)
 for (i in 1:nrow(Val)){
 if ( 0.01 * -abs(Val[i,4])  Val[i,8] ){
 if (Val[i,6]  0){
 IBrokers:::.placeOrder( con, twsSTK(toString(Val[i,1])),
 twsOrder((i+Offset),BUY,abs(Val[i,6]),MKT) )
 Offset- Offset +1
 } else if (Val[i,6]  0){
 IBrokers:::.placeOrder( con, twsSTK(toString(Val[i,1])),
 twsOrder((i+Offset),SELL,abs(Val[i,6]),MKT) )
 Offset- Offset +1
 }
 } else if (0.03 * abs(Val[i,4])  Val[i,8] ){
 if (Val[i,6]  0){
 IBrokers:::.placeOrder( con, twsSTK(toString(Val[i,1])),
 twsOrder((i+Offset),BUY,abs(Val[i,6]),MKT) )
 Offset- Offset +1
 } else if (Val[i,6]  0){
 IBrokers:::.placeOrder( con, twsSTK(toString(Val[i,1])),
 twsOrder((i+Offset),SELL,abs(Val[i,6]),MKT) )
 Offset- Offset +1
 }
 }
 }
 print(Val)
 Sys.sleep(5)
 }

 2 -1 2104 Market data farm connection is OK:usfarm
 2 -1 2106 HMDS data farm connection is OK:ushmds
local sectype marketValue averageCostreturn position realizedPNL
 unrealizedPNL
 2   AKAM STK-8022.18   -8011.965 -0.0012749681 -227   0
 -10.22
 6   ETFC STK-7964.32   -7987.240  0.0028695755 -728   0
 22.92
 8   FISV STK-8048.00   -7994.000 -0.0067550663 -100   0
 -54.00
 9 GS STK-8006.97   -7985.040 -0.0027463856  -53   0
 -21.93
 10   HAR STK-8066.78   -8015.330 -0.0064189493 -177   0
 -51.45
 11   HNZ STK-7987.07   -7990.070  0.0003754658 -131   0
 3.00
 12   ICE STK 8047.898042.140  0.0007149839   54   0
 5.75
 14  MOLX STK-8024.33   -8004.405 -0.0024892541 -291   0
 -19.92
 15   MRK STK-8017.43   -8007.650 -0.0012213320 -195   0
 -9.78
 16   MWV STK 8053.078009.890  0.0053908356  254   0
 43.18
 19   OXY STK-8041.22   -8027.020 -0.0017690250  -91   0
 -14.20
 21  SIAL STK 8081.328013.160  0.0085060074  104   0
 68.16
 23   VFC STK-7962.50   -8028.320  0.0081984775  -52   0
 65.82
 25   ZMH STK-8115.41   -8060.680 -0.0067897497 -107   0
 -54.73

 2 -1 2100 API client has been unsubscribed from account data.
local sectype marketValue averageCostreturn position realizedPNL
 unrealizedPNL
 2   AKAM STK-8022.18   -8011.965 -0.0012749681 -227   0
 -10.22
 6   ETFC STK-7964.32   -7987.240  0.0028695755 -728   0
 22.92
 8   FISV STK-8048.00   -7994.000 -0.0067550663 -100   0
 -54.00
 9 GS STK-8006.97   -7985.040 -0.0027463856  -53   0
 -21.93
 10   HAR STK-8066.78   -8015.330 -0.0064189493 -177   0
 -51.45
 11   HNZ STK-7987.07   -7990.070  0.0003754658 -131   0
 3.00
 12   ICE STK 8047.898042.140  0.0007149839   54   0
 5.75
 14  MOLX STK-8024.33   -8004.405 -0.0024892541 -291   0
 -19.92
 15   MRK STK-8017.43   -8007.650 -0.0012213320 -195   0
 -9.78
 16   MWV STK 8053.078009.890  0.0053908356  254   0
 43.18
 19   OXY STK-8041.22   -8027.020 -0.0017690250  -91   0
 -14.20
 21  SIAL STK 8081.328013.160  0.0085060074  104   0
 68.16
 23   VFC STK-7962.50   -8028.320  0.0081984775  

Re: [R-SIG-Finance] 4-digit SIC codes

[G See]

There are actually non-break spaces in the source code of the page.
If you look at it, you will see things like this:

BA/D nbsp;BR

Whether or not XML::trim gets rid of them for you may be OS specific.
See and answer to an old question of mine on R-help for example
https://stat.ethz.ch/pipermail/r-help/2012-February/302417.html

Best,
Garrett

On Tue, Feb 5, 2013 at 8:20 AM, David Reiner david.rei...@xrtrading.com wrote:
 Very nice, Garrett!
 More curious than anything, but does anyone know why I get the extraneous 
 characters when I do it?
 They are present in x as well. I believe they are non-breaking spaces.

 head(SIC)
   SICCode A/D  Office    Industry Title
 4 1005 ÂAGRICULTURAL PRODUCTION-CROPS
 5 2005 Â AGRICULTURAL PROD-LIVESTOCK  ANIMAL SPECIALTIES
 6 7005 ÂAGRICULTURAL SERVICES
 7 8005 Â FORESTRY
 8 9005 ÂFISHING, HUNTING AND TRAPPING
 910009 Â METAL MINING
 sessionInfo()
 R version 2.15.2 (2012-10-26)
 Platform: x86_64-w64-mingw32/x64 (64-bit)

 locale:
 [1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United 
 States.1252LC_MONETARY=English_United States.1252
 [4] LC_NUMERIC=C   LC_TIME=English_United States.1252

 attached base packages:
 [1] stats graphics  grDevices utils datasets  methods   base

 other attached packages:
 [1] XML_3.95-0.1

 loaded via a namespace (and not attached):
 [1] tools_2.15.2

 Thanks,
 -- David Reiner


 -Original Message-
 From: r-sig-finance-boun...@r-project.org 
 [mailto:r-sig-finance-boun...@r-project.org] On Behalf Of G See
 Sent: Monday, February 04, 2013 9:30 PM
 To: Bastian Offermann
 Cc: r-sig-finance@r-project.org
 Subject: Re: [R-SIG-Finance] 4-digit SIC codes

 I'm not sure, but here's a really quick and dirty way to get it

 library(XML)
 x - readHTMLTable(http://www.sec.gov/info/edgar/siccodes.htm;,
   stringsAsFactors=FALSE)[[4]]
 colnames(x) - x[2, ]
 SIC - x[-c(1:3), ]
 head(SIC)
   SICCode A/D  OfficeIndustry Title
 4 100   5 AGRICULTURAL PRODUCTION-CROPS
 5 200   5  AGRICULTURAL PROD-LIVESTOCK  ANIMAL SPECIALTIES
 6 700   5 AGRICULTURAL SERVICES
 7 800   5  FORESTRY
 8 900   5 FISHING, HUNTING AND TRAPPING
 91000   9  METAL MINING

 SIC[SIC$SICCode == 2834, ]
SICCode A/D  Office   Industry Title
 912834   1  PHARMACEUTICAL PREPARATIONS

 HTH,
 Garrett

 On Mon, Feb 4, 2013 at 9:19 PM, Bastian Offermann
 bastian250...@yahoo.co.uk wrote:
 Hi,
 does anybody know whether 4-digit SIC codes are available in R? Something
 along the lines

 2834 Pharmaceutical Preparations

 Thank you.

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On Tue, Feb 5, 2013 at 8:20 AM, David Reiner david.rei...@xrtrading.com wrote

Re: [R-SIG-Finance] 4-digit SIC codes

[G See]

I'm not sure, but here's a really quick and dirty way to get it

 library(XML)
 x - readHTMLTable(http://www.sec.gov/info/edgar/siccodes.htm;,
  stringsAsFactors=FALSE)[[4]]
 colnames(x) - x[2, ]
 SIC - x[-c(1:3), ]
 head(SIC)
  SICCode A/D  OfficeIndustry Title
4 100   5 AGRICULTURAL PRODUCTION-CROPS
5 200   5  AGRICULTURAL PROD-LIVESTOCK  ANIMAL SPECIALTIES
6 700   5 AGRICULTURAL SERVICES
7 800   5  FORESTRY
8 900   5 FISHING, HUNTING AND TRAPPING
91000   9  METAL MINING

 SIC[SIC$SICCode == 2834, ]
   SICCode A/D  Office   Industry Title
912834   1  PHARMACEUTICAL PREPARATIONS

HTH,
Garrett

On Mon, Feb 4, 2013 at 9:19 PM, Bastian Offermann
bastian250...@yahoo.co.uk wrote:
 Hi,
 does anybody know whether 4-digit SIC codes are available in R? Something
 along the lines

 2834 Pharmaceutical Preparations

 Thank you.

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Re: [R-SIG-Finance] Fitting RSLN models

[G See]

Looks like the code has been removed in Rev. 8.  You can still get Rev. 7,
but since the author removed the code, maybe you don't want it afterall?

svn checkout svn://svn.r-forge.r-project.org/svnroot/rsln/@7

If the above line doesn't make sense, see

http://stackoverflow.com/questions/11105131/cannot-install-r-forge-package-using-install-packages/11105132#11105132

Garrett

On Fri, Jan 11, 2013 at 1:50 PM, jaimie villanueva 
jaimie.villanu...@gmail.com wrote:

 Fitting RSLN

[[alternative HTML version deleted]]

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Re: [R-SIG-Finance] Fitting RSLN models

[G See]

Sorry for the html, I'm having a hell of a time getting gmail to
consistently send plain text.


Looks like the code has been removed in Rev. 8.  You can still get
Rev. 7, but since the author removed the code, maybe you don't want it
afterall?

svn checkout svn://svn.r-forge.r-project.org/svnroot/rsln/@7

If the above line doesn't make sense, see

http://stackoverflow.com/questions/11105131/cannot-install-r-forge-package-using-install-packages/11105132#11105132

Garrett

On Fri, Jan 11, 2013 at 1:56 PM, G See gsee...@gmail.com wrote:
 Looks like the code has been removed in Rev. 8.  You can still get Rev. 7,
 but since the author removed the code, maybe you don't want it afterall?

 svn checkout svn://svn.r-forge.r-project.org/svnroot/rsln/@7

 If the above line doesn't make sense, see

 http://stackoverflow.com/questions/11105131/cannot-install-r-forge-package-using-install-packages/11105132#11105132

 Garrett

 On Fri, Jan 11, 2013 at 1:50 PM, jaimie villanueva
 jaimie.villanu...@gmail.com wrote:

 Fitting RSLN




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Re: [R-SIG-Finance] Installed quantstrat along with blotter and FinancialInstrument but seems I'm missing .instrument

[G See]

The .instrument environment is now stored in the FinancialInstrument
NAMESPACE.

.instrument is now FinancialInstrument:::.instrument

 I don't know what the rest of the pdf does, so I'm not sure what's
keeping you from following through.  I suppose you could do this
assignment

.instrument - FinancialInstrument:::.instrument

I'd guess that will make things work for you since environments are by
reference, but it's probably necessary.  What specifically is holding
you back?

Garrett





On Wed, Jan 2, 2013 at 7:50 PM, rquantnoob kpomichow...@gmail.com wrote:
 I'm following quantstrat-I.pdf by Guy Yollin to learn the language.  But it
 seems the .instrument does not load for me as it does in the .pdf.
 Installing quanstrat, installed 3 packages, blotter,financialinstrument
 and quantstrat.

 .PDF example

 R Code:
 ls(all=T)
 [1] .blotter .instrument

 ___

 Mine.

 ls(all=T)
 [1] .blotter

 Since I'm missing .instrument it isn't allowing me to follow through with
 the next step.

 The installation seemed to have gone through fine, please help.

 Thank you.



 --
 View this message in context: 
 http://r.789695.n4.nabble.com/Installed-quantstrat-along-with-blotter-and-FinancialInstrument-but-seems-I-m-missing-instrument-tp4654469.html
 Sent from the Rmetrics mailing list archive at Nabble.com.

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Re: [R-SIG-Finance] Installed quantstrat along with blotter and FinancialInstrument but seems I'm missing .instrument

[G See]

I mean it's probably NOT necessary to assign it to your workspace.

On Wed, Jan 2, 2013 at 8:04 PM, G See gsee...@gmail.com wrote:
 The .instrument environment is now stored in the FinancialInstrument
 NAMESPACE.

 .instrument is now FinancialInstrument:::.instrument

  I don't know what the rest of the pdf does, so I'm not sure what's
 keeping you from following through.  I suppose you could do this
 assignment

 .instrument - FinancialInstrument:::.instrument

 I'd guess that will make things work for you since environments are by
 reference, but it's probably necessary.  What specifically is holding
 you back?

 Garrett





 On Wed, Jan 2, 2013 at 7:50 PM, rquantnoob kpomichow...@gmail.com wrote:
 I'm following quantstrat-I.pdf by Guy Yollin to learn the language.  But it
 seems the .instrument does not load for me as it does in the .pdf.
 Installing quanstrat, installed 3 packages, blotter,financialinstrument
 and quantstrat.

 .PDF example

 R Code:
 ls(all=T)
 [1] .blotter .instrument

 ___

 Mine.

 ls(all=T)
 [1] .blotter

 Since I'm missing .instrument it isn't allowing me to follow through with
 the next step.

 The installation seemed to have gone through fine, please help.

 Thank you.



 --
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 http://r.789695.n4.nabble.com/Installed-quantstrat-along-with-blotter-and-FinancialInstrument-but-seems-I-m-missing-instrument-tp4654469.html
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Re: [R-SIG-Finance] Installed quantstrat along with blotter and FinancialInstrument but seems I'm missing .instrument

[G See]

 getInstrument(USD)
primary_id :USD
currency   :USD
multiplier :1
tick_size  :0.01
identifiers: list()
type   :currency

Please have a look at the demo directory of the package.

Best,
Garrett

On Wed, Jan 2, 2013 at 8:08 PM, rquantnoob kpomichow...@gmail.com wrote:
 First, thank you for taking your time to reply to my message.

 Here is the next step that perhaps will shed light on what's happening.

 currency(USD)
 [1] USD

   get(USD,envir=.instrument)
 Error in get(USD, envir = .instrument) : object '.instrument' not found





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Re: [R-SIG-Finance] Installed quantstrat along with blotter and FinancialInstrument but seems I'm missing .instrument

[G See]

If you specifically want to use get

 get(USD, envir=FinancialInstrument:::.instrument)
primary_id :USD
currency   :USD
multiplier :1
tick_size  :0.01
identifiers: list()
type   :currency

or, I think this works too

 .instrument - FinancialInstrument:::.instrument
 get(USD, envir=.instrument)
primary_id :USD
currency   :USD
multiplier :1
tick_size  :0.01
identifiers: list()
type   :currency

Garrett

On Wed, Jan 2, 2013 at 8:11 PM, G See gsee...@gmail.com wrote:
 getInstrument(USD)
 primary_id :USD
 currency   :USD
 multiplier :1
 tick_size  :0.01
 identifiers: list()
 type   :currency

 Please have a look at the demo directory of the package.

 Best,
 Garrett

 On Wed, Jan 2, 2013 at 8:08 PM, rquantnoob kpomichow...@gmail.com wrote:
 First, thank you for taking your time to reply to my message.

 Here is the next step that perhaps will shed light on what's happening.

 currency(USD)
 [1] USD

   get(USD,envir=.instrument)
 Error in get(USD, envir = .instrument) : object '.instrument' not found





 --
 View this message in context: 
 http://r.789695.n4.nabble.com/Installed-quantstrat-along-with-blotter-and-FinancialInstrument-but-seems-I-m-missing-instrument-tp4654469p4654475.html
 Sent from the Rmetrics mailing list archive at Nabble.com.

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Re: [R-SIG-Finance] Futures data

[G See]

If you just want daily data, there is a script in the parser directory
of FinancialInstrument
(http://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/FinancialInstrument/inst/parser/download.tblox.R?root=blotter)
that will download free data since 1995 from tradingblox.

Try this,

library(FinancialInstrument)
source(paste0(http://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/;,
 FinancialInstrument/inst/parser/download.tblox.R?root=blotter))
define_futures.tblox() # define meta data for available futures -- not
required to get data

buildHierarchy(ls_futures(), description) # show the descriptions of
available futures

find.instrument(Eurodollar)
getInstrument(ED)

# this getSymbols.tblox method will download all data from tblox, but will only
# assign the symbols you give it.
getSymbols(ED, src='tblox')
tail(ED)

# this will download all tblox futures data and assign in your globalenv()
get_tblox()

tail(TY)
head(CL)

HTH,
Garrett

On Sat, Dec 15, 2012 at 9:39 PM, Robert A'gata rhelp...@gmail.com wrote:
 Eurodollar, treasury, SP500 e-mini, crude oil, natural gas,
 agricultural

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Re: [R-SIG-Finance] Futures data

[G See]

Also, for daily VIX futures data, there's a getSymbols.cfe method in
my qmao package on R-Forge

# install.packages(qmao, repos=http://r-forge.r-project.org;)
library(qmao)
getSymbols(VX, src='cfe', Months=1:12, Years=2011:2012)

Garrett

On Sat, Dec 15, 2012 at 10:03 PM, G See gsee...@gmail.com wrote:
 If you just want daily data, there is a script in the parser directory
 of FinancialInstrument
 (http://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/FinancialInstrument/inst/parser/download.tblox.R?root=blotter)
 that will download free data since 1995 from tradingblox.

 Try this,

 library(FinancialInstrument)
 source(paste0(http://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/;,
  FinancialInstrument/inst/parser/download.tblox.R?root=blotter))
 define_futures.tblox() # define meta data for available futures -- not
 required to get data

 buildHierarchy(ls_futures(), description) # show the descriptions of
 available futures

 find.instrument(Eurodollar)
 getInstrument(ED)

 # this getSymbols.tblox method will download all data from tblox, but will 
 only
 # assign the symbols you give it.
 getSymbols(ED, src='tblox')
 tail(ED)

 # this will download all tblox futures data and assign in your globalenv()
 get_tblox()

 tail(TY)
 head(CL)

 HTH,
 Garrett

 On Sat, Dec 15, 2012 at 9:39 PM, Robert A'gata rhelp...@gmail.com wrote:
 Eurodollar, treasury, SP500 e-mini, crude oil, natural gas,
 agricultural

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Re: [R-SIG-Finance] Futures data

[G See]

Chinmay,

The trading blox data has a column called Unadjusted close.  The user
is free to use that column.  Also, it is trivial to un-adjust the
Open, High, and Low as well.  And, there is a column showing which
contract is being used for each row which makes it trivial to
re-adjust prices however you see fit, or not at all.

Garrett

On Sat, Dec 15, 2012 at 10:13 PM, Chinmay Patil chinmay.pa...@gmail.com wrote:
 Hi Garret,

 Although a good solution, I would insist user to be careful with downloading
 data from TradingBlox.
 Any futures strategy backtesting especially on higher timeframes like daily
 and above will be very sensitive to method of construction of continous
 contract and if user is not aware of how such a continuos contract is
 created, they may lead themselves to reaching overly optimistic conclusions
 from that backtesting.

 TradingBlox data while good (they source the data CSIdata as well) is a
 continuous contract based on their rolling methodology and may not suite
 every user.

 Best Regards,
 Chinmay Patil


 On Sun, Dec 16, 2012 at 12:03 PM, G See gsee...@gmail.com wrote:

 If you just want daily data, there is a script in the parser directory
 of FinancialInstrument

 (http://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/FinancialInstrument/inst/parser/download.tblox.R?root=blotter)
 that will download free data since 1995 from tradingblox.

 Try this,

 library(FinancialInstrument)

 source(paste0(http://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/;,

 FinancialInstrument/inst/parser/download.tblox.R?root=blotter))
 define_futures.tblox() # define meta data for available futures -- not
 required to get data

 buildHierarchy(ls_futures(), description) # show the descriptions of
 available futures

 find.instrument(Eurodollar)
 getInstrument(ED)

 # this getSymbols.tblox method will download all data from tblox, but will
 only
 # assign the symbols you give it.
 getSymbols(ED, src='tblox')
 tail(ED)

 # this will download all tblox futures data and assign in your globalenv()
 get_tblox()

 tail(TY)
 head(CL)

 HTH,
 Garrett

 On Sat, Dec 15, 2012 at 9:39 PM, Robert A'gata rhelp...@gmail.com wrote:
  Eurodollar, treasury, SP500 e-mini, crude oil, natural gas,
  agricultural

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Re: [R-SIG-Finance] Futures data

[G See]

Robert,

If you have an Interactive Brokers account -- which isn't free, but
pretty close to it -- you can get a year's worth of intraday data for
most futures with the IBrokers package (on CRAN).  See
?reqHistoricalData.  I also have some wrappers for IBrokers functions
for getting lots of data from Interactive Brokers in my twsInstrument
package on R-Forge. https://r-forge.r-project.org/R/?group_id=1113
(see ?reqTBBOhistory)

IB offers 1 second bars, but if you want to get a meaningful amount of
history, you're best off getting 1 minute bars because of their
historical data request pacing rules.

HTH,
Garrett

On Sat, Dec 15, 2012 at 9:39 PM, Robert A'gata rhelp...@gmail.com wrote:
 Hi,

 I am wondering if there is any source that one can download futures data
 such as Eurodollar, treasury, SP500 e-mini, crude oil, natural gas,
 agricultural, etc? Especially downloading from R. Of course, not bloomberg.
 Thank you.

 Robert

 [[alternative HTML version deleted]]

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Re: [R-SIG-Finance] Combining instrument data into one xts

[G See]

A common way to do this is to store your data in its own environment.  Then,
use eapply to get a list of close prices.  Finally, construct a merge call
with do.call

s - c(SPY, AAPL)
myEnv - new.env()
getSymbols(s, src='yahoo', env=myEnv)
p - do.call(merge, eapply(myEnv, Cl))

this is like calling merge(Cl(SPY), Cl(AAPL)), but it will work for any number
of symbols.

Similarly, if your data are stored in your globalenv(), you can create a list
of Close prices and merge them together using do.call.

s - c(SPY, AAPL)
getSymbols(s, src=yahoo)
p - do.call(merge, lapply(s, function(x) Cl(get(x, pos=globalenv()

I also happen to have a function that does this for you in one line in my qmao
package on R-Forge. https://r-forge.r-project.org/R/?group_id=1113

library(qmao)
p - PF(getSymbols(c(SPY, AAPL)), silent=TRUE)

HTH,
Garrett


On Sat, Dec 15, 2012 at 11:06 PM, Robert A'gata rhelp...@gmail.com wrote:
 Hi,

 1) When I call getSymbols with multiple symbols, is there any way I can
 obtain everything into one xts. Says, I want only close data from google
 for c(SPY,AAPL). Is there anyway I can get an xts with 2 columns
 corresponding to SPY and AAPL close prices?
 2) Similar to #1, if I have all symbols loaded from files (.RData), is
 there any better way to combiing them than merging them one-by-one using
 xts?

 Thank you.

 Robert

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[R-SIG-Finance] Introducing TFX: An R Interface to the TrueFX Web API

[G See]

Hello all,

I'd like to introduce the TFX package which I recently published to CRAN.

It is a simple R interface to the free TrueFX Web API. You can use it to
get real-time quotes with millisecond resolution and fractional-pip bid/ask
spreads for 26 currency pairs.

There is an RPub overview of the TFX package available here:
http://rpubs.com/gsee/TFX

The shiny package (http://www.rstudio.com/shiny/) has made the TFX package
more relevant (at least to me). You can see a demo of using TFX with shiny
by running the following code which will open a browser window and display
FX quotes that update every 750 milliseconds:

# install.packages('shiny', repos=c('http://rstudio.org/_packages',
# getOption('repos'))
library(shiny)
runGist(4122626)
#--
The code for the above shiny app can be viewed or downloaded from
https://gist.github.com/4122626

I've also had a little bit of success creating real-time streaming charts
using svSockets, following the video (
http://www.youtube.com/watch?v=rvT8XThGA8o) on the data.table homepage (
http://datatable.r-forge.r-project.org/) as a template and using TFX as the
data source.

Finally, TrueFX provides historical tick data for 15 currency pairs going
back to May 2009 (http://truefx.com/?page=downloads). There is a script in
the inst/parser directory of the FinancialInstrument package (
www.tinyurl.com/DownloadTrueFX) that can be used to download all of that
data to disk in a format that FinancialInstrument::getSymbols.FI can easily
read. This script is not intended to be used on Windows.

I have no affiliation with TrueFX.

Hope it's useful,
Garrett

P.S. The RPub (http://rpubs.com/gsee/TFX) is also included as a vignette in
the R-Forge version (installable with install.packages(TFX, repos=
http://r-forge.r-project.org;). As outlined in the NEWS file, the only
updates in the R-Forge version are aesthetic: there are better error
messages, a print.TFXsession method, and Reconnect and Disconnect no longer
print the returned TFXsession object.

[[alternative HTML version deleted]]

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Re: [R-SIG-Finance] Introducing TFX: An R Interface to the TrueFX Web API

[G See]

Aw. That's a shame.  What version of shiny and websockets are you using?

Maybe try:
   devtools::install_github('shiny', 'rstudio')

It works for me on linux with the following sessionInfo

 sessionInfo()
R version 2.15.2 (2012-10-26)
Platform: x86_64-pc-linux-gnu (64-bit)

locale:
 [1] LC_CTYPE=en_US.UTF-8   LC_NUMERIC=C
 [3] LC_TIME=en_US.UTF-8LC_COLLATE=en_US.UTF-8
 [5] LC_MONETARY=en_US.UTF-8LC_MESSAGES=en_US.UTF-8
 [7] LC_PAPER=C LC_NAME=C
 [9] LC_ADDRESS=C   LC_TELEPHONE=C
[11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C

attached base packages:
[1] stats graphics  grDevices utils datasets  methods   base

other attached packages:
[1] bitops_1.0-4.1 TFX_0.1.1  shiny_0.1.12

loaded via a namespace (and not attached):
[1] caTools_1.13 digest_0.6.0 RJSONIO_1.0-1tools_2.15.2
[5] websockets_1.1.6 XML_3.95-0.1 xtable_1.7-0


Garrett

On Mon, Dec 3, 2012 at 10:33 AM, Dennis Lee dennis...@yahoo.com.au wrote:


 I copied and pasted the code for Shiny app, but it doesn't update the FX 
 quotes
 every 750 ms. I tried it on Firefox and Chrome.



 
  From: G See gsee...@gmail.com
 To: r-sig-finance r-sig-finance@r-project.org
 Sent: Monday, 3 December 2012 8:57 PM
 Subject: [R-SIG-Finance] Introducing TFX: An R Interface to the TrueFX Web API

 [sorry for the previous HTML e-mail. Gmail seems to think that's what
 I meant to do]

 Hello all,

 I'd like to introduce the TFX package which I recently published to CRAN.

 It is a simple R interface to the free TrueFX Web API. You can use it
 to get real-time quotes with millisecond resolution and fractional-pip
 bid/ask spreads for 26 currency pairs.

 There is an RPub overview of the TFX package available here:
 http://rpubs.com/gsee/TFX

 The shiny package (http://www.rstudio.com/shiny/) has made the TFX
 package more relevant (at least to me). You can see a demo of using
 TFX with shiny by running the following code which will open a browser
 window and display FX quotes that update every 750 milliseconds:

 # install.packages('shiny', repos=c('http://rstudio.org/_packages',
 # getOption('repos'))
 library(shiny)
 runGist(4122626)
 #--
 The code for the above shiny app can be viewed or downloaded from
 https://gist.github.com/4122626

 I've also had a little bit of success creating real-time streaming
 charts using svSockets, following the video
 (http://www.youtube.com/watch?v=rvT8XThGA8o) on the data.table
 homepage (http://datatable.r-forge.r-project.org/) as a template and
 using TFX as the data source.

 Finally, TrueFX provides historical tick data for 15 currency pairs
 going back to May 2009 (http://truefx.com/?page=downloads). There is a
 script in the inst/parser directory of the FinancialInstrument package
 (www.tinyurl.com/DownloadTrueFX) that can be used to download all of
 that data to disk in a format that FinancialInstrument::getSymbols.FI
 can easily read. This script is not intended to be used on Windows.

 I have no affiliation with TrueFX.

 Hope it's useful,
 Garrett

 P.S. The RPub (http://rpubs.com/gsee/TFX) is also included as a
 vignette in the R-Forge version (installable with
 install.packages(TFX, repos=http://r-forge.r-project.org;). As
 outlined in the NEWS file, the only updates in the R-Forge version are
 aesthetic: there are better error messages, a print.TFXsession method,
 and Reconnect and Disconnect no longer print the returned TFXsession
 object.

 ___
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 -- Subscriber-posting only. If you want to post, subscribe first.
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Re: [R-SIG-Finance] Introducing TFX: An R Interface to the TrueFX Web API

[G See]

I just tried it on Windows and it works for me with the sessionInfo below.

Are you sure you have at least version 1.1.6 of websockets?

 sessionInfo()
R version 2.15.1 (2012-06-22)
Platform: x86_64-pc-mingw32/x64 (64-bit)

locale:
[1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United
States.1252LC_MONETARY=English_United States.1252 LC_NUMERIC=C
  LC_TIME=English_United States.1252

attached base packages:
[1] stats graphics  grDevices utils datasets  methods   base

other attached packages:
[1] bitops_1.0-5 TFX_0.1.0shiny_0.2.3

loaded via a namespace (and not attached):
[1] caTools_1.13 digest_0.5.2 RJSONIO_1.0-1tools_2.15.1
 websockets_1.1.6 XML_3.9-4.1  xtable_1.7-0

Garrett


On Mon, Dec 3, 2012 at 11:09 AM, Jeff Ryan jeff.a.r...@gmail.com wrote:
 If the backend is using websockets, that is very new ground in the land of
 HTML.  M$ prides itself typically on being off by a decade w.r.t. adoption
 of such 'shiny' things.

 So... that may indeed be your issue.

 Jeff


 On Mon, Dec 3, 2012 at 11:05 AM, Dennis Lee dennis...@yahoo.com.au wrote:

 I am running it on Windows, maybe you didn't understand what I said.

 I did get the first quote displayed correctly, so it is not because of the
 library.

 My problem is that it doesn't update periodically. I will try to figure it
 out
 when I have time, just too late now (its past midnight here) to solve this.

  sessionInfo() R version 2.15.1 (2012-06-22)
 Platform: i386-pc-mingw32/i386 (32-bit)

 It could be because of my R version (maybe not), but then again I have

 installed the CRAN version of shiny (and not the dev version on Github).



 
  From: Dirk Eddelbuettel e...@debian.org

 Cc: r-sig-finance r-sig-finance@r-project.org
 Sent: Tuesday, 4 December 2012 12:56 AM
 Subject: Re: [R-SIG-Finance] Introducing TFX: An R Interface to the TrueFX
 Web API


 On 3 December 2012 at 08:33, Dennis Lee wrote:
 | I copied and pasted the code for Shiny app, but it doesn't update the FX
 quotes
 | every 750 ms. I tried it on Firefox and Chrome.

 I copied and paste ? Maybe you did that the wrong way?

 What happens when you install the shiny and TFX packages, and execute

 library(shiny)
 runGist(4122626)

 which has been very reliable for me on different machine
 (home/work/netbook/...) ?

 Dirk

 --
 Dirk Eddelbuettel | e...@debian.org | http://dirk.eddelbuettel.com
 [[alternative HTML version deleted]]


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 --
 Jeffrey Ryan
 jeffrey.r...@lemnica.com

 www.lemnica.com

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Re: [R-SIG-Finance] Introducing TFX: An R Interface to the TrueFX Web API

[G See]

On Mon, Dec 3, 2012 at 11:28 AM, Dennis Lee dennis...@yahoo.com.au wrote:
 I did get this warning when I ran the code:

 runGist(4122626) Loading required package: TFX Warning: package ‘TFX’ was 
 built under R version 2.15.2

 I have checked websockets:


 loaded via a namespace (and not attached): [1] bitops_1.0-5 caTools_1.13  
devtools_0.8 [4] digest_0.6.0 evaluate_0.4.2   httr_0.2 
 [7] memoise_0.1  parallel_2.15.1  plyr_1.7.1
 [10] RCurl_1.95-3 RJSONIO_1.0-1stringr_0.6.1
 [13] tools_2.15.1 websockets_1.1.6 whisker_0.1
 [16] xtable_1.7-0

 I have checked pause updates:

 Pause updates

This should be UNchecked!


 So, Windows is not the issue, I have to update R to version 2.15.2 then
 seems logical to me.


But, I ran it on R 2.15.1 and it worked fine.  See my sessionInfo in
the previous message.

So, I'm not sure what's not working for you.  Maybe some local
security settings?

Garrett

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[R-SIG-Finance] chart_Series with knitr markdown

[G See]

I'm having trouble getting chart_Series to render properly with markdown to
html.  Are others using chart_Series with markdown?  What am I doing wrong?

The Pub at this link should be self explanatory:
http://rpubs.com/gsee/chart_Series_knit

The .Rmd file used to produce it is below.

Thanks,
Garrett

Why doesn't chart_Series look right?


```{r message=FALSE}
library(quantmod)
getSymbols(SPY, src='yahoo')
```
This looks fine

```{r fig.width=7, fig.height=6}
chartSeries(SPY)
```
But, why does this look wrong? i.e. instead of being aligned at the left
margin,
there is a box with a question mark.
```{r fig.width=7, fig.height=6}
chart_Series(SPY)
```

[[alternative HTML version deleted]]

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Re: [R-SIG-Finance] xtsExtra

[G See]

You've typed source instead of repos

Try this: install.packages(xtsExtra, repos=http://r-forge.r-project.org;)

HTH,
Garrett

On Sat, Nov 17, 2012 at 5:53 PM, Eric Thungstom
eric.thungst...@gmail.comwrote:

 Getting this message when I try to install xtsExtra.

  install.packages('xtsExtra', source = http://r-forge.r-project.org;)
 Installing package(s) into ‘C:/PROGRA~1/R/R-212~1.0/library’
 (as ‘lib’ is unspecified)
 Warning in install.packages :
   package ‘xtsExtra’ is not available



 Is there a problem with this package to where it's no longer available ?

 [[alternative HTML version deleted]]


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Re: [R-SIG-Finance] [R] (no subject)

[G See]

Manasvi,

Did you add 127.0.0.1 to Trusted IP Addresses?

-Garrett



On Fri, Nov 9, 2012 at 8:39 AM, R. Michael Weylandt 
michael.weyla...@gmail.com wrote:

 Forwarding to the relevant list.

 MW

 On Fri, Nov 9, 2012 at 9:01 AM, Manasvi Dobhal manasvidob...@gmail.com
 wrote:
  Hi all,
  The TWS on my system is unable to connect to my R session. Here is the
  error that I'm getting:
 
  * tws-twsConnect()
  Error in socketConnection(host = host, port = port, open = ab,
 blocking =
  blocking) :
  cannot open the connection
  In addition: Warning message:
  In socketConnection(host = host, port = port, open = ab, blocking =
  blocking) :
  localhost:7496 cannot be opened*
 
  Here is the session info for the R session:
 
  *R version 2.15.1 (2012-06-22)*
  **
 
  *Platform: x86_64-pc-linux-gnu (64-bit)*
 
  **
 
  *locale:*
 
  * [1] LC_CTYPE=en_IN.UTF-8LC_NUMERIC=C*
 
  * [3] LC_TIME=en_IN.UTF-8LC_COLLATE=en_IN.UTF-8*
 
  * [5] LC_MONETARY=en_IN.UTF-8LC_MESSAGES=en_IN.UTF-8*
 
  * [7] LC_PAPER=CLC_NAME=C*
 
  * [9] LC_ADDRESS=CLC_TELEPHONE=C*
 
  *[11] LC_MEASUREMENT=en_IN.UTF-8 LC_IDENTIFICATION=C*
 
  * *
 
  *attached base packages:*
 
  *[1] statsgraphicsgrDevices utilsdatasets *
 
  *[6] methodsbase*
 
  * *
 
  *other attached packages:*
 
  *[1] IBrokers_0.9-10 xts_0.8-6zoo_1.7-8*
 
  * *
 
  *loaded via a namespace (and not attached):*
 
  *[1] grid_2.15.1lattice_0.20-0 tools_2.15.1*
 
  **
 
 
 
  I have checked the Enable Activex and Socket clients  but it hasn't
  helped. Since I'm running on an Ubuntu machine, I even tried changing the
  parameter *blocking *in the command *twsConnect() *to
 
  1. *blocking = FALSE*
 
  2. According to the one mentioned here
 
 http://code.google.com/p/ibrokers/source/detail?r=84path=/trunk/R/twsConnect.R
 
  but nothing has helped.
 
 
 
  Please let me know what I should do.
 
 
 
  Thanks.
 
  [[alternative HTML version deleted]]
 
  __
  r-h...@r-project.org mailing list
  https://stat.ethz.ch/mailman/listinfo/r-help
  PLEASE do read the posting guide
 http://www.R-project.org/posting-guide.html
  and provide commented, minimal, self-contained, reproducible code.

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Re: [R-SIG-Finance] [R-SIG-FINANCE] Low Priority - market component list and general coding help

[G See]

Hi Martin,

comments in-line.

On Fri, Oct 26, 2012 at 2:01 PM, Martin Jenkins mje...@yahoo.com wrote:
 Hi,

 I've searched around and not found anything to help on this, even though it's 
 not the first time it's been asked, so was wondering if anyone had any new 
 ideas.

 I really like the device output of the chartSeries function and so have used 
 it to output a bitmap of the stock chart.  What I'm using it for is to get an 
 entire market index component list, however to get that I've had to create my 
 own flat file called masterlist.csv in the below code.  Ideally I'd like to 
 have a function do the same job so I don't have to create the file manually.  
 This way I can quickly and easily get graphs for an entire stock market.

 Rather frustratingly Yahoo! have stopped allowing the component list for an 
 index to be downloaded.

If you just want a list of most stocks, use TTR::stockSymbols()

R head(stockSymbols()$Symbol)
Fetching AMEX symbols...
Fetching NASDAQ symbols...
Fetching NYSE symbols...
[1] AA-P AAU  ACU  ACY  ADGE ADK

If the holdings of ETFs will suffice, you can use getHoldings from my
qmao package on R-Forge
(https://r-forge.r-project.org/R/?group_id=1113)

R #install.packages(qmao, repos='http://r-forge.r-project.org')
R library(qmao)
R rownames(getHoldings(SPY, auto.assign=FALSE))

If you want components of specific indexes, you might look through the
code from systematic investor
https://github.com/systematicinvestor/SIT/blob/master/R/data.r

I haven't used any of that code, but the file I linked to above
appears to get the Symbols of stocks for different indexes.

 Also as you can see my coding skills are restricted by my procedural 
 background, so whilst the below works fine, I'm sure it can be written more 
 efficiently.

 One last thing, I'm using the auto.assign = FALSE so that I can use a 
 variable in chartseries, this leaves me with the name of my variable, in this 
 case 'x', on the bitmap, which isn't ideal, meaning I have to refer to the 
 filename for the epic.


You can simply provide a name argument to chartSeries()

R s - AAPL
R chartSeries(getSymbols(s, src='google', auto.assign=FALSE), name=s)

Just curious, why use src='google' ?  I've found yahoo's data to be
slightly more reliable.

HTH,
Garrett

 Many thanks,
 Martin

 library(quantmod)

 masterfile - 
 C:/Users/Admin/Documents/Programming/R/current/FTSE100/masterlist.csv
 path - C:/Users/Admin/Documents/Programming/R/ftse100bmps/
 epicstable - read.table(masterfile, header=FALSE, sep=,)

 i - 1
 while(is.na(epicstable$V1[i]) == FALSE)
 {
   epic_char - as.character(epicstable$V1[i])
   x - try(getSymbols(epic_char, auto.assign=FALSE))

   if (length(x)==1)
   {
 x - try(getSymbols(epic_char, src = google, auto.assign=FALSE))
   }

   if (length(x)  1)
   {
 outputfile - paste(path, epicstable$V1[i], '.bmp')
 chartSeries(x,subset='2011-01::2012',TA=addVo();addMACD())
 bmp(file=outputfile, bg = transparent, width = 1024, height = 768)
 dev.off()
   }
   i = i + 1
 }
 [[alternative HTML version deleted]]


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Re: [R-SIG-Finance] Slow data EOD

[G See]

And Jeff's already provided a quoteFormat (which I had forgotten
about) so that you don't have to rearrange columns.

 getQuote(SPY, what=yahooQuote.EOD)
 Trade Time   Open   HighLow  CloseVolume
SPY 2012-10-12 04:00:00 143.46 143.95 142.58 142.89 124181904


On Tue, Oct 9, 2012 at 12:04 PM, Ralph Vince rvinc...@gmail.com wrote:
 Ah, okthen I can create a function to perhaps append it onto the
 file I am downloading entirely end of day or something like that.

 On Tue, Oct 9, 2012 at 1:02 PM, G See gsee...@gmail.com wrote:
 On Tue, Oct 9, 2012 at 11:58 AM, Ralph Vince rvinc...@gmail.com wrote:
 Thanks Garrett, Im really just looking for timely end-of-day data on
 this though. Ralph

 For example, getQuote(SPY), will return end of day data if you call
 it late in the afternoon ;-)

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Re: [R-SIG-Finance] Optimx help

[G See]

Please don't crosspost.  Ask other guy for clarification, not us.

On Wed, Oct 10, 2012 at 10:37 AM, nserdar snes1...@hotmail.com wrote:
 I do not understand what other guy mentioned about my problem. So I asked in
 this part.

 Please explain other guy opinion about my problem.

 Regards,
 Serdar



 --
 View this message in context: 
 http://r.789695.n4.nabble.com/Optimx-help-tp4645666p4645723.html
 Sent from the Rmetrics mailing list archive at Nabble.com.

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Re: [R-SIG-Finance] Slow data EOD

[G See]

Hi Ralph,

You can get real time intraday data from yahoo or google:
http://www.quantshare.com/sa-426-6-ways-to-download-free-intraday-and-tick-data-for-the-us-stock-market

Or you can get delayed data with quantmod::getQuote.

Maybe that will work better for you.

I'm not sure about your particular issue, but one of the issues with
yahoo's daily data is that sometimes it has duplicate timestamps (and
different volume) for the most recent observation.

HTH,
Garrett

On Tue, Oct 9, 2012 at 11:26 AM, Ralph Vince rvinc...@gmail.com wrote:
 I'm downloading certain equity data from yahoo on an eod basis, using
 the code, below. It works wonderfully, formatting the data and dates
 precisely as I am looking for EXCEPT often the data is late. Often,
 the latest market day's data is not up until 10, 11 pm that night.

 Is there something I am doing wrong here? Surely, yahoo must have the
 data by the close. is the way I am invoking calling the file, below,
 causing this? Or is there a way to obtain it from google earlier? I;d
 be very grateful for any help along these lines. Ralph Vince

 require(quantmod)
 library(plan)
 brsym - c(
 AAPL,
 ABT,
 ...
 WMT,
 XOM
 );
 for (i in 1:length(brsym)) {
 tryCatch({
 j - paste(http://table.finance.yahoo.com/table.csv?s=,brsym[[i]],sep=;);
 j - paste(j,g=dignore=.csv,sep=);
 print(j);
 X - read.csv(j, header=TRUE);
 # Convert the Date column from a factor class to a Date class
 X$Date - as.Date(X$Date)
 # Sort the X object by the Date column -- order(-X$Date) will sort it
 in the other direction
 X - X[order(X$Date),]
 # Format the date column as you want
 X$Date - format(as.Date(X$Date),%Y%m%d);
 X - X[,1:6]
 kk - trim.whitespace(brsym[[i]]);
 k - paste(/home/oracle/broadbaseddata/, kk, sep=);
 k - trim.whitespace(k);
 k - paste(k,.csv, sep=);
 write.table(X, k, append = FALSE, quote = FALSE, sep = ,,
 eol = \n, na = NA, dec = ., row.names = FALSE,
 col.names = FALSE, qmethod = c(escape, double));
 print(k);
 ko - paste(X$Date[1], -,X$Date[length(X$Date)]);
 print(ko);
 }, interrupt = function(ex) {
 cat(An interrupt was detected.\n);
 print(ex);
 }, error = function(ex) {
 cat(An error was detected.\n);
 print(ex);
 }, finally = {
 cat(done\n);
 })
 }

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Re: [R-SIG-Finance] Slow data EOD

[G See]

On Tue, Oct 9, 2012 at 11:58 AM, Ralph Vince rvinc...@gmail.com wrote:
 Thanks Garrett, Im really just looking for timely end-of-day data on
 this though. Ralph

For example, getQuote(SPY), will return end of day data if you call
it late in the afternoon ;-)

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Re: [R-SIG-Finance] PerformanceAnalytics seems to break rollapply

[G See]

There should be a GIANT WARNING when loading PerformanceAnalytics to
let users know that their code will no longer be reproducible.

The problem comes from the zzz.R that does these nasty things:

mean.xts - function(x,...) {
if(is.vector(x) ||is.null(ncol(x))  || ncol(x)==1){
x-as.numeric(x)
mean(x,...)
} else apply(x,2,mean.xts,...)
}
mean.matrix - function(x,...) {apply(x,2,mean,...)}

sd.xts - function(x,na.rm=FALSE) {
if(is.vector(x) || is.null(ncol(x)) || ncol(x)==1){
x-as.numeric(x)
sd(x,na.rm=na.rm)
} else apply(x,2,sd,na.rm=na.rm)
}
sd.matrix - function(x,na.rm=FALSE) {apply(x,2,sd,na.rm=na.rm)}

rollapply.xts - xts:::rollapply.xts


HTH,
Garrett

On Fri, Oct 5, 2012 at 2:04 PM, Bos, Roger roger@rothschild.com wrote:
 Unless I am making a user error, it seems that rollapply stops working with 
 some functions after the PerformanceAnalytics packages has been loaded.  I 
 provide reproducible code below:

 test - xts(1:10, order.by=Sys.time()+(1:10))
 w - function(x) {
 z - scale(x)
attributes(z) - NULL
z
 }
 rollapply(data=test, width=3, FUN=mean)
 rollapply(data=test, width=3, FUN=scale)
 rollapply(data=test, width=3, FUN=w)
 require(PerformanceAnalytics)
 rollapply(data=test, width=3, FUN=mean)
 rollapply(data=test, width=3, FUN=scale)
 rollapply(data=test, width=3, FUN=w)

 The first three calls to rollapply work fine.  Then once the 
 PerformanceAnalytics packages had been loaded mean still works but scale 
 does not.  I suspect it is because of the attributes which scale creates, but 
 I tried creating a function (called w) which removes the attributes, but 
 rollapply still does not work.

 Here is the error I get:

 rollapply(data=test, width=3, FUN=w)
 Error in xts(xx, tt, if (by == 1) attr(data, frequency)) :
   NROW(x) must match length(order.by)



 Thanks for any help or advice you can provide!

 Roger J. Bos, CFA
 Rothschild Asset Management, Inc.
 Tel   +1 (212) 403-5471
 Email roger@rothschild.com
 1251 Avenue of the Americas, NY, NY 10020

 ***
 This message is for the named person's use only. It may\...{{dropped:11}}

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Re: [R-SIG-Finance] Problem with updatePortf

[G See]

If by cannot debug that function you mean you can't find the source
code, you can view the code with

blotter:::.updatePosPL
or
getAnywhere(.updatePosPL)

Or, your can checkout the code with svn to see a commented copy.

   svn checkout svn://svn.r-forge.r-project.org/svnroot/blotter/

and browse to the file pkg/blotter/R/updatePosPL.R

Or, you can view it online at
https://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/blotter/R/updatePosPL.R?root=blotter

HTH,
Garrett

On Thu, Sep 20, 2012 at 9:10 PM, Worik Stanton worik.stan...@gmail.com wrote:
 Friends

 I am running into trouble with updatePortf.

 Stepping through it the problem is with the call to .updatePosPL, but I
 cannot debug that function.

 I am working on a small example that exhibits the problem but in the
 mean time is there a way I can debug .updatePosPL?

 cheers
 Worik

 --
 it does not matter  I think that I shall never see
 how much I dig and digA billboard lovely as a tree
 this hole just  Indeed, unless the billboards fall
 keeps getting deeper  I'll never see a tree at all

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Re: [R-SIG-Finance] Problem with updatePortf

[G See]

getPrice looks for a price column and it only works if the xts object
has colnames.

 getPrice(USDCHF)
Error in getPrice(USDCHF) :
  subscript out of bounds, no price was discernible from the data

You need to add colnames.

 colnames(USDCHF) - c(Bid, Ask, Last.Price)
 getPrice(USDCHF)
   Last.Price
2005-09-01 1.2343
2005-09-02 1.2280
2005-09-05 1.2335
2005-09-06 1.2365
2005-09-07 1.2426
2005-09-08 1.2449
2005-09-09 1.2442
2005-09-12 1.2592
2005-09-13 1.2619
2005-09-14 1.2585
2005-09-15 1.2671
2005-09-16 1.2687
2005-09-19 1.2772
2005-09-20 1.2809
2005-09-21 1.2718
2005-09-22 1.2795
2005-09-23 1.2916
2005-09-26 1.2896
2005-09-27 1.2959
2005-09-28 1.2940

Although getPrice is not documented, you can look at its code to see
what it does.  If you do not provide a value for the prefer
argument, it looks for a column name that contains the word price.
If it cannot find that, it looks for trade.  Finally, it looks for
close.  If your colnames don't contain any of those words, or if you
want to use a different column, you can specify that with the prefer
argument

 getPrice(USDCHF, prefer=Bid)
  Bid
2005-09-01 1.2558
2005-09-02 1.2368
2005-09-05 1.2344
2005-09-06 1.2404
2005-09-07 1.2444
2005-09-08 1.2470
2005-09-09 1.2470
2005-09-12 1.2597
2005-09-13 1.2640
2005-09-14 1.2613
2005-09-15 1.2696
2005-09-16 1.2729
2005-09-19 1.2815
2005-09-20 1.2818
2005-09-21 1.2825
2005-09-22 1.2809
2005-09-23 1.2918
2005-09-26 1.2965
2005-09-27 1.2998
2005-09-28 1.2984

Garrett

On Thu, Sep 20, 2012 at 9:30 PM, Worik Stanton worik.stan...@gmail.com wrote:
 On 21/09/12 14:10, Worik Stanton wrote:
 [snip]
 I am working on a small example that exhibits the problem but in the
 mean time is there a way I can debug .updatePosPL?

 So here is an example without transactions.

 I am a novice with blotter so tis example could probably be smaller.  I
 have tried to distill what are the most important points (hence no
 transactions).

 When I run this I get...

 go()
 2005-09-01
 FOO
 Error in getPrice(get(Symbol, pos = env), symbol = symbol, prefer =
 prefer) :
   subscript out of bounds, no price was discernible from the data


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Re: [R-SIG-Finance] Trouble with getSymbols.csv

[G See]

This function should really have more formal arguments -- especially
the format argument.

As it is, the `format` will be set to .  You should be able to pass
`format` through the dots, but there's a syntax bug preventing that
from working (`list(...)[[format]] - NULL`).

As it is, the only way to load your data using getSymbols.csv is to
set the `format` argument in the Symbol Lookup table. (I saved the
text from your e-mail in a file at ~/tmp/worik.txt)

setSymbolLookup(worik=list(src='csv', format='%Y-%m-%d'))
getSymbols('worik', dir='~/tmp', auto.assign=FALSE, extension='txt')

   WORIK.Open WORIK.High WORIK.Low WORIK.Close WORIK.Volume
2011-12-28 1.5968 1.59871.5762  1.58270
2011-12-29 1.5831 1.58461.5695  1.57240
2011-12-30 1.5726 1.58771.5704  1.58610
2011-12-31 1.5850 1.58611.5850  1.58610
2012-01-01 1.5850 1.58611.5820  1.58610
2012-01-02 1.5871 1.58751.5768  1.58020
2012-01-03 1.5800 1.58371.5726  1.58180
2012-01-04 1.5819 1.58651.5796  1.58130
2012-01-05 1.5812 1.58541.5730  1.57950
2012-01-06 1.5796 1.58711.5745  1.58590
2012-01-07 1.5854 1.58541.5782  1.57820
2012-01-08 1.5808 1.58661.5808  1.58660
2012-01-09 1.5867 1.59101.5807  1.58150
   WORIK.Adjusted
2011-12-281.58745
2011-12-291.57705
2011-12-301.57905
2011-12-311.58555
2012-01-011.58405
2012-01-021.58215
2012-01-031.57815
2012-01-041.58305
2012-01-051.57920
2012-01-061.58080
2012-01-071.58180
2012-01-081.58370
2012-01-091.58585

HTH,
Garrett

On Mon, Sep 17, 2012 at 4:12 PM, Worik Stanton worik.stan...@gmail.com wrote:
 Friends

 I have a file of data:

 Date,Open,High,Low,Close,Volume,Adjusted
 2011-12-28,1.5968,1.5987,1.5762,1.5827,0,1.58745
 2011-12-29,1.5831,1.5846,1.5695,1.5724,0,1.57705
 2011-12-30,1.5726,1.5877,1.5704,1.5861,0,1.57905
 2011-12-31,1.585,1.5861,1.585,1.5861,0,1.58555
 2012-01-01,1.585,1.5861,1.582,1.5861,0,1.58405
 2012-01-02,1.5871,1.5875,1.5768,1.5802,0,1.58215
 2012-01-03,1.58,1.5837,1.5726,1.5818,0,1.57815
 2012-01-04,1.5819,1.5865,1.5796,1.5813,0,1.58305
 2012-01-05,1.5812,1.5854,1.573,1.5795,0,1.5792
 2012-01-06,1.5796,1.5871,1.5745,1.5859,0,1.5808
 2012-01-07,1.5854,1.5854,1.5782,1.5782,0,1.5818
 2012-01-08,1.5808,1.5866,1.5808,1.5866,0,1.5837
 2012-01-09,1.5867,1.591,1.5807,1.5815,0,1.58585

 When I use getSymbols(.., src=csv)

 The dates are incorrect.  The first date is 2012-09-18

 It seems that in getSymbols.csv uses:

 as.Date(fr[, 1], format = format, ..., origin = 1970-01-01)

 Looking more closely...

 as.Date(2011-12-28, origin=1970-01-01, format=)
 [1] 2012-09-18

 That is what I see.

 But either of...
 as.Date(2011-12-28, origin=1970-01-01)
 [1] 2011-12-28
 as.Date(2011-12-28)
 [1] 2011-12-28


 give me what I expect.

 What am I doing wrong?

 cheers
 Worik

 --
 it does not matter  I think that I shall never see
 how much I dig and digA billboard lovely as a tree
 this hole just  Indeed, unless the billboards fall
 keeps getting deeper  I'll never see a tree at all

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Re: [R-SIG-Finance] Aggregating tick-by-tick data to seconds

[G See]

You can use `period.apply` (along with `endpoints()`) to apply any
function you like over non-overlapping time periods.

In this case, you want to sum columns 2 and 3 separately, so use
`period.apply()` with `FUN=colSums` on just the 2nd and 3rd columns.

period.apply(test[, 2:3], endpoints(test, 'secs'), FUN=colSums)

Then you can merge that with the results of `to.period`

 cbind(to.period(test[, 1], name=test), period.apply(test[,
-1], endpoints(test, 'secs'), FUN=colSums))
test.Open test.High test.Low
test.Close   up down
2012-09-12 16:30:00144.39144.39   144.38 144.38 5903  100

You could also use `period.sum()` on each column separately.

HTH,
Garrett

On Sat, Sep 15, 2012 at 10:57 AM, Costas Vorlow costas.vor...@gmail.com wrote:
 Hello,

 I have the following data (xts) (last two columns refer to up and down
 volumes).

 head(test,20)
   [,1] [,2] [,3]
 2012-09-12 16:30:00 144.39  3000
 2012-09-12 16:30:00 144.39  5000
 2012-09-12 16:30:00 144.39  3000
 2012-09-12 16:30:00 144.39  4000
 2012-09-12 16:30:00 144.39  3000
 2012-09-12 16:30:00 144.39  3000
 2012-09-12 16:30:00 144.39  1000
 2012-09-12 16:30:00 144.39  9000
 2012-09-12 16:30:00 144.39  2000
 2012-09-12 16:30:00 144.39  1030
 2012-09-12 16:30:00 144.39  1970
 2012-09-12 16:30:00 144.39  2000
 2012-09-12 16:30:00 144.39  5000
 2012-09-12 16:30:00 144.39  4000
 2012-09-12 16:30:00 144.39  1000
 2012-09-12 16:30:00 144.39  5000
 2012-09-12 16:30:00 144.39  3000
 2012-09-12 16:30:00 144.39  2000
 2012-09-12 16:30:00 144.39  1030
 2012-09-12 16:30:00 144.380  100


 I can use the to.period to aggregate the above data to seconds

 test.Open test.High test.Low test.Close
 2012-09-12 16:30:00144.39144.47   144.37 144.38
 2012-09-12 16:31:00144.39144.40   144.33 144.37
 2012-09-12 16:32:00144.37144.45   144.37 144.45
 2012-09-12 16:33:00144.45144.47   144.42 144.47


  but I am not sure how to do this for the volume columns. I would need to
 retrieve the volume sums per second.

 Is this functionality built into the xts package? Is there any other
 function that could be used to do something like that?

 Thanks  best regards,
 Costas
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Re: [R-SIG-Finance] Equities Data

[G See]

On Thu, Sep 6, 2012 at 8:02 AM, Ralph Vince rvinc...@gmail.com wrote:
 Thanks for the replies. I'm not looking for data adjusted for splits
 and dividends, but rather the ex-dates when the dividend or split will
 be affecting prices, and the amount of the dividends/ splits. It
 appears Yahoo finance might have this information, Im just not sure
 how, in R, to extract anything other than prices in R. Ralph Vince

library(quantmod)
?getDividends
?getSplits
?adjRatios
?getQuote
?yahooQF

That is much more on topic that can someone tell me where to get some
data? ;-)

Best,
Garrett

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Re: [R-SIG-Finance] Equities Data

[G See]

Also in quantmod, there is `getFinancials` if you want financial statements

In qmao (https://r-forge.r-project.org/R/?group_id=1113), there's

`getEarnings` which will give you historic analyst estimates and
actual earnings numbers
`getEarningsCalendar` will show you all stocks (U.S. and non-U.S.)
that report earnings.  It supports from and to arguments.
`getDividendsCalendar` will show you all stocks that go Ex-Div today
(although it also supports from and to if you want to see historic
calendars)
`getEconomicCalendar` shows the calendar of economic number releases
`getMergersCalendar` shows mergers/acquisitions

-Garrett

On Thu, Sep 6, 2012 at 8:18 AM, Ralph Vince rvinc...@gmail.com wrote:
 Ah, thank you! It must be in the Quantmod API / Thank you. Ralph Vince

 On Thu, Sep 6, 2012 at 9:05 AM, G See gsee...@gmail.com wrote:
 On Thu, Sep 6, 2012 at 8:02 AM, Ralph Vince rvinc...@gmail.com wrote:
 Thanks for the replies. I'm not looking for data adjusted for splits
 and dividends, but rather the ex-dates when the dividend or split will
 be affecting prices, and the amount of the dividends/ splits. It
 appears Yahoo finance might have this information, Im just not sure
 how, in R, to extract anything other than prices in R. Ralph Vince

 library(quantmod)
 ?getDividends
 ?getSplits
 ?adjRatios
 ?getQuote
 ?yahooQF

 That is much more on topic that can someone tell me where to get some
 data? ;-)

 Best,
 Garrett

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Re: [R-SIG-Finance] Equities Data

[G See]

That data is expensive, but your prime broker will probably provide it for free.

Otherwise, qmao::getDividendsCalendar can do it, but it's inefficient.
 You'd have to get the dividends calendar for future dates, and look
for your symbols.  Keep in mind that the local symbol will be used
even if the stock also trades in the U.S.  (i.e. BMW.DE instead of
BMW)

Good luck,
Garrett

On Thu, Sep 6, 2012 at 10:45 AM, Ralph Vince rvinc...@gmail.com wrote:
 I don't think this is going to do what I'm trying to accomplish here,
 which is determine the next, future, pending ex-date for dividends or
 splits, if there is one announced, so that I can prepare the systems
 for this in advance. It seems to be an nasty problem and  I'm trying
 to get out of maintaining this by hand!

 On Thu, Sep 6, 2012 at 9:05 AM, G See gsee...@gmail.com wrote:
 On Thu, Sep 6, 2012 at 8:02 AM, Ralph Vince rvinc...@gmail.com wrote:
 Thanks for the replies. I'm not looking for data adjusted for splits
 and dividends, but rather the ex-dates when the dividend or split will
 be affecting prices, and the amount of the dividends/ splits. It
 appears Yahoo finance might have this information, Im just not sure
 how, in R, to extract anything other than prices in R. Ralph Vince

 library(quantmod)
 ?getDividends
 ?getSplits
 ?adjRatios
 ?getQuote
 ?yahooQF

 That is much more on topic that can someone tell me where to get some
 data? ;-)

 Best,
 Garrett

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Re: [R-SIG-Finance] Equities Data

[G See]

On Thu, Sep 6, 2012 at 12:56 PM, Ralph Vince rvinc...@gmail.com wrote:
 THis looks pretty good, and could be parsed -- I just wish they had it
 for cash dividends as well;
 http://biz.yahoo.com/c/s.html
 Ralph Vince

They do.  Please look at
library(qmao)
?getDividendsCalendar

I think I've mentioned this before...
Garrett

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Re: [R-SIG-Finance] Equities Data

[G See]

You should be able to install it with this command

install.packages(qmao, repos=http://R-Forge.R-project.org;)

If for some reason that does not work, see this link:
http://stackoverflow.com/questions/11105131/cannot-install-r-forge-package-using-install-packages

Garrett

On Thu, Sep 6, 2012 at 6:31 PM, Ralph Vince rvinc...@gmail.com wrote:
 Garrett, this is really great. So I only need to get the latest qmao
 to do this? It's in CRAN? Ralph VInce

 On Thu, Sep 6, 2012 at 2:49 PM, G See gsee...@gmail.com wrote:
 I guess since you really only care about the future, this would be
 more appropriate

 sc - getSplitsCalendar(from='2012-09-05', to='2012-12-31')
 sc[sc$Symbol ==LKQ, ]
  PayableEx.Date Company Symbol Optionable. Ratio  Announced
 4 2012-09-18 2012-09-19 LKQLKQ   Y   2-1 2012-08-17


 On Thu, Sep 6, 2012 at 1:44 PM, G See gsee...@gmail.com wrote:
 That's not really how the website is setup.  So, I don't think that's
 how the function should be setup by default.  But, you can easily
 filter the results by Symbol.

 Here is the wrapper I mentioned.

 getSplitsCalendar - function(from, to) {
   qmao:::getCalendarByMonth(.getSplitsCalendar, from=from, to=to)
 }

 This allows you to get and merge several months of splits calendars.

 sc - getSplitsCalendar(from='2012-01-01', to='2012-08-31')

 Now you have the splits calendar from January to August.  You can
 filter that by the symbol you care about.

 sc[sc$Symbol == ALK, ]
   PayableEx.DateCompany Symbol Optionable. Ratio  Announced
 52 2012-03-16 2012-03-19 Alaska AirALK   Y   2-1 2012-02-16

 Good enough?

 Garrett

 On Thu, Sep 6, 2012 at 1:34 PM, Ralph Vince rvinc...@gmail.com wrote:
 Garrett,

 This is great. Do you think it would be possible to pass in a given
 ticker to get that informatoin, rather than getting the whole gulp?
 Ralph Vince


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Re: [R-SIG-Finance] Performance Analytics Calendar Returns

[G See]

On Wed, Sep 5, 2012 at 12:21 AM, Nikos Rachmanis
nikos.rachma...@gmail.com wrote:
 However, I am trying to transform the daily returns of my PL (which also
 include gaps) to monthly and unfortunately the to.monthly does not work
 very well.

 i am currently trying table.TrailingPeriods and rollapply.

 Any other ideas or functions?

?apply.monthly

apply.monthly(PnL, sum)

-Garrett

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Re: [R-SIG-Finance] blotter updatePortf issue..

[G See]

Hi Pie,

Thanks for providing reproducible code.  I committed a patch in Rev.
1151 that I believe will fix your problem.  If you need help checking
out and building the latest revision, see this post on SO:
http://stackoverflow.com/a/11105132/967840

Internally, the code was checking to see if Dates was timeBased.  If
it wasn't, it was being converted to a timeBased vector.  But, later,
the code was treating Dates as if it were not timeBased.  Hopefully
my patch fixes your problem and doesn't create others.

There are a couple other things to mention.  First, these lines are
not going to work:

updateAcct(account, Dates=paste('::',as.Date(Sys.time()),sep=''))
updateEndEq(account, Dates=paste('::',as.Date(Sys.time()),sep=''))

These functions do not support that type of Dates strings.  You'll
have to either use Dates=NULL, or supply both starting and ending
dates like this:

updateAcct(account, Dates=paste(initDate, as.Date(Sys.time()),sep='::') )
updateEndEq(account, Dates=paste(initDate, as.Date(Sys.time()),sep='::') )


Second, I didn't get these warnings that you got

  getSymbols(symbols, src='yahoo',
 index.class=c(POSIXt,POSIXct),from='2001-01-01')
 [1] QQQ IWM
 Warning messages:
 1: In download.file(paste(yahoo.URL, s=, Symbols.name, a=, from.m,  :
   downloaded length 147933 != reported length 200
 2: In download.file(paste(yahoo.URL, s=, Symbols.name, a=, from.m,  :
   downloaded length 147996 != reported length 200

I'm not sure why you get those warnings, but your version of quantmod
is a little older than mine (the R-forge version).

HTH,
Garrett


On Sun, Sep 2, 2012 at 11:27 PM, pie trader pietra...@gmail.com wrote:
 Hi,
 Currently I am stuck on an error with updatePortf function in blotter. The
 error message is same as the issue mentioned on R-sig-finance previously
 i.e.,
 http://r.789695.n4.nabble.com/blotter-updatePortf-issues-tp4635933.html


 updatePortf(Portfolio=portfolio,Dates=paste('::',as.Date(Sys.time()),sep=''))
 Error in if (length(c(year, month, day, hour, min, sec)) == 6  c(year,
  :
   missing value where TRUE/FALSE needed
 In addition: Warning message:
 In as_numeric() : NAs introduced by coercion



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Re: [R-SIG-Finance] FinancialInstrument functions output / side effect variables

[G See]

Doug,

I re-read your question.  Let me clarify.  Instruments are stored in
an environment called .instrument at the top level of the package.
You can see everything in that environment like this

  ls(FinancialInstrument:::.instrument)

However, there are lots of functions show the primary_ids of
instruments that do some checking to make sure that what is being
shown are indeed primary_ids of instruments.

e.g

  ls_stocks()
  ls_currencies()
  ls_instruments()

Let me know if I can offer more clarity.

Best,
Garrett

On Fri, Aug 24, 2012 at 11:44 AM, G See gsee...@gmail.com wrote:
 Hi Doug,

 You can use getInstrument to see the instruments

 e.g.

   stock(SPY, currency(USD))
   getInstrument(USD)
   getInstrument(SPY)

 Please take a look at the files in the demo directory
 (https://r-forge.r-project.org/scm/viewvc.php/pkg/FinancialInstrument/demo/FIdemo2.R?view=markuproot=blotter)

 You'll also probably be interested in ?buildHierarchy

 build_series_symbols does nothing but return a character vector and it
 does not store it anywhere and it does not create any instruments. (I
 personally use future_id from the twsInstrument package to serve the
 purpose of build_series_symbols)

 HTH,
 Garrett

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Re: [R-SIG-Finance] Bug in chart.CumReturns (PerformanceAnalytics)

[G See]

Peter,

I agree that this is confusing.

From ?Return.cumulative:
geometric  
generate geometric (TRUE) or simple (FALSE) returns, default TRUE

So, you use geometric=FALSE to create simple returns.  Then you use
geometric=TRUE if you want to chart them?

Best,
Garrett

On Wed, Aug 22, 2012 at 4:08 PM, Peter Carl pe...@braverock.com wrote:
 Correct, if you have simple returns, set geometric=TRUE.

 pcc
 --
 Peter Carl
 http://www.braverock.com/peter

 Call it what you want but for a simple (arithematic or geometric = FALSE)
 return, the equity curve should be cumprod(1+R) not cumsum(R).

 C.



 
  De : Peter Carl pe...@braverock.com
 À : Chris de Bleu blue2b...@yahoo.fr
 Cc : r-sig-finance@r-project.org r-sig-finance@r-project.org
 Envoyé le : Mercredi 22 août 2012 22h55
 Objet : Re: [R-SIG-Finance] Bug in chart.CumReturns (PerformanceAnalytics)

 The arithmetic and geometric tags (indicated as geometric=TRUE or
 FALSE) are used not for the returns themselves, but the *chaining method*
 used in the calculation.  (I think the documentation says simple instead
 of arithmetic).  Part of the confusion is that the language people are
 using in the literature is slightly different than what I adopted at the
 beginning, and it could be changed to be more clear.  Also, geometric ==
 compound.

 Perhaps we should use chaining.method=c(geometric, simple) for all of
 these functions in a future version.  Alternatively, we could use
 returns.type=c(simple, log) and provide the transformed returns from
 the log case, although somewhat I'm reluctant to do that across the
 whole package.

 pcc
 --
 Peter Carl
 http://www.braverock.com/peter

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Re: [R-SIG-Finance] help with quantmod and addTA

[G See]

I don't know, Oliver.  You're code is not reproducible.  However, a
cursory search of this list suggests that wrapping your addTA calls in
plot may help.

HTH,
Garrett

On Fri, Aug 10, 2012 at 1:43 PM, Olivier MARTIN
olivier.mar...@avignon.inra.fr wrote:
 Hi all,

 I don't understand very well the principles of oriented
 programmation and I have some diffculties with the function addTA().

 I suppose I have plotted a time serie with the function candleChart() for
 example.
 I have a vector y with 1,-1 and 0 values with the same length than my serie.
 If i want to add a shaded region corresponding to the value 1, I can do it
 with
 addTA(y==1,col=gray90,border=NA,on=-1)

 So I would like to write a function that add the three different regions
 I tried this
 addshaded=function(x){
 addTA(x==1,col=gray90,border=NA,on=-1)
 addTA(x==-1,col=green,border=NA,on=-1)
 addTA(x==0,col=red,border=NA,on=-1)
 }

 But the command addshaded(y) does not add the three different
 shaded regions. ;-(

 Regards,
 Olivier.

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Re: [R-SIG-Finance] quantmod bug ?

[G See]

Also, shouldn't patches be encouraged?

On Wed, Aug 8, 2012 at 10:16 AM, G See gsee...@gmail.com wrote:
 chartSeries is on CRAN and ?chart_Series says it's highly experimental.

 IMHO it's really not fair to tell people that they should use
 undocumented code.

 Garrett

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Re: [R-SIG-Finance] IBrokers : quotes from futures combo and reqIds

[G See]

I don't have a complete answer, but I don't think you directly request
a quote for a twsBAG.  You could get a quote for each leg and
calculate it yourself.  Below is an example.  I hope you don't mind if
I use the get_quote function from my twsInstrument package
(https://r-forge.r-project.org/R/?group_id=1113).  I don't know how IB
calculates the BidSize and AskSize of a combo, but you can look at how
I calculated it and see if it makes sense.

[I don't trade subscribe to market data for MATIF, so below I'll make
a combo between SPY and DIA.  Note that the ratio I chose is by no
means a recommendation -- I just picked a number that would make the
spread close to dollar neutral]

require(twsInstrument)
bag - twsBAG(
twsComboLeg(
conId = 756733, #conId(SPY),
ratio = 1,
action = BUY,
exchange = SMART
)   ,
twsComboLeg(
conId = 73128548, #conId(DIA),
ratio = 1.06,
action = SELL,
exchange = SMART
)
)

## Get a quote for both legs

(tmp - get_quote(c(bag$comboleg[[1]]$conId, bag$comboleg[[2]]$conId)))
#BidSize BidPrice AskPrice AskSize   Last LastSize Volume
#SPY 108   137.45   137.46 138 137.453 385111
#DIA  25   129.10   129.11  23 129.091  10656

data.frame(BidSize=min(c(as.numeric(bag$comboleg[[1]]$ratio) * tmp$BidSize[1],
   as.numeric(bag$comboleg[[2]]$ratio) * tmp$AskSize[2])),
   BidPrice=as.numeric(bag$comboleg[[1]]$ratio) * tmp$BidPrice[1] -
as.numeric(bag$comboleg[[2]]$ratio) * tmp$AskPrice[2],
   AskPrice=as.numeric(bag$comboleg[[1]]$ratio) * tmp$AskPrice[1] -
as.numeric(bag$comboleg[[2]]$ratio) * tmp$BidPrice[2],
   AskSize=min(c(as.numeric(bag$comboleg[[1]]$ratio) * tmp$AskSize[1],
   as.numeric(bag$comboleg[[2]]$ratio) * tmp$BidSize[2])),
   row.names=paste(rownames(tmp), collapse=.))

#BidSize BidPrice AskPrice AskSize
#SPY.DIA   24.38   0.59340.61426.5

HTH,
Garrett


On Thu, Jul 19, 2012 at 8:18 AM, omerle ome...@laposte.net wrote:
 Dear,

 1 - Quotes from futures combo

 I need quotes from futures combo but I cant find how to find these quotes.
 I can place combo orders but I can't find how to get the quotes. For 
 instance, I would
 like to have the quotes of the combo between ECO AUG12 (83617918) and ECO 
 NOV12
 (87689647).
 Do you have any idea ?
 Which part of the IB API documentation should I check ?
 That's quite important for me !

 2 - reqIds

 If I understand well reqIds, it doesnt give the next iDs from Interactive 
 Broker but the
 last iDs + 1 of the R session or TWS. Sometimes it doesn't work for me 
 because when I
 relaunch R or TWS it forgets the real last iDs.
 When the iDs count is relaunch ? How can I relaunch it ?


 Thanks a lot,

 Olivier MERLE

 Une messagerie gratuite, garantie à vie et des services en plus, ça vous 
 tente ?
 Je crée ma boîte mail www.laposte.net

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Re: [R-SIG-Finance] IBrokers : quotes from futures combo and reqIds

[G See]

On Thu, Jul 19, 2012 at 10:09 AM, Stergios Marinopoulos
stergios_marinopou...@yahoo.com wrote:
 In Java, if you create a proper BAG Contract you can use it with reqMktData() 
 or
 reqHistoricalData().  I imagine the same holds true in R as well.  (I can 
 send Java examples if interested.)

 Try using IBrokers twsBAG() function to create a combo contract, and use the 
 returned object as the contract to IBrokers's equivalent of reqMktData() and 
 data should start streaming.


I'm unable to get that to work.  If anyone else can get it to work,
please share your secret.

Thanks,
Garrett

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Re: [R-SIG-Finance] IBrokers : quotes from futures combo and reqIds

[G See]

:-( I'm afraid it doesn't even work with 1 and 1

Were you able to get market data for a twsBAG, Soren?

In May, Jeff suggested it doesn't work:
https://stat.ethz.ch/pipermail/r-sig-finance/2012q2/010258.html


On Thu, Jul 19, 2012 at 11:36 AM, me m...@censix.com wrote:
 Hi Stergios

 I believe it is your ratios. They have to be integers.
 your second one is

 ratio = 1.06

 You will have to calculate the most feasible rational approximation to
 your beta of

 -1.06/1

 One solution would be

 -21/20   ~   -1.05

 So you could set

 leg1: ratio = 21
 leg2: ratio = 20

 That should do it.

 Cheers

 Soren

 http://censix.com


 On Thu, 19 Jul 2012 08:28:17 -0700 (PDT)
 Stergios Marinopoulos stergios_marinopou...@yahoo.com wrote:

 I took Garrett's example and tried to get it working using IBrokers.
  It's starts writing data to a file as expected, but then the error
 below is produced and quote data is no longer written to the file.

 2 1 320 Error reading request:-'wc' : cause - Unable format field -




 Here's the code:

 library(IBrokers) ;
 tws - twsConnect(1)
 bag - twsBAG(
 twsComboLeg(
 conId = 756733, #conId(SPY),
 ratio = 1,
 action = BUY,
 exchange = SMART
 )  ,
 twsComboLeg(
 conId = 73128548, #conId(DIA),
 ratio = 1.06,
 action = SELL,
 exchange = SMART
 )
 )
 bag.csv - file(~/bag.csv, open=w)
 reqMktData(tws, bag,
eventWrapper=eWrapper.MktData.CSV(1),
file=bag.csv)


 --
 Stergios Marinopoulos


 - Original Message -
 From: G See gsee...@gmail.com
 To: Stergios Marinopoulos stergios_marinopou...@yahoo.com
 Cc: omerle ome...@laposte.net; r-sig-finance@r-project.org
 r-sig-finance@r-project.org Sent: Thursday, July 19, 2012 11:11 AM
 Subject: Re: [R-SIG-Finance] IBrokers : quotes from futures combo and
 reqIds

 On Thu, Jul 19, 2012 at 10:09 AM, Stergios Marinopoulos
 stergios_marinopou...@yahoo.com wrote:
  In Java, if you create a proper BAG Contract you can use it with
  reqMktData() or reqHistoricalData().  I imagine the same holds true
  in R as well.  (I can send Java examples if interested.)
 
  Try using IBrokers twsBAG() function to create a combo contract,
  and use the returned object as the contract to IBrokers's
  equivalent of reqMktData() and data should start streaming.
 

 I'm unable to get that to work.  If anyone else can get it to work,
 please share your secret.

 Thanks,
 Garrett

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 questions should go.



 --
 Soren Wilkening

 http://censix.com

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Re: [R-SIG-Finance] qsiblive, how to debug code with source() as sub procedure

[G See]

On Sat, Jul 14, 2012 at 9:59 AM, unsown uns...@gmail.com wrote:
 I'm not an experienced R user and I'm currently trying with the psiblive demo
 codes. I found the source() command has been used in quite a few places  in
 the codes. I understand that by using this a long procedure can be separated
 into several modules, but  I found it is not easy to debug. One of the
 difficulty is that it seems not easy to find out which file and which line
 the error belonged to.

Maybe ?getSrcFilename can help with this

Regards,
Garrett

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Re: [R-SIG-Finance] TSE ticker problems

[G See]

I don't think google provides that data in a nice format (i.e. CSV)

If you go to http://www.google.com/finance/historical?q=NYSEARCA:SPY
you can see that on the right side of the page there is a section
called Export with a link called Download to spreadsheet

However, if you go the analogous page for COS, there is no such link.
http://www.google.com/finance/historical?q=TSE:COS

On Wed, Jul 11, 2012 at 1:57 PM, Paul Gilbert pgilbert...@gmail.com wrote:
 My bad. Indeed the examples should have been:

 getSymbols(BMO.TO, src=yahoo)
 getSymbols(COS.TO, src=yahoo)
 getSymbols(TSE:COS, src=google)

 They lost something in translation from my code. The problem is not resolved
 by this correction, however the yahoo retrieval is fixed by the
 getSymbols.yahoo URL change suggested.

 The google retrieval still causes problems:

 getSymbols(TSE:COS, src=google)
 Error in download.file(paste(google.URL, q=, Symbols.name, startdate=,
 :
   cannot open URL
 'http://finance.google.com/finance/historical?q=TSE:COSstartdate=Jan+01,+2007enddate=Jul+11,+2012output=csv'
 In addition: Warning message:
 In download.file(paste(google.URL, q=, Symbols.name, startdate=,  :

   cannot open: HTTP status was '404 Not Found'


 Any further suggestions appreciated.

 Thanks,
 Paul



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Re: [R-SIG-Finance] TSE ticker problems

[G See]

Paul,

Although, changing the yahoo URL seemed to work to get yahoo's data
for COS.TO, beware that there is a 4+ month gap in their data in 2012.

tail(COS.TO)
   COS.TO.Open COS.TO.High COS.TO.Low COS.TO.Close COS.TO.Volume
2012-02-22   23.25   23.61  23.2323.61   1473800
2012-02-23   23.68   23.75  23.4123.62   1560800
2012-02-24   23.74   23.96  23.6223.66   1639300
2012-02-27   23.60   23.60  23.2623.34   1261100
2012-02-28   23.34   23.70  23.2723.34   2038900
2012-07-11   19.13   19.59  18.9219.40   1286400
   COS.TO.Adjusted
2012-02-22   23.61
2012-02-23   23.62
2012-02-24   23.66
2012-02-27   23.34
2012-02-28   23.34
2012-07-11   23.34

Garrett


On Wed, Jul 11, 2012 at 1:57 PM, Paul Gilbert pgilbert...@gmail.com wrote:
snip
 however the yahoo retrieval is fixed by the
 getSymbols.yahoo URL change suggested.

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Re: [R-SIG-Finance] blotter updatePortf issues

[G See]

This does not have anything to do with xts.  It is a blotter bug that
was introduced in Rev. 1027
(http://r-forge.r-project.org/scm/viewvc.php/pkg/blotter/R/updatePosPL.R?sortby=revroot=blotterr1=1027r2=1026pathrev=1027)

You can see from Hideyoshi's traceback, that updatePortf was called
with Dates=paste(::, as.Date(Sys.time()))

6: updatePortf(Portfolio = portfolio.st, Dates = paste(::,
as.Date(Sys.time()),
   sep = )) at macd.R#80

Then, later, in .updatePosPL, a / is added to the date string

8: index(prices[paste(/, .parseISO8601(Dates)$last.time, sep = )])

So, it's trying to parse something that looks sort of like this /::2012-07-10

That said, I'm not sure how to patch.

Best,
Garrett

On Tue, Jul 10, 2012 at 4:12 AM, OpenTrades j...@opentrades.nl wrote:
 Hi Hideyoshi,


 On 10-07-12 02:44, Hideyoshi Maeda wrote:

 Hi guys,

 I am having a few issues with the updatePortf function...this error seems
 to keep re-occuring...but have managed to make a reproducible example...that
 occurs on the demos...fyi this error does not occur when running blotter
 version 0.8.9

 when running
 demo(macd)

 the code stops with this error...


 updatePortf(Portfolio=portfolio.st,Dates=paste('::',as.Date(Sys.time()),sep=''))

 Error in if (length(c(year, month, day, hour, min, sec)) == 6  c(year,
 :
missing value where TRUE/FALSE needed
 In addition: Warning message:
 In as_numeric() : NAs introduced by coercion


 Looks like you hit the same bug that I filed a couple of weeks ago, see:
 http://r-forge.r-project.org/tracker/index.php?func=detailaid=2116group_id=118atid=516
 for a description and a workaround.

 Please attach your reproducible example to my bug report, so the developers
 can fix the bug.

 HTH,

 Jan.



 and running traceback() it shows this...

 traceback()

 14: function (year = 1970, month = 12, day = 31, hour = 23, min = 59,
  sec = 59, subsec = 0.9, tz = )
  {
  if (!missing(sec)  sec%%1 != 0)
  subsec - 0
  sec - ifelse(year  1970, sec, sec + subsec)
  mon.lengths - c(31, 28, 31, 30, 31, 30, 31, 31, 30, 31,
  30, 31)
  if (missing(day)) {
  day - ifelse(month %in% 2, ifelse(((year%%4 %in% 0 
  !year%%100 %in% 0) | (year%%400 %in% 0)), 29, 28),
  mon.lengths[month])
  }
  if (length(c(year, month, day, hour, min, sec)) == 6  c(year,
  month, day, hour, min, sec) == c(1969, 12, 31, 23, 59,
  59)  Sys.getenv(TZ) %in% c(, GMT, UTC))
  sec - sec - 1
  ISOdatetime(year, month, day, hour, min, sec, tz)
  }(year = NA_real_, tz = )
 13: do.call(lastof, parse.side(intervals[2], intervals[1]))
 12: as.POSIXlt(do.call(lastof, parse.side(intervals[2], intervals[1])))
 11: .parseISO8601(ii, .index(x)[1], .index(x)[nr], tz = tz)
 10: `[.xts`(prices, paste(/, .parseISO8601(Dates)$last.time, sep = ))
 9: prices[paste(/, .parseISO8601(Dates)$last.time, sep = )]
 8: index(prices[paste(/, .parseISO8601(Dates)$last.time, sep = )])
 7: .updatePosPL(Portfolio = pname, Symbol = as.character(symbol),
 Dates = Dates, Prices = Prices, ... = ...)
 6: updatePortf(Portfolio = portfolio.st, Dates = paste(::,
 as.Date(Sys.time()),
 sep = )) at macd.R#80
 5: eval(expr, envir, enclos)
 4: eval(ei, envir)
 3: withVisible(eval(ei, envir))
 2: source(available, echo = echo, max.deparse.length = Inf, keep.source =
 TRUE)
 1: demo(macd)

 Other discussions have related the error messages to a non-updated version
 of xts...I think everything is pretty much up-to-date, but just in case here
 is my sessionInfo()

 sessionInfo()

 R version 2.15.1 (2012-06-22)
 Platform: x86_64-apple-darwin9.8.0/x86_64 (64-bit)

 locale:
 [1] C/en_US.UTF-8/C/C/C/C

 attached base packages:
 [1] tools parallel  stats graphics  grDevices utils datasets
 methods
 [9] base

 other attached packages:
   [1] XML_3.9-4Rook_1.0-5
   [3] brew_1.0-6   lubridate_1.1.0
   [5] knitr_0.6.3  rJava_0.9-3
   [7] googleVis_0.2.16 RJSONIO_0.98-1
   [9] timeDate_2160.95 plyr_1.7.1
 [11] PerformanceAnalytics_1.0.4.4 quantstrat_0.6.8
 [13] blotter_0.8.10   FinancialInstrument_0.15.1
 [15] quantmod_0.3-19  Defaults_1.1-1
 [17] TTR_0.21-1   xts_0.8-6
 [19] zoo_1.7-7

 loaded via a namespace (and not attached):
 [1] digest_0.5.2   evaluate_0.4.2 formatR_0.5grid_2.15.1
 lattice_0.20-6
 [6] stringr_0.6

 Any help would be greatly appreciated!

 And thanks again to you guys who put in so much hard work to build this
 amazing software!

 Thanks

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 --
 Jan 

Re: [R-SIG-Finance] blotter updatePortf issues

[G See]

Apologies for the misinformation.  blotter was version 0.8.9 at Rev.
1027, and according to the OP version 0.8.9 does not have the error.

I am unable to reproduce the error.

Garrett

On Tue, Jul 10, 2012 at 8:20 AM, G See gsee...@gmail.com wrote:
 This does not have anything to do with xts.  It is a blotter bug that
 was introduced in Rev. 1027
 (http://r-forge.r-project.org/scm/viewvc.php/pkg/blotter/R/updatePosPL.R?sortby=revroot=blotterr1=1027r2=1026pathrev=1027)

 You can see from Hideyoshi's traceback, that updatePortf was called
 with Dates=paste(::, as.Date(Sys.time()))

 6: updatePortf(Portfolio = portfolio.st, Dates = paste(::,
 as.Date(Sys.time()),
sep = )) at macd.R#80

 Then, later, in .updatePosPL, a / is added to the date string

 8: index(prices[paste(/, .parseISO8601(Dates)$last.time, sep = )])

 So, it's trying to parse something that looks sort of like this 
 /::2012-07-10

 That said, I'm not sure how to patch.

 Best,
 Garrett


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Re: [R-SIG-Finance] yahoo dates

[G See]

FWIW, I download 33 fields from yahoo every night at 10 p.m. CDT using
quantmod::getQuote, and the prices and volumes (and everything else
except 50-day MA, 200-day MA and Ave. Daily Volume) reported by
getQuote at 10 p.m. CDT on 2012-07-03 were the same as those reported
at 10 p.m. CDT on 2012-07-04

I only download data for stocks (not stock indexes), but using SPY as
an example, the Volume as reported by getQuote was 80450168 on both
dates.  If I use getSymbols now, it tells me that the volume was
8045 (i.e. the same, but rounded).

getQuote reported the same volume on both days for all of the roughly
7500 stocks and ETFs that are listed in the U.S. for which I collect
data.

So, at least for stocks, the extra volume never showed up using
getQuote.  But, since I wasn't downloading data for indexes, I can't
say whether it would have shown up there.

Regards,
Garrett

On Thu, Jul 5, 2012 at 4:47 PM, Motley Fool motleyf...@dawgstar.org wrote:
 On Thu, Jul 5, 2012 at 11:33 AM, Paul Gilbert pgilbert...@gmail.com wrote:
 Occasionally this week it seems that yahoo is using the previous day's date
 SNIP

 Does anyone know what is going on at yahoo?  What is the convention at other
 data suppliers for adjustment data on holidays, or are these  real prices
 and volume that occurred after July 3?

 Paul

 Paul

 I saw this start Tueday, the closing $amount for the previous day is
 the same, but
 the volume is different.  I've used Yahoo data though Holiday periods
 before and
 this is the first time I've seen this happen.

 diana

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Re: [R-SIG-Finance] addTxns addfees

[G See]

My apologies.  I see what you are talking about, and I see where that
is hardcoded in.  So, you would need to replace

TxnFee - 0

with

TxnFee - as.numeric(TxnData[row, txnfees])


On Wed, Jul 4, 2012 at 6:24 PM, Hideyoshi Maeda
hideyoshi.ma...@gmail.com wrote:
 Thanks for your response.

 I am aware that addTxn is not vectorized...

 but what I am using below is addTxns...(note the 's' after Txn)

 This allows transaction data through the TxnData argument

 It is, in effect, a vectorised version of addTxn...even the blotter demo from

 demo(amzn_test)

 uses this

 However unlike the demo...i wanted to include Transaction fees, and wanted to 
 know if this was possible...as the function for addTxns automatically assigns 
 this to zero...



 On 5 Jul 2012, at 09:15, G See wrote:

 Hi Hideyoshi,

 addTxn is not vectorized, and it does not have a txnData argument.  To
 see how the function is intended to be used, please read

 ?addTxn

 Then look at the demos that are included with blotter as well as the
 examples in ?blotter.

 HTH,
 Garrett

 On Wed, Jul 4, 2012 at 5:46 PM, Hideyoshi Maeda
 hideyoshi.ma...@gmail.com wrote:
 If an example is required

 Here is an example:

 rm(list=ls(pos=.blotter),pos=.blotter)
 rm(list=ls(pos=.instrument),pos=.instrument)
 rm(list=ls(pos=.strategy),pos=.strategy)

 currency('USD')
 stock(SPY, currency=USD, mulitplier=1)

 getSymbols('SPY', from='2012-03-01', to='2012-07-04')

 portf.name - dummy.Portfolio

 initPortf(portf.name, 'SPY', initDate='2012-02-29')
 initAcct(portf.name, portf.name, initDate='2012-02-29', initEq=1e6)

 qty - rep(c(1,-1), nrow(SPY)/2)
 price - SPY[,4]
 txnfees - rep(-5, nrow(SPY))
 txndata - cbind(qty, price, txnfees)
 colnames(txndata) - c(Quantity,Price,txnfees)

 blotter:::addTxns(Portfolio=portf.name, Symbol='SPY', TxnData=txndata )

 txns - getTxns(Portfolio=portf.name, Symbol='SPY')

 head(txns)
 This will show the buying and selling of 1 share on alternate days at the 
 close but will not show any of the fees relating to each transaction.

 Thanks

 HLM

 On 5 Jul 2012, at 01:48, Hideyoshi Maeda wrote:

 Hi I am looking at the addTxns function in blotter, and I would like to 
 add fees data/information in the TxnData argument (as a column).

 When looking at the function, by running

 blotter:::addTxns
 it seems to use the column names Price and Quantity but automatically 
 sets/assigns the TxnFees to zero.

 Is there a way of overwriting this, so that it can be included in my 
 analysis?



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Re: [R-SIG-Finance] PortfolioAnalytics

[G See]

I suggest that when you take this up on a Cygwin SVN list you show
*exactly* what commands you entered, and *exactly* what errors you
saw.

Or, you could just use TortoiseSVN.

On Thu, Jun 21, 2012 at 8:19 AM, Pierre-Alexandr des Mazis
p.desma...@gmail.com wrote:
 Hi

 I used SVN with Cygwin to checkout the project but host name could not be 
 reached.


 Regards

 Pierre-Alexandre des Mazis
 + 447 779 171 499

 On 21 Jun 2012, at 13:59, G See gsee...@gmail.com wrote:

 Precisely what do you mean by the SVN is not working?  When you read
 the thread that Julien provided, did you follow this link that I
 provided in that thread?
 http://stackoverflow.com/questions/11105131/cannot-install-r-forge-package-using-install-packages

 R-Forge does not build packages for old versions of R.  You have to
 build it yourself.
 If it really is an SVN problem, then R-sig-finance is not the best place to 
 ask.

 HTH,
 Garrett

 On Thu, Jun 21, 2012 at 7:21 AM, Pierre-Alexandr des Mazis
 p.desma...@gmail.com wrote:
 The SVN is not working on my side.

 Do you think I could find any Orr package zip for R 2.12?

 I am not very familiar with the building process .

 Regards

 Pierre-Alexandre des Mazis
 + 447 779 171 499

 On 21 Jun 2012, at 12:04, julien cuisinier j_cuisin...@hotmail.com wrote:

 Please do some research before posting:
 http://r.789695.n4.nabble.com/Where-to-obtain-version-of-PortfolioAnalytics-package-installable-on-R-2-15-td4633724.html

 Same comment would be valid for Juan's post yesterday asking about the 
 RExcel, half a minute googling would have told him how to extract a tar.gz 
 file, even on Windows

 seems there have been some issues with the build as Garret mentioned, you 
 might have to build it yourself. If you do please share with the list

 Rgds,
 Julien





 From: p.desma...@gmail.com
 Date: Thu, 21 Jun 2012 11:42:09 +0100
 To: r-sig-finance@r-project.org
 Subject: [R-SIG-Finance] PortfolioAnalytics

 Hi

 I was looking for PortfolioAnalytics package zip but could not find it on 
 the web.

 Can you please help on that

 Thank you
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Re: [R-SIG-Finance] Where to obtain version of PortfolioAnalytics package installable on R 2.15

[G See]

On Mon, Jun 18, 2012 at 2:34 PM, G See gsee...@gmail.com wrote:
 I wish there were an R-Forge FAQ I could point to.

Now we can direct these types of question to this post:
http://stackoverflow.com/questions/11105131/cannot-install-r-forge-package-using-install-packages

Garrett

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Re: [R-SIG-Finance] Where to obtain version of PortfolioAnalytics package installable on R 2.15

[G See]

I wish there were an R-Forge FAQ I could point to.

You need to use svn to checkout the code. (tortoise svn is popular for Windows)
svn checkout svn://svn.r-forge.r-project.org/svnroot/returnanalytics/

Navigate to the pkg directory of what you just checked out
cd returnanalytics/pkg

Then build and install it.  Since you're on Windows, you'll need
http://cran.r-project.org/bin/windows/Rtools/
   R CMD INSTALL --build PortfolioAnalytics

As you noticed, that package has some problems that prevent it from
passing R CMD check, so don't hold your breath waiting for R-Forge to
build it.  (Also, don't expect the documentation to match the code)

If you're going to use code that is under development, you need to
learn to use svn and how to build packages from source.  If you have
trouble building from source, follow up on R-help.

HTH,
Garrett

On Mon, Jun 18, 2012 at 12:02 PM, David-Michael Lincke
dlin...@lincke.com wrote:
 Could somebody please point me to where I can obtain a version of package 
 PortfolioAnalytics that can be installed on R 2.15 (x86 32 bit) on Windows?

 The obvious approach fails:

 install.packages(PortfolioAnalytics,repos=http://r-forge.r-project.org;)
 Warning message: package ‘PortfolioAnalytics’ is not available (for R version 
 2.15.0)

 A closer look on R-Forge shows that the package has not been building 
 successfully for some time due to issues with compiling the documentation 
 into pdf.

 Thanks,
 David

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Re: [R-SIG-Finance] Compute jump test statistic

[G See]

We don't have your data, so we can't get past
numr = 1 - (outads$medrv/outads$rv)
Error: object 'outads' not found

Please see:
tinyurl.com/reproducible-000
and
http://www.r-project.org/posting-guide.html

Also, it wouldn't hurt to explain what you're doing, what all those
terms are in your formula, and what the notation means.

Finally, only send text e-mails to the list; no HTML.

Garrett

On Mon, Jun 18, 2012 at 2:16 PM, Caolan Harvey
caolan.harv...@mail.dcu.ie wrote:
  Im trying to compute the following statistic testing for jumps in high
 frequecy asset prices,
 J t,M  =  (1 – MedRVt,M / RVt,M) /(sqrt*( 0.96 * 1/M * max(1, MedRQt,M/
 MedRV2t,M ))


 I have in R:

 ## ADS Test Statistic

 numr = 1 - (outads$medrv/outads$rv) outads$medrq/(outads$medrv^2) - 
 denom2 fix(denom2)



 But when I  try to run the max(1, MedRQt,M/ MedRV2t,M)) part I get:



 max(1, denom2)[1] NA


 I guess this is returned because I am tryin to maximise a time series /
 sequence against a constant but I am not sure how to run this?

 Any advice?
 Thanks

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Re: [R-SIG-Finance] Error in midnightStandard(charvec, format)

[G See]

Hi Wei-han,

The problem is that your csv has tabs in the date.  One solution would
be to remove the tabs with gsub like this

dataset$Date - gsub(\t, , dataset$Date)

That should get rid of the error.

A more elegant solution might be to use read.zoo from the zoo package
to read your csv.

HTH,
Garrett

On Tue, Jun 5, 2012 at 7:10 PM, Wei-han Liu weihanliu2...@yahoo.com wrote:
 Hi R users:

 I am trying some functions in QRMlib package and applying to my own trial
 dataset but encountered the following error message when dealing with time
 series data.

 Error in midnightStandard(charvec, format) :
   'charvec' has non-NA entries of different number of characters


 I have googled for some solution but the discussions are not clear enough to
 me if the issue can be solved or not. I suppose it is due to the data type
 conflict.

 Listed below is the coding and dataset is attached:
 dataset - read.csv(D:/stockindex.csv, header=TRUE, sep = ,);
 tsData - as.timeSeries(dataset);
 Date - tsData[,1];
 SP500ts - tsData[,2];

 SP500.nreturns - -mk.returns(SP500ts);
 tD - timeDate(05/16/1992,%m/%d/%Y);
 window - (seriesPositions(SP500.nreturns)  tD);
 SP500.nreturns - SP500.nreturns[window];

 Thanks for your attention and assistance.

 Wei-han

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Re: [R-SIG-Finance] IBrokers - reqOpenOrders and placeOrder not working anymore

[G See]

Checkout the code with svn and build it yourself.  The current version is 0.9-7

On linux or mac, you'd do something like this

svn checkout http://ibrokers.googlecode.com/svn/trunk/ ibrokers

That will checkout the code into a directory called ibrokers.  Then you can

R --vanilla CMD INSTALL --build ibrokers

HTH,
Garrett

On Thu, May 17, 2012 at 3:15 PM, omerle ome...@laposte.net wrote:
 Hi,

 I just dowload IBrokers from 
 http://code.google.com/p/ibrokers/downloads/detail?
 name=IBrokers_0.9-0.tar.gzcan=2q=
 and install IBrokers with
 install.packages(C:/IBrokers_0.9-0).tar.gz, repos = NULL, type=source)
 but reqOpenOrders and placeOrders is not working anyway !

 Any other advice ?

 Thanks


 Try updating to the newest googlecode version. A change in IB response.

 Jeff

 Jeffrey Ryan | Founder | jeffrey.r...@lemnica.com

 www.lemnica.com

 On May 11, 2012, at 5:26 PM, G See  wrote:

 FWIW, I have the opposite problem. When connected with a live account, I see:

 tws - twsConnect()
 tws$nextValidId
 [1] 1

 But, with the demo account, the account number is being stored in 
 nextValidId:

 tws - twsConnect()
 tws$nextValidId
 [1] DU123456

 # But, I changed the actual account number

 Best,
 Garrett

 On Fri, May 11, 2012 at 8:03 AM, omerle  wrote:
 Dear All,

 First thanks to Jeff Ryan for the very interesting IBrokers package.

 After looking for answers on Rseek without success, your are my last hope !

 Here is my problem :

 placeOrder  reqOpenOrders don't work on my trading accout but its working 
 on my demo
 account !

 For instance when I do

 reqOpenOrders(twsconn) or IBrokers:::.reqOpenOrders(twsconn)
 = I get only the error message 53 (OPEN_ORDER_END) even if I have open 
 order in my
 console.

 OR

 placeOrder
 = it doesnt do anything

 = But I can get TWS real time quotes or accountUpdate

 (I think it was ok before at least for placeOrder)

 I set the same parameter in configurationAPIs for both my demo account and 
 trading
 account
 but trading account is still not working.

 Do you have any idea what I did wrong and how I can use both placeOrder and
 reqOpenOrders
 ?



 Many Thanks,

 Olivier Merle

 Une messagerie gratuite, garantie à vie et des services en plus, ça vous 
 tente ?
 Je crée ma boîte mail www.laposte.net

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 Je crée ma boîte mail www.laposte.net

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Re: [R-SIG-Finance] quanstrat rule to exit same day close (using daily data)

[G See]

Extending on what Jan said, perhaps you could add a PrevClose column
to your data and use prefer='PrevClose'

Garrett

On Sun, May 13, 2012 at 2:55 PM, s p algotr8...@gmail.com wrote:
 okay so that means I can't use quantstrat for strategies where the entry
 and exit are on the same bar (in this case daily bar).

 I can do this in blotter - which I guess is fine.

 Thanks for the feedback.

 On Sun, May 13, 2012 at 3:46 PM, OpenTrades j...@opentrades.nl wrote:

 In quantstrat, if your have a signal on bar t, the rule will be executed
 at bar t+1. In your case, this means that the order will be added for the
 next day.

 Use the 'prefer'-argument to specify which of next day's rates (open, low,
 high, close) you want to use.




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Re: [R-SIG-Finance] IBrokers - reqOpenOrders and placeOrder not working anymore

[G See]

FWIW, I have the opposite problem.  When connected with a live account, I see:

 tws - twsConnect()
 tws$nextValidId
[1] 1

But, with the demo account, the account number is being stored in nextValidId:

 tws - twsConnect()
 tws$nextValidId
[1] DU123456

# But, I changed the actual account number

Best,
Garrett

On Fri, May 11, 2012 at 8:03 AM, omerle ome...@laposte.net wrote:
 Dear All,

 First thanks to Jeff Ryan for the very interesting IBrokers package.

 After looking for answers on Rseek without success, your are my last hope !

 Here is my problem :

 placeOrder  reqOpenOrders don't work on my trading accout but its working on 
 my demo
 account !

 For instance when I do

 reqOpenOrders(twsconn) or IBrokers:::.reqOpenOrders(twsconn)
 = I get only the error message 53 (OPEN_ORDER_END) even if I have open order 
 in my
 console.

 OR

 placeOrder
 = it doesnt do anything

 = But I can get TWS real time quotes or accountUpdate

 (I think it was ok before at least for placeOrder)

 I set the same parameter in configurationAPIs for both my demo account and 
 trading account
 but trading account is still not working.

 Do you have any idea what I did wrong and how I can use both placeOrder and 
 reqOpenOrders
 ?



 Many Thanks,

 Olivier Merle

 Une messagerie gratuite, garantie à vie et des services en plus, ça vous 
 tente ?
 Je crée ma boîte mail www.laposte.net

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Re: [R-SIG-Finance] IBrokers - reqOpenOrders and placeOrder not working anymore

[G See]

Oops. I was on an old revision.  After updating to the version in the
repo (http://code.google.com/p/ibrokers), all is well.

Garrett

On Fri, May 11, 2012 at 5:26 PM, G See gsee...@gmail.com wrote:
 FWIW, I have the opposite problem.  When connected with a live account, I see:

 tws - twsConnect()
 tws$nextValidId
 [1] 1

 But, with the demo account, the account number is being stored in nextValidId:

 tws - twsConnect()
 tws$nextValidId
 [1] DU123456

 # But, I changed the actual account number

 Best,
 Garrett

 On Fri, May 11, 2012 at 8:03 AM, omerle ome...@laposte.net wrote:
 Dear All,

 First thanks to Jeff Ryan for the very interesting IBrokers package.

 After looking for answers on Rseek without success, your are my last hope !

 Here is my problem :

 placeOrder  reqOpenOrders don't work on my trading accout but its working 
 on my demo
 account !

 For instance when I do

 reqOpenOrders(twsconn) or IBrokers:::.reqOpenOrders(twsconn)
 = I get only the error message 53 (OPEN_ORDER_END) even if I have open 
 order in my
 console.

 OR

 placeOrder
 = it doesnt do anything

 = But I can get TWS real time quotes or accountUpdate

 (I think it was ok before at least for placeOrder)

 I set the same parameter in configurationAPIs for both my demo account and 
 trading account
 but trading account is still not working.

 Do you have any idea what I did wrong and how I can use both placeOrder and 
 reqOpenOrders
 ?



 Many Thanks,

 Olivier Merle

 Une messagerie gratuite, garantie à vie et des services en plus, ça vous 
 tente ?
 Je crée ma boîte mail www.laposte.net

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Re: [R-SIG-Finance] Generating a front month only Time Series for Futures Prices

[G See]

John,

I think you probably meant to send this to the list instead of just
me; apologies if not.

I agree that when possible, you should avoid building continuous
series.  Nonetheless, that's what the OP asked for.

Sometimes, there is value in analyzing a long history of data (for
example when analyzing risk) and in such cases, a constant maturity
future makes sense.

Also, if your time-frame is short and you're careful about how you
adjust and how you use the adjusted data, I think it can be useful.

The OP wanted to combine and not adjust, which, IMO is more dangerous
than combining and adjusting.  If you're going to combine the price
series of 2 different expiration months, then you have to adjust for
the roll.  Otherwise, you may see a trend or mean-reversion where
there isn't one, or worse, the opposite is actually occurring.

Your point about this being a difficult thing to generalize (e.g.
different grades for different expirations, or first notice day being
different than expiration, etc.) is valid.

Regards,
Garrett

On Thu, May 10, 2012 at 12:48 PM, BBands bba...@gmail.com wrote:
 I feel that reiterating my prior warning is worthwhile. The proper way
 to do this is to analyze the actual contracts and roll just as you
 would have to if you were actually trading; exit the current contact
 when the crowd moves enter the new actively-traded front month and
 account for each separately. I coded this in Python and it works well,
 but I have yet to tackle futures in R. Some problems: In some
 commodities not all months actually trade actively. Backwardation and
 contango can impact the rolls dramatically. While analyzing months in
 delivery may seem OK, traders avoid them. None of the shortcuts that I
 know of comes even close to approximating the realities of the
 marketplace. Most analysts (including most of the tblox crowd) simply
 ignore these problems, analyze continuous contracts and are burned
 when they enter the marketable.

 Current example problem: Different crude contracts track different
 delivery venues and are priced differently. Think WTI versus Brent,
 spread truculently running tin the $10 range, which not too long ago
 was thought 'impossible.

 This is a very deep well.

 Best,

 John

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Re: [R-SIG-Finance] Generating a front month only Time Series for Futures Prices

[G See]

repost for the archives:

I agree that when possible, you should avoid building continuous
series.  Nonetheless, that's what the OP asked for.

Sometimes, there is value in analyzing a long history of data (for
example when analyzing risk) and in such cases, a constant maturity
future makes sense.

Also, if your time-frame is short and you're careful about how you
adjust and how you use the adjusted data, I think it can be useful.

The OP wanted to combine and not adjust, which, IMO is more dangerous
than combining and adjusting.  If you're going to combine the price
series of 2 different expiration months, then you have to adjust for
the roll.  Otherwise, you may see a trend or mean-reversion where
there isn't one, or worse, the opposite is actually occurring.

Your point about this being a difficult thing to generalize (e.g.
different grades for different expirations, or first notice day being
different than expiration, etc.) is valid.

Regards,
Garrett

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Re: [R-SIG-Finance] object .blotter not found

[G See]

My guess is that either you used a clear workspace button on your
GUI, or you did something to the effect of rm(list=ls(all=TRUE)).

.blotter is an environment that is stored under your .GlobalEnv when
you load the package.  If you delete it, you have to put it back with
something like this
if (!exists('.blotter')) .blotter - new.env()

Prior to 2012, the .instrument environment was also stored in the
.GlobalEnv, but with FinancialInstrument version 0.10.0, it was moved
to live in the top level of the package.  Therefore, the .instrument
environment doesn't get wiped out if the user clears their workspace.
But, it appears to be missing unless you know where to look.
This should work
ls(FinancialInstrument:::.instrument)
But, it's not as robust as using
   ls_instruments()

.blotter should probably be moved out of the .GlobalEnv as well, but
for now, either don't clear your .GlobalEnv, or recreate a .blotter
environment after you do.

HTH,
Garrett

On Sun, May 6, 2012 at 1:23 AM, Peter Chan heypeterc...@yahoo.com wrote:
 Hi there


 I am running demo(longtrend) but it is failing on initPortf (although the 
 blotter package is loaded):


 ltportfolio='longtrend'  ltaccount='longtrend'  
 initPortf(ltportfolio,'GSPC', initDate=initDate) Error in 
 exists(paste(portfolio, name, sep = .), envir = .blotter,  :  object 
 '.blotter' not found

 Any ideas?  I also noticed that .instrument environment isn't found in my 
 workspace, but I can use getInstrument!

 ls(envir=.instrument) Error in ls(envir = .instrument) : object 
 '.instrument' not found  getInstrument('USD') primary_id :USD
 currency   :USD
 multiplier :1
 tick_size  :0.01
 identifiers: list()
 type       :currency  ls(envir=.blotter) Error in ls(envir = .blotter) : 
 object '.blotter' not found

 Thanks

 Peter

 sessionInfo() R version 2.15.0 (2012-03-30)
 Platform: x86_64-pc-mingw32/x64 (64-bit) locale:
 [1] LC_COLLATE=English_Singapore.1252  LC_CTYPE=English_Singapore.1252
 [3] LC_MONETARY=English_Singapore.1252 LC_NUMERIC=C
 [5] LC_TIME=English_Singapore.1252     attached base packages:
 [1] stats     graphics  grDevices utils     datasets  methods   base      
 other attached packages:
 [1] blotter_0.8.8              FinancialInstrument_0.14.2 quantmod_0.3-17
 [4] TTR_0.21-1                 xts_0.8-6                  zoo_1.7-7
 [7] Defaults_1.1-1             loaded via a namespace (and not attached):
 [1] grid_2.15.0    lattice_0.20-6 tools_2.15.0

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Re: [R-SIG-Finance] Generating a front month only Time Series for Futures Prices

[G See]

On Fri, May 4, 2012 at 3:27 AM, gussinsky sd...@hotmail.com wrote:
 Hey Garrett,

 I think the ContinousSeriesCreator, is probably exactly what I am looking
 for. Thanks, and how did you find this function??

No special search skills, I just try to keep track of what code is in
packages I maintain. ;-)

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Re: [R-SIG-Finance] quantstrat with intraday data

[G See]

Jim,

So, on any day that there is a dividend or a split, you want to back
adjust your data that you're using to calculate the next signal.
Every time you back-adjust, you have to recreate your signals.  If
that's how you want to do it, then I think that in quantstrat world,
you're better off running multiple backtests (e.g. 1 for each quarter
for a stock that pays quarterly dividends) and gluing them together
instead of adjusting on the fly.  i.e. try to let the quantstrat part
of it be as vectorized as possible.

If there were an addSplit function, it would adjust the quantity of
shares that you own, but last I looked, the order-sizing functionality
of quantstrat was still broken which means that you wouldn't be able
to adjust how many shares you trade going forward.

So, assuming you're using a fixed quantity of shares for your
transactions (which you are unless you patch quantstrat ;-)),
AddCumDiv is like a walk-forward adjustment of price (for dividends,
but you could pre-adjust your data, in a walk-forward manner, for
splits as well).  At the very least, it's pretty good proxy.

HTH,
Garrett

On Wed, May 2, 2012 at 11:19 PM, Jim Green
student.northwest...@gmail.com wrote:
 On 3 May 2012 00:07, G See gsee...@gmail.com wrote:
 If a stock splits in half, don't you think you should adjust for that
 before performing technical analysis?  You'd treat that big jump in
 price the same as a real price jump even though if you had a position
 in the stock, your PnL would be unaffected by the split?

 sorry I was unclear... that would generate wrong signals..  I think
 the correct way to use split/dividend adjusted daily data for
 technical analysis is:
 1, for each day, generate signals using adjusted data till before that
 day, in a walking forward fashion.
 2, for pnl logistics, use trade based adjustments or position adjustments.

 the above are not currently supported by quantstrat and underlying
 blotter but is really a nice to have. is qmao addressing the them in
 some way?

 Jim.

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Re: [R-SIG-Finance] SMA and TTR

[G See]

Just a slightly different approach:

getSymbols(AAPL, src='yahoo')
# 50 day moving average for last 10 days
tail(SMA(tail(Ad(AAPL), 59), 50), 10)

Garrett

On Thu, May 3, 2012 at 8:03 AM, Brian G. Peterson br...@braverock.com wrote:
 On Thu, 2012-05-03 at 08:47 -0400, Gordon Erlebacher wrote:
 I wish to compute trading criteria only for past 10 days. That
 involves,
 say, a 50 day moving average. The SMA function does not allow me to
 only
 compute the 50 day moving average over the past 10 days, even if I
 have the
 symbol series for the past 200 days!

 getSymbols(AAPL)
 SMA(AAPL, 10)

 will compute the moving average for the entire series with 9 NAs. But
 that is more expensive than computing only the last 10 moving
 averages, necessary for my trading system. (this is just an example).

 If I am mistaken, could you please let me know how? I believe that all
 the TTR functions should be amended to compute the time series between
 a from and to date.

 Yes, you are mistaken.  Please look for information on 'vectorization'
 in R.

 While it is sometimes true that TTR will not use a vectorized
 calculation, you can always subset your data in xts to use a shorter
 series.

 the 'from' and 'to' date in this case would be represented like so:

 from - '2012-04-01'
 to   - '2012-05-02'
 #assume x is my xts time series
 SMA(x[paste(from,to,sep='/')],10)

 Also note that you would need only 20 days of data, not 50, for get 10
 periods of a ten day SMA.  The subset you need is easily computed from
 the indices of the data, using e.g.

 lt - length(index(x))
 lf - lt-20
 SMA(x[lf:lt,],10)



 --
 Brian G. Peterson
 http://braverock.com/brian/
 Ph: 773-459-4973
 IM: bgpbraverock

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Re: [R-SIG-Finance] Generating a front month only Time Series for Futures Prices

[G See]

Gussinsky,

Since you are looking to test for cointegration, and you say you're
looking at energy products (which have liquidity in more than just the
front contract), I'd suggest creating a constant maturity future (CMF)
that is the interpolated price between the 2 lead contracts (see Carol
Alexander's stuff for more info).  CMFs don't require any back
adjusting, they just require that you partially roll your position
every day.

HTH,
Garrett

On Thu, May 3, 2012 at 2:02 PM, BBands bba...@gmail.com wrote:
 Beware, this is a mine field! For example, one problem you will need
 to deal with is that different commodities roll on different dates.
 Then there is the nightmare quagmire of back adjusting, which is best
 skipped altogether in my opinion. In short, there are many ways to get
 hurt here. There is a large literature on the topic, starting with W.
 D. Gann 80+ years ago. The writings of Bob Pelletier of CSI are a good
 trail-head.

    John

 On Thu, May 3, 2012 at 11:44 AM, gussinsky sd...@hotmail.com wrote:
 Hello All,

 I am struggeling to find a method which would enable me to generate a
 historical time series which only contains a commodities front month price,
 and after expiry automatically rolls over to the next month.

 I suspect one has to code the roll over rule from the respective exchange
 into a function, and supply the function with the respective expired
 historical data.

 My aim is to backtest those data for delta 1 strategies, but also for
 cointegration. One example would be heating oil futures vs. gasoil futures.

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Re: [R-SIG-Finance] Generating a front month only Time Series for Futures Prices

[G See]

I'm not sure if this link will work; if not, I'm trying to point you
to page 75 of Market Risk Analysis: Pricing, Hedging and Trading
Financial Instruments

http://books.google.com/books?id=3Xg4pO1PEpUCpg=PR13lpg=PR13dq=carol+alexander+constant+maturity+futuresource=blots=ArlAbn7XPWsig=1WGn8vNIVRy-FEYFhNyncd_WVU0hl=ensa=Xei=O92iT46KEYPO9QTry7jeCAved=0CDkQ6AEwBA#v=onepageq=constant%20maturityf=false

Garrett

On Thu, May 3, 2012 at 2:28 PM, G See gsee...@gmail.com wrote:
 Gussinsky,

 Since you are looking to test for cointegration, and you say you're
 looking at energy products (which have liquidity in more than just the
 front contract), I'd suggest creating a constant maturity future (CMF)
 that is the interpolated price between the 2 lead contracts (see Carol
 Alexander's stuff for more info).  CMFs don't require any back
 adjusting, they just require that you partially roll your position
 every day.

 HTH,
 Garrett

 On Thu, May 3, 2012 at 2:02 PM, BBands bba...@gmail.com wrote:
 Beware, this is a mine field! For example, one problem you will need
 to deal with is that different commodities roll on different dates.
 Then there is the nightmare quagmire of back adjusting, which is best
 skipped altogether in my opinion. In short, there are many ways to get
 hurt here. There is a large literature on the topic, starting with W.
 D. Gann 80+ years ago. The writings of Bob Pelletier of CSI are a good
 trail-head.

    John

 On Thu, May 3, 2012 at 11:44 AM, gussinsky sd...@hotmail.com wrote:
 Hello All,

 I am struggeling to find a method which would enable me to generate a
 historical time series which only contains a commodities front month price,
 and after expiry automatically rolls over to the next month.

 I suspect one has to code the roll over rule from the respective exchange
 into a function, and supply the function with the respective expired
 historical data.

 My aim is to backtest those data for delta 1 strategies, but also for
 cointegration. One example would be heating oil futures vs. gasoil futures.

 ___
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 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 
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Re: [R-SIG-Finance] Generating a front month only Time Series for Futures Prices

[G See]

If you just want to combine 2 series together, no problem:  use rbind.
 But, then you'll have a gap in your data on the roll date, and you'll
be back asking how to adjust for it. ;-)  That's where the minefields
come into play.

I look at roll cost like a dividend (which is often negative).  You
can adjust for it a couple different way.  You could add the roll
costs back to the series, which may mean negative prices in the past.
Or, you could multiply by an adjustment ratio (treat it like a split).

If you don't adjust for the roll, you'll have big gaps in your data.
Imagine buying the front month VIX future and rolling it each month.
10 years later, the VIX may still be at the same price, but you'll
likely have lost way more than you started with.

If you do adjust for the roll, either the oldest prices or the newest
prices may not be reasonable.

To get this back to R, let's get some code involved.
This is laying in the FinancialInstrument sandbox; I haven't
personally looked at it, so I don't know how it works.  Ditto for
FinancialInstrument:::slice and FinancialInstrument:::splooth
https://r-forge.r-project.org/scm/viewvc.php/pkg/FinancialInstrument/sandbox/continuousSeries.R?view=markuproot=blotter

If you just want daily data that has already been adjusted for you,
look here for code to download data from trading blox (it has Heating
Oil.. not gasoil though):
https://r-forge.r-project.org/scm/viewvc.php/pkg/FinancialInstrument/inst/parser/download.tblox.R?view=markuproot=blotter

I believe Trading Blox simply adds back the roll cost.  And, I think
they roll when Open Interest rolls.

source(http://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/FinancialInstrument/inst/parser/download.tblox.R?root=blotter;)

chartSeries(HO[, 8])  #unadjusted
addTA(HO[, 4], col='red', on=1) #adjusted

Or, are you looking for code to calculate the expiration dates of instruments?

What have you tried? ;-)

Garrett

On Thu, May 3, 2012 at 3:07 PM, gussinsky sd...@hotmail.com wrote:
 Hey Garrett,

 thank you for this, I had a read through this page in the book you
 referenced. And looking at Agricultural Commodities this makes a lot of
 sense. And if you look at Wheat and Corn on the CBOT, I think you only have
 5 deliveries per year, hence the massive gaps when each contract rolls off.
 So here the interpolation makes sense, and I think one could approach this
 trade as a box.

 But lets consider for example heating oil again, here you have monthly
 deliveries, and the seasonality is far less nowadays, in Europe even less
 due to the increased Diesel consumption on the roads.

 But lets consider this:

 Trading in a current month shall cease on the last business day of the
 month preceding the delivery month.

 This is the expiry rule for Heating Oil on the Nymex. I think this is
 codeable without minefields isn't it. It would be terrific if anyone could
 point me in the right direction on how to approach this.

 I think it wont be possible to download this with one simple function. I
 suspect one would have to store individual files for the respective expiry
 contracts, and perhaps index the file names. And then perhaps through a loop
 function could read out the corresponding 1:n values for each month, store
 them in an array, and then run the next month with the same rule, and store
 them again, etcIn the end one needs to connect all those arrays into one
 big time series.

 And here is my problem, I dont know how to code this, I know what I want

 Many thanks for the advice so far


 Best


 Gussinsky


 PS: Garrett, it is your Pair Trading code that brought this up my mind again
 :-)

 --
 View this message in context: 
 http://r.789695.n4.nabble.com/Generating-a-front-month-only-Time-Series-for-Futures-Prices-tp4606794p4606979.html
 Sent from the Rmetrics mailing list archive at Nabble.com.

 ___
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 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 
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Re: [R-SIG-Finance] Generating a front month only Time Series for Futures Prices

[G See]

note that if you adjust by adding back roll costs and then try to
calculate returns, your returns will be off (read:wrong)

On Thu, May 3, 2012 at 3:32 PM, G See gsee...@gmail.com wrote:
 On Thu, May 3, 2012 at 3:28 PM, G See gsee...@gmail.com wrote:
 If you just want to combine 2 series together, no problem:  use rbind.
  But, then you'll have a gap in your data on the roll date, and you'll
 be back asking how to adjust for it. ;-)  That's where the minefields
 come into play.

 I look at roll cost like a dividend (which is often negative).  You
 can adjust for it a couple different way.  You could add the roll
 costs back to the series, which may mean negative prices in the past.
 Or, you could multiply by an adjustment ratio (treat it like a split).

 If you don't adjust for the roll, you'll have big gaps in your data.
 Imagine buying the front month VIX future and rolling it each month.
 10 years later, the VIX may still be at the same price, but you'll
 likely have lost way more than you started with.

 If you do adjust for the roll, either the oldest prices or the newest
 prices may not be reasonable.

 To get this back to R, let's get some code involved.
 This is laying in the FinancialInstrument sandbox; I haven't
 personally looked at it, so I don't know how it works.  Ditto for
 FinancialInstrument:::slice and FinancialInstrument:::splooth
 https://r-forge.r-project.org/scm/viewvc.php/pkg/FinancialInstrument/sandbox/continuousSeries.R?view=markuproot=blotter

 If you just want daily data that has already been adjusted for you,
 look here for code to download data from trading blox (it has Heating
 Oil.. not gasoil though):
 https://r-forge.r-project.org/scm/viewvc.php/pkg/FinancialInstrument/inst/parser/download.tblox.R?view=markuproot=blotter

 I believe Trading Blox simply adds back the roll cost.  And, I think
 they roll when Open Interest rolls.

 source(http://r-forge.r-project.org/scm/viewvc.php/*checkout*/pkg/FinancialInstrument/inst/parser/download.tblox.R?root=blotter;)


 # oops. forgot this line
 getSymbols(HO, src='tblox')

 chartSeries(HO[, 8])  #unadjusted
 addTA(HO[, 4], col='red', on=1) #adjusted

 Or, are you looking for code to calculate the expiration dates of 
 instruments?

 What have you tried? ;-)

 Garrett

 On Thu, May 3, 2012 at 3:07 PM, gussinsky sd...@hotmail.com wrote:
 Hey Garrett,

 thank you for this, I had a read through this page in the book you
 referenced. And looking at Agricultural Commodities this makes a lot of
 sense. And if you look at Wheat and Corn on the CBOT, I think you only have
 5 deliveries per year, hence the massive gaps when each contract rolls off.
 So here the interpolation makes sense, and I think one could approach this
 trade as a box.

 But lets consider for example heating oil again, here you have monthly
 deliveries, and the seasonality is far less nowadays, in Europe even less
 due to the increased Diesel consumption on the roads.

 But lets consider this:

 Trading in a current month shall cease on the last business day of the
 month preceding the delivery month.

 This is the expiry rule for Heating Oil on the Nymex. I think this is
 codeable without minefields isn't it. It would be terrific if anyone could
 point me in the right direction on how to approach this.

 I think it wont be possible to download this with one simple function. I
 suspect one would have to store individual files for the respective expiry
 contracts, and perhaps index the file names. And then perhaps through a loop
 function could read out the corresponding 1:n values for each month, store
 them in an array, and then run the next month with the same rule, and store
 them again, etcIn the end one needs to connect all those arrays into one
 big time series.

 And here is my problem, I dont know how to code this, I know what I want

 Many thanks for the advice so far


 Best


 Gussinsky


 PS: Garrett, it is your Pair Trading code that brought this up my mind again
 :-)

 --
 View this message in context: 
 http://r.789695.n4.nabble.com/Generating-a-front-month-only-Time-Series-for-Futures-Prices-tp4606794p4606979.html
 Sent from the Rmetrics mailing list archive at Nabble.com.

 ___
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 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.

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Re: [R-SIG-Finance] quantstrat with intraday data

[G See]

As an alternative to adjusting for dividends in quantstrat or blotter,
my qmao package (https://r-forge.r-project.org/R/?group_id=1113) has
two functions that adjust intraday data for dividends.

`adjustIntraday.yahoo` will download dividend data from yahoo and
calculate daily ratios.  Those ratios will then be applied to intraday
data.

`AddCumDiv` simply adds back all dividends to the price series.

With adjustIntraday.yahoo, the most recent observations will be the
same as the unadjusted data, but the older observations will be lower
than those that are unadjusted.

With AddCumDiv, the oldest observations will be the same for the
adjusted and unadjusted data, but the most recent observations will be
higher for AddCumDiv.

Although I believe these functions work like they're supposed to, they
have not been rigorously tested, so YMMV.  bug reports encouraged.

Since I just committed the AddCumDiv function a few minutes ago, it is
not yet in the R-Forge build (although it is in the repo if you know
how to svn checkout).  Since it's not in the build yet, I attached it.

Regards,
Garrett

On Wed, May 2, 2012 at 8:02 AM, Brian G. Peterson br...@braverock.com wrote:
 On Wed, 2012-05-02 at 00:00 -0400, Jim Green wrote:
 Greetings!
 Pls forgive me if this is an old topic. I have searched through list
 archives extensively but I am just not sure if I am using quantstrat
 correctly with intraday data.
 ...
 Currently I use something similar to attached test.R to do intraday
 work. in the code I liquidate everything before close so that I don't
 need to worry about splits and dividends. Is what I am doing the
 correct way of using quantstrat with intraday data?

 That's certainly the easiest answer.

 blotter contains some support for dividends, but it is only lightly
 tested, since I personally don't need that functionality.  Additional
 testing, direct feedback, and patches are always welcome.  Participation
 by users is one of the ways these packages grow over time.  (and feel
 free to take those conversations off-list)

 Also if in future I will hold overnight positions, How would I make
 sure dividends and splits are correctly adjusted for pnl and summary
 statistics? would underlying blotter be smart enough to handle all the
 housekeeping?

 No Guarantees (of course that's true of everything in R).

 My recollection is that the addDiv function will add cash to your
 account to cover dividends.

 I don't believe that there is a function for splits.  You'd likely need
 to write that, we'd love the contribution.  It shouldn't be hard, as all
 that needs to happen is that you add a transaction for the split with a
 price of zero, adding more shares and lowering your average cost to
 compensate for the split.

 As xts gains support for differing column classes this summer as part of
 the funded GSoC project, it will get easier to add additional
 information to transactions that will definitely include transaction
 type.

 Regards,

   - Brian

 --
 Brian G. Peterson
 http://braverock.com/brian/
 Ph: 773-459-4973
 IM: bgpbraverock

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AddCumDiv.R
Description: Binary data
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