/
getSymbols.R
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/
getSymbols.R
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# getSymbols {{{
"getSymbols" <-
function(Symbols=NULL,
env=parent.frame(), ### 0.4-0
#env=NULL, ### 0.5-0
reload.Symbols=FALSE,
verbose=FALSE,
warnings=TRUE,
src="yahoo",
symbol.lookup=TRUE,
auto.assign=getOption('getSymbols.auto.assign',TRUE),
...) {
if(getOption("getSymbols.warning4.0",TRUE)) {
# transition message for 0.4-0 to 0.5-0
message(paste(
' As of 0.4-0,',sQuote('getSymbols'),'uses env=parent.frame() and\n',
'auto.assign=TRUE by default.\n\n',
'This behavior will be phased out in 0.5-0 when the call will\n',
'default to use auto.assign=FALSE. getOption("getSymbols.env") and \n',
'getOptions("getSymbols.auto.assign") are now checked for alternate defaults\n\n',
'This message is shown once per session and may be disabled by setting \n',
'options("getSymbols.warning4.0"=FALSE). See ?getSymbols for more details.'))
options("getSymbols.warning4.0"=FALSE)
}
importDefaults("getSymbols")
# to enable as-it-was behavior, set this:
# options(getSymbols=list(env=substitute(parent.frame(3))))
#if(missing(env))
# env <- eval(getOption("getSymbols")$env) ### 0.5-0
if(missing(env) && !is.null(getOption("getSymbols.env")) )
env <- getOption("getSymbols.env") ### 0.4-0
#env_ <- getSymbols_options_("env")
#if(missing(env) && !is.null(env_))
# env <- env_
if(is.null(env)) # default as of 0.5-0
auto.assign <- FALSE
if(!auto.assign && length(Symbols)>1)
stop("must use auto.assign=TRUE for multiple Symbols requests")
force(Symbols) # need to check if symbol lookup defined _within_ call
if(symbol.lookup && missing(src)) {
# if src is specified - override symbol.lookup
symbols.src <- getOption('getSymbols.sources')
} else {
symbols.src <- src[1]
}
#src <- src[1]
if(is.character(Symbols)) {
# at least one Symbol has been specified
Symbols <- unlist(strsplit(Symbols,';'))
tmp.Symbols <- vector("list")
for(each.symbol in Symbols) {
if(each.symbol %in% names(symbols.src)) {
tmp.src <- symbols.src[[each.symbol]]$src[1]
#tmp.src <- symbols.src[[each.symbol]]
if(is.null(tmp.src)) {
tmp.Symbols[[each.symbol]] <- src[1]
} else {
tmp.Symbols[[each.symbol]] <- tmp.src
}
} else {
tmp.Symbols[[each.symbol]] <- src[1]
}
}
Symbols <- tmp.Symbols
}
old.Symbols <- NULL
if(auto.assign && exists('.getSymbols',env,inherits=FALSE)) {
old.Symbols <- get('.getSymbols',env)
}
if(reload.Symbols) {
Symbols <- c(Symbols, old.Symbols)[unique(names(c(Symbols,old.Symbols)))]
}
if(!auto.assign && length(Symbols) > 1)
stop("must use auto.assign=TRUE when reloading multiple Symbols")
if(!is.null(Symbols)) {
#group all Symbols by source
Symbols <- as.list(unlist(lapply(unique(as.character(Symbols)),
FUN=function(x) {
Symbols[Symbols==x]
}
)))
#Symbols <- as.list(Symbols)
all.symbols <- list()
for(symbol.source in unique(as.character(Symbols))) {
current.symbols <- names(Symbols[Symbols==symbol.source])
symbols.returned <- do.call(paste('getSymbols.',symbol.source,sep=''),
list(Symbols=current.symbols,env=env,
#return.class=return.class,
#reload.Symbols=reload.Symbols,
verbose=verbose,warnings=warnings,
auto.assign=auto.assign,
...))
if(!auto.assign)
return(symbols.returned)
for(each.symbol in symbols.returned) all.symbols[[each.symbol]] <- symbol.source
}
req.symbols <- names(all.symbols)
all.symbols <- c(all.symbols,old.Symbols)[unique(names(c(all.symbols,old.Symbols)))]
if(auto.assign) {
assign('.getSymbols',all.symbols,env);
return(req.symbols)
#return(env)
}
} else {
warning('no Symbols specified')
}
}
#}}}
loadSymbols <- getSymbols
loadSymbols.formals <- c(formals(getSymbols)[-(8:9)], alist(auto.assign=getOption("loadSymbols.auto.assign",TRUE),...=))
formals(loadSymbols) <- loadSymbols.formals
# getSymbols.Bloomberg {{{
#"getSymbols.Bloomberg" <- function(Symbols,env,return.class='xts',
# from=as.POSIXlt(Sys.time()-60*60,"GMT"),
# to=as.POSIXlt(Sys.time(),"GMT"),
# bb.suffix="Equity",
# bb.interval="5",
# ...) {
# importDefaults("getSymbols.Bloomberg")
# this.env <- environment()
# for(var in names(list(...))) {
# # import all named elements that are NON formals
# assign(var, list(...)[[var]], this.env)
# }
# if ((class(from)=="Date" && class(to)=="Date") ||
# (class(from)=="character" && length(from)<=8 &&
# class(to)=="character" && length(to)<=8 )) {
# bb.intraday <- FALSE
# bb.call <- bdh
# bb.fields <- c("OPEN", "HIGH", "LOW", "PX_LAST", "VOLUME")
# } else {
# bb.intraday <- TRUE
# bb.call <- bar
# bb.fields <- "TRADE"
# }
# if(missing(verbose)) verbose <- FALSE
# if(missing(auto.assign)) auto.assign <- TRUE
# if('package:RBloomberg' %in% search() ||
#require('RBloomberg',quietly=TRUE)) {
# {}
# } else {
# stop(paste("package:",dQuote('RBloomberg'),"cannot be loaded."))
# }
# bbconn <- blpConnect()
# for(i in 1:length(Symbols)) {
# bbsym <- paste(Symbols[[i]],bb.suffix)
#
# if(verbose) {
# cat(paste('Loading ',bbsym, ' from BB ', from,' to ',to,
# paste(rep('.',18-nchar(Symbols[[i]])),collapse=''),
# sep=''))
#
# }
# tryCatch (
# {
# if (bb.intraday) {
# fromStr <- paste(as.character(from),".000",sep="")
# toStr <- paste(as.character(to),".000",sep="")
# b <- bb.call(bbconn, bbsym, bb.fields,
# fromStr, toStr, bb.interval)
# b$datetime <- as.POSIXct(strptime(b$time,
#format="%Y-%m-%dT%H:%M:%S"))
# bxo <- as.xts(b$open, order.by=b$datetime)
# fr <- merge(bxo, b$high, b$low, b$close, b$volume)
# } else {
# if (class(from)=="character") {
# fromStr <- from
# } else {
# fromStr <- strftime(from,format="%Y%m%d")
# }
# if (class(to)=="character") {
# toStr <- to
# } else {
# toStr <- strftime(to,format="%Y%m%d")
# }
# b <- bb.call(bbconn, bbsym, bb.fields,
# fromStr, toStr)
# b$datetime <- as.POSIXct(strptime(b$date,
#format="%Y-%m-%d"))
# bxo <- as.xts(b$OPEN, order.by=b$datetime)
# fr <- merge(bxo, b$HIGH, b$LOW, b$PX_LAST, b$VOLUME)
# }
#
#
#
# if(verbose) {
# cat(paste(length(fr),'points '))
# }
# colnames(fr) <- paste(Symbols[[i]],
# c('Open','High','Low','Close','Volume'),
# sep='.')
# fr <- convert.time.series(fr=fr,return.class=return.class)
# if(auto.assign)
# assign(Symbols[[i]],fr,env)
# },
# error=function(e) {print(e);fr <- data.frame()},
# finally=function () {if(verbose) {cat('done\n')}}
# )
# }
# blpDisconnect(bbconn)
# if(auto.assign)
# return(Symbols)
# return(fr)
#}
#"getSymbols.Bloomberg" <- getSymbols.Bloomberg
# }}}
# getSymbols.yahoo {{{
"getSymbols.yahoo" <-
function(Symbols,env,return.class='xts',index.class="Date",
from='2007-01-01',
to=Sys.Date(),
...)
{
importDefaults("getSymbols.yahoo")
this.env <- environment()
for(var in names(list(...))) {
# import all named elements that are NON formals
assign(var, list(...)[[var]], this.env)
}
if(!hasArg(adjust))
adjust <- FALSE
default.return.class <- return.class
default.from <- from
default.to <- to
if(!hasArg(verbose)) verbose <- FALSE
if(!hasArg(auto.assign)) auto.assign <- TRUE
yahoo.URL <- "http://ichart.finance.yahoo.com/table.csv?"
tmp <- tempfile()
on.exit(unlink(tmp))
for(i in 1:length(Symbols)) {
return.class <- getSymbolLookup()[[Symbols[[i]]]]$return.class
return.class <- ifelse(is.null(return.class),default.return.class,
return.class)
from <- getSymbolLookup()[[Symbols[[i]]]]$from
from <- if(is.null(from)) default.from else from
to <- getSymbolLookup()[[Symbols[[i]]]]$to
to <- if(is.null(to)) default.to else to
from.y <- as.numeric(strsplit(as.character(as.Date(from,origin='1970-01-01')),'-',)[[1]][1])
from.m <- as.numeric(strsplit(as.character(as.Date(from,origin='1970-01-01')),'-',)[[1]][2])-1
from.d <- as.numeric(strsplit(as.character(as.Date(from,origin='1970-01-01')),'-',)[[1]][3])
to.y <- as.numeric(strsplit(as.character(as.Date(to,origin='1970-01-01')),'-',)[[1]][1])
to.m <- as.numeric(strsplit(as.character(as.Date(to,origin='1970-01-01')),'-',)[[1]][2])-1
to.d <- as.numeric(strsplit(as.character(as.Date(to,origin='1970-01-01')),'-',)[[1]][3])
Symbols.name <- getSymbolLookup()[[Symbols[[i]]]]$name
Symbols.name <- ifelse(is.null(Symbols.name),Symbols[[i]],Symbols.name)
if(verbose) cat("downloading ",Symbols.name,".....\n\n")
download.file(paste(yahoo.URL,
"s=",Symbols.name,
"&a=",from.m,
"&b=",sprintf('%.2d',from.d),
"&c=",from.y,
"&d=",to.m,
"&e=",sprintf('%.2d',to.d),
"&f=",to.y,
"&g=d&q=q&y=0",
"&z=",Symbols.name,"&x=.csv",
sep=''),destfile=tmp,quiet=!verbose)
fr <- read.csv(tmp)
if(verbose) cat("done.\n")
fr <- xts(as.matrix(fr[,-1]),
as.Date(fr[,1]),
#as.POSIXct(fr[,1], tz=Sys.getenv("TZ")),
src='yahoo',updated=Sys.time())
colnames(fr) <- paste(toupper(gsub('\\^','',Symbols.name)),
c('Open','High','Low','Close','Volume','Adjusted'),
sep='.')
if(adjust) {
# Adjustment algorithm by Joshua Ulrich
fr <- adjustOHLC(fr, symbol.name=Symbols.name)
}
fr <- convert.time.series(fr=fr,return.class=return.class)
if(is.xts(fr))
indexClass(fr) <- index.class
Symbols[[i]] <-toupper(gsub('\\^','',Symbols[[i]]))
if(auto.assign)
assign(Symbols[[i]],fr,env)
if(i >= 5 && length(Symbols) > 5) {
message("pausing 1 second between requests for more than 5 symbols")
Sys.sleep(1)
}
}
if(auto.assign)
return(Symbols)
return(fr)
}
# }}}
# getSymbols.yahooj {{{
"getSymbols.yahooj" <-
function(Symbols, env=parent.frame(), return.class='xts', index.class="Date",
from='2007-01-01',
to=Sys.Date(),
...)
{
importDefaults("getSymbols.yahooj")
this.env <- environment()
for(var in names(list(...))) {
# import all named elements that are NON formals
assign(var, list(...)[[var]], this.env)
}
if(!hasArg(adjust))
adjust <- FALSE
default.return.class <- return.class
default.from <- from
default.to <- to
if(!hasArg(verbose)) verbose <- FALSE
if(!hasArg(auto.assign)) auto.assign <- TRUE
if(!requireNamespace("XML", quietly=TRUE))
stop("package:",dQuote("XML"),"cannot be loaded.")
yahoo.URL <- "http://info.finance.yahoo.co.jp/history/"
for(i in 1:length(Symbols)) {
# The name of the symbol, which will actually be used as the
# variable name. It needs to start with YJ, and it will be appended
# if it does not.
symname <- toupper(Symbols[[i]])
# The symbol actually sent to Yahoo Japan. This is without the
# starting YJ bit.
symbol <- symname
# If it starts with YJ, try looking up defaults
if (grepl("^YJ", symname)) {
return.class <- getSymbolLookup()[[symname]]$return.class
return.class <- ifelse(is.null(return.class),default.return.class,
return.class)
from <- getSymbolLookup()[[symname]]$from
from <- if(is.null(from)) default.from else from
to <- getSymbolLookup()[[symname]]$to
to <- if(is.null(to)) default.to else to
# Extract the actual symbol to be sent to Yahoo Japan
symbol <- substring(symname, 3)
} else {
return.class <- default.return.class
from <- default.from
to <- default.to
# Prepend 'YJ' to the symbol and store it in symname
symname <- paste('YJ', symbol, sep="")
}
from.y <- as.numeric(strsplit(as.character(as.Date(from,origin='1970-01-01')),'-',)[[1]][1])
from.m <- as.numeric(strsplit(as.character(as.Date(from,origin='1970-01-01')),'-',)[[1]][2])
from.d <- as.numeric(strsplit(as.character(as.Date(from,origin='1970-01-01')),'-',)[[1]][3])
to.y <- as.numeric(strsplit(as.character(as.Date(to,origin='1970-01-01')),'-',)[[1]][1])
to.m <- as.numeric(strsplit(as.character(as.Date(to,origin='1970-01-01')),'-',)[[1]][2])
to.d <- as.numeric(strsplit(as.character(as.Date(to,origin='1970-01-01')),'-',)[[1]][3])
Symbols.name <- getSymbolLookup()[[symname]]$name
Symbols.name <- ifelse(is.null(Symbols.name),symbol,Symbols.name)
if(verbose) cat("downloading ",Symbols.name,".....\n\n")
page <- 1
totalrows <- c()
tmp <- tempfile()
on.exit(unlink(tmp))
while (TRUE) {
download.file(paste(yahoo.URL,
"?code=",Symbols.name,
"&sm=",from.m,
"&sd=",sprintf('%.2d',from.d),
"&sy=",from.y,
"&em=",to.m,
"&ed=",sprintf('%.2d',to.d),
"&ey=",to.y,
"&tm=d",
"&p=",page,
sep=''),destfile=tmp,quiet=!verbose)
fdoc <- XML::htmlParse(tmp)
rows <- XML::xpathApply(fdoc, "//table[@class='boardFin yjSt marB6']//tr")
if (length(rows) == 1) break
totalrows <- c(totalrows, rows)
page <- page + 1
}
if(verbose) cat("done.\n")
# Available columns
cols <- c('Open','High','Low','Close','Volume','Adjusted')
firstrow <- totalrows[[1]]
cells <- XML::getNodeSet(firstrow, "th")
if (length(cells) == 5) cols <- cols[-(5:6)]
# Process from the start, for easier stocksplit management
totalrows <- rev(totalrows)
mat <- matrix(0, ncol=length(cols) + 1, nrow=0, byrow=TRUE)
for(row in totalrows) {
cells <- XML::getNodeSet(row, "td")
# 2 cells means it is a stocksplit row
# So extract stocksplit data and recalculate the matrix we have so far
if (length(cells) == 2 & length(cols) == 6 & nrow(mat) > 1) {
ss.data <- as.numeric(na.omit(as.numeric(unlist(strsplit(XML::xmlValue(cells[[2]]), "[^0-9]+")))))
factor <- ss.data[2] / ss.data[1]
mat <- rbind(t(apply(mat[-nrow(mat),], 1, function(x) {
x * c(1, rep(1/factor, 4), factor, 1)
})), mat[nrow(mat),])
}
if (length(cells) != length(cols) + 1) next
# Parse the Japanese date format using UTF characters
# \u5e74 = "year"
# \u6708 = "month"
# \u65e5 = "day"
date <- as.Date(XML::xmlValue(cells[[1]]), format="%Y\u5e74%m\u6708%d\u65e5")
entry <- c(date)
for(n in 2:length(cells)) {
entry <- cbind(entry, as.numeric(gsub(",", "", XML::xmlValue(cells[[n]]))))
}
mat <- rbind(mat, entry)
}
fr <- xts(mat[, -1], as.Date(mat[, 1]), src="yahooj", updated=Sys.time())
colnames(fr) <- paste(symname, cols, sep='.')
fr <- convert.time.series(fr=fr,return.class=return.class)
if(is.xts(fr))
indexClass(fr) <- index.class
Symbols[[i]] <- symname
if(auto.assign)
assign(Symbols[[i]],fr,env)
if(i >= 5 && length(Symbols) > 5) {
message("pausing 1 second between requests for more than 5 symbols")
Sys.sleep(1)
}
}
if(auto.assign)
return(Symbols)
return(fr)
}
# }}}
# getSymbols.google {{{
"getSymbols.google" <-
function(Symbols,env,return.class='xts',
from='2007-01-01',
to=Sys.Date(),
...)
{
fix.google.bug <- TRUE
importDefaults("getSymbols.google")
this.env <- environment()
for(var in names(list(...))) {
# import all named elements that are NON formals
assign(var, list(...)[[var]], this.env)
}
default.return.class <- return.class
default.from <- from
default.to <- to
if(!hasArg(verbose)) verbose <- FALSE
if(!hasArg(auto.assign)) auto.assign <- TRUE
google.URL <- "http://finance.google.com/finance/historical?"
tmp <- tempfile()
on.exit(unlink(tmp))
for(i in 1:length(Symbols)) {
return.class <- getSymbolLookup()[[Symbols[[i]]]]$return.class
return.class <- ifelse(is.null(return.class),default.return.class,
return.class)
from <- getSymbolLookup()[[Symbols[[i]]]]$from
from <- if(is.null(from)) default.from else from
to <- getSymbolLookup()[[Symbols[[i]]]]$to
to <- if(is.null(to)) default.to else to
from.y <- as.numeric(strsplit(as.character(from),'-',)[[1]][1])
from.m <- as.numeric(strsplit(as.character(from),'-',)[[1]][2])
from.d <- as.numeric(strsplit(as.character(from),'-',)[[1]][3])
to.y <- as.numeric(strsplit(as.character(to),'-',)[[1]][1])
to.m <- as.numeric(strsplit(as.character(to),'-',)[[1]][2])
to.d <- as.numeric(strsplit(as.character(to),'-',)[[1]][3])
Symbols.name <- getSymbolLookup()[[Symbols[[i]]]]$name
Symbols.name <- ifelse(is.null(Symbols.name),Symbols[[i]],Symbols.name)
if(verbose) cat("downloading ",Symbols.name,".....\n\n")
download.file(paste(google.URL,
"q=",Symbols.name,
"&startdate=",month.abb[from.m],
"+",sprintf('%.2d',from.d),
",+",from.y,
"&enddate=",month.abb[to.m],
"+",sprintf('%.2d',to.d),
",+",to.y,
"&output=csv",
sep=''),destfile=tmp,quiet=!verbose)
fr <- read.csv(tmp)
if(verbose) cat("done.\n")
fr <- fr[nrow(fr):1,] #google data is backwards
if(fix.google.bug) {
bad.dates <- c('29-Dec-04','30-Dec-04','31-Dec-04')
if(as.Date(from,origin='1970-01-01') < as.Date("2003-12-28",origin='1970-01-01') &&
as.Date(to,origin='1970-01-01') > as.Date("2003-12-30",origin='1970-01-01')) {
dup.dates <- which(fr[,1] %in% bad.dates)[(1:3)]
fr <- fr[-dup.dates,]
warning("google duplicate bug - missing Dec 28,29,30 of 2003")
}
}
fr <- xts(as.matrix(fr[,-1]),
as.Date(strptime(fr[,1],"%d-%B-%y"),origin='1970-01-01'),
src='google',updated=Sys.time())
colnames(fr) <- paste(toupper(gsub('\\^','',Symbols.name)),
c('Open','High','Low','Close','Volume'),
sep='.')
# convert '-' to NAs
suppressWarnings(storage.mode(fr) <- "numeric")
fr <- convert.time.series(fr=fr,return.class=return.class)
Symbols[[i]] <-toupper(gsub('\\^','',Symbols[[i]]))
if(auto.assign)
assign(Symbols[[i]],fr,env)
}
if(auto.assign)
return(Symbols)
return(fr)
}
# }}}
# getSymbols.SQLite {{{
"getSymbols.SQLite" <- function(Symbols,env,return.class='xts',
db.fields=c('row_names','Open','High',
'Low','Close','Volume','Adjusted'),
field.names = NULL,
dbname=NULL,
POSIX = TRUE,
...) {
importDefaults("getSymbols.SQLite")
this.env <- environment()
for(var in names(list(...))) {
# import all named elements that are NON formals
assign(var, list(...)[[var]], this.env)
}
if(!hasArg(verbose)) verbose <- FALSE
if(!hasArg(auto.assign)) auto.assign <- TRUE
if(!requireNamespace("DBI", quietly=TRUE))
stop("package:",dQuote("DBI"),"cannot be loaded.")
if(!requireNamespace("RSQLite", quietly=TRUE))
stop("package:",dQuote("RSQLite"),"cannot be loaded.")
drv <- DBI::dbDriver("SQLite")
con <- DBI::dbConnect(drv,dbname=dbname)
db.Symbols <- DBI::dbListTables(con)
if(length(Symbols) != sum(Symbols %in% db.Symbols)) {
missing.db.symbol <- Symbols[!Symbols %in% db.Symbols]
warning(paste('could not load symbol(s): ',paste(missing.db.symbol,collapse=', ')))
Symbols <- Symbols[Symbols %in% db.Symbols]
}
for(i in 1:length(Symbols)) {
if(verbose) {
cat(paste('Loading ',Symbols[[i]],
paste(rep('.',10-nchar(Symbols[[i]])),collapse=''),
sep=''))
}
query <- paste("SELECT ",
paste(db.fields,collapse=','),
" FROM ",Symbols[[i]],
" ORDER BY row_names")
rs <- DBI::dbSendQuery(con, query)
fr <- DBI::fetch(rs, n=-1)
#fr <- data.frame(fr[,-1],row.names=fr[,1])
if(POSIX) {
d <- as.numeric(fr[,1])
class(d) <- c("POSIXt","POSIXct")
fr <- xts(fr[,-1],order.by=d)
} else {
fr <- xts(fr[,-1],order.by=as.Date(as.numeric(fr[,1]),origin='1970-01-01'))
}
colnames(fr) <- paste(Symbols[[i]],
c('Open','High','Low','Close','Volume','Adjusted'),
sep='.')
fr <- convert.time.series(fr=fr,return.class=return.class)
if(auto.assign)
assign(Symbols[[i]],fr,env)
if(verbose) cat('done\n')
}
DBI::dbDisconnect(con)
if(auto.assign)
return(Symbols)
return(fr)
}
"getSymbols.sqlite" <- getSymbols.SQLite
# }}}
# getSymbols.MySQL {{{
"getSymbols.MySQL" <- function(Symbols,env,return.class='xts',
db.fields=c('date','o','h','l','c','v','a'),
field.names = NULL,
user=NULL,password=NULL,dbname=NULL,host='localhost',port=3306,
...) {
importDefaults("getSymbols.MySQL")
this.env <- environment()
for(var in names(list(...))) {
# import all named elements that are NON formals
assign(var, list(...)[[var]], this.env)
}
if(!hasArg(verbose)) verbose <- FALSE
if(!hasArg(auto.assign)) auto.assign <- TRUE
if(!requireNamespace("DBI", quietly=TRUE))
stop("package:",dQuote("DBI"),"cannot be loaded.")
if(!requireNamespace("RMySQL", quietly=TRUE))
stop("package:",dQuote("RMySQL"),"cannot be loaded.")
if(is.null(user) || is.null(password) || is.null(dbname)) {
stop(paste(
'At least one connection argument (',sQuote('user'),
sQuote('password'),sQuote('dbname'),
") is not set"))
}
con <- DBI::dbConnect(RMySQL::MySQL(),user=user,password=password,dbname=dbname,host=host,port=port)
db.Symbols <- DBI::dbListTables(con)
if(length(Symbols) != sum(Symbols %in% db.Symbols)) {
missing.db.symbol <- Symbols[!Symbols %in% db.Symbols]
warning(paste('could not load symbol(s): ',paste(missing.db.symbol,collapse=', ')))
Symbols <- Symbols[Symbols %in% db.Symbols]
}
for(i in 1:length(Symbols)) {
if(verbose) {
cat(paste('Loading ',Symbols[[i]],paste(rep('.',10-nchar(Symbols[[i]])),collapse=''),sep=''))
}
query <- paste("SELECT ",paste(db.fields,collapse=',')," FROM ",Symbols[[i]]," ORDER BY date")
rs <- DBI::dbSendQuery(con, query)
fr <- DBI::fetch(rs, n=-1)
#fr <- data.frame(fr[,-1],row.names=fr[,1])
fr <- xts(as.matrix(fr[,-1]),
order.by=as.Date(fr[,1],origin='1970-01-01'),
src=dbname,updated=Sys.time())
colnames(fr) <- paste(Symbols[[i]],
c('Open','High','Low','Close','Volume','Adjusted'),
sep='.')
fr <- convert.time.series(fr=fr,return.class=return.class)
if(auto.assign)
assign(Symbols[[i]],fr,env)
if(verbose) cat('done\n')
}
DBI::dbDisconnect(con)
if(auto.assign)
return(Symbols)
return(fr)
}
"getSymbols.mysql" <- getSymbols.MySQL
# }}}
# getSymbols.FRED {{{
`getSymbols.FRED` <- function(Symbols,env,
return.class="xts", ...) {
importDefaults("getSymbols.FRED")
this.env <- environment()
for(var in names(list(...))) {
# import all named elements that are NON formals
assign(var, list(...)[[var]], this.env)
}
if(!hasArg(verbose)) verbose <- FALSE
if(!hasArg(auto.assign)) auto.assign <- TRUE
FRED.URL <- "https://fred.stlouisfed.org/series"
tmp <- tempfile()
on.exit(unlink(tmp))
for(i in 1:length(Symbols)) {
if(verbose) cat("downloading ",Symbols[[i]],".....\n\n")
URL <- paste(FRED.URL, "/", Symbols[[i]], "/downloaddata/", Symbols[[i]], ".csv", sep="")
try.download.file(URL, destfile=tmp, quiet=!verbose, ...)
fr <- read.csv(tmp,na.string=".")
if(verbose) cat("done.\n")
fr <- xts(as.matrix(fr[,-1]),
as.Date(fr[,1],origin='1970-01-01'),
src='FRED',updated=Sys.time())
dim(fr) <- c(NROW(fr),1)
colnames(fr) <- as.character(toupper(Symbols[[i]]))
fr <- convert.time.series(fr=fr,return.class=return.class)
Symbols[[i]] <-toupper(gsub('\\^','',Symbols[[i]]))
if(auto.assign)
assign(Symbols[[i]],fr,env)
}
if(auto.assign)
return(Symbols)
return(fr)
} #}}}
"getSymbols.cache" <- function() {}
# getFX {{{
`getFX` <-
function(Currencies,from=Sys.Date()-179,to=Sys.Date(),
env=parent.frame(),
verbose=FALSE,warning=TRUE,
auto.assign=TRUE,...) {
importDefaults("getFX")
if(missing(env))
env <- parent.frame(1)
if(is.null(env))
auto.assign <- FALSE
if(!auto.assign && length(Currencies) > 1)
stop("must use auto.assign=TRUE for multiple currency requests")
#src <- c('oanda','FRED')[pmatch(src,c('oanda','FRED'))[1]]
# parse Symbols
# make symbols conform to service naming conventions
# e.g. USD/JPY for oanda
#
# DEXUSJP for FRED
#
#if(src[1]=="oanda") {
getSymbols.oanda(Symbols=Currencies,from=from,to=to,
env=env,verbose=verbose,warning=warning,
auto.assign=auto.assign,...)
#} else {
# getSymbols.FRED(Symbols=Currencies,env=env,verbose=verbose,warning=warning,...)
#}
}
#}}}
# getMetals {{{
`getMetals` <-
function(Metals,from=Sys.Date()-179,to=Sys.Date(),
base.currency="USD",env=parent.frame(),
verbose=FALSE,warning=TRUE,
auto.assign=TRUE,...) {
importDefaults("getMetals")
if(missing(env))
env <- parent.frame(1)
if(is.null(env))
auto.assign <- FALSE
metals <- c("XAU-GOLD","XPD-PALLADIUM","XPT-PLATINUM","XAG-SILVER")
metals <- metals[sapply(Metals, function(x) grep(x,metals,ignore.case=TRUE))]
metals <- as.character(sapply(metals,
function(x) {
paste(strsplit(x,'-')[[1]][1],base.currency,sep="/")
}))
getSymbols.oanda(Symbols=metals,from=from,to=to,auto.assign=auto.assign,
env=env,verbose=verbose,warning=warning,...)
}
#}}}
# getRates {{{
`getRates` <-
function() {
}
#}}}
# getSymbols.csv {{{
"getSymbols.csv" <-
function(Symbols,env,
dir="",
return.class="xts",
extension="csv",
col.names=c('Open','High','Low','Close','Volume','Adjusted'),
...) {
importDefaults("getSymbols.csv")
this.env <- environment()
for(var in names(list(...))) {
assign(var,list(...)[[var]], this.env)
}
default.return.class <- return.class
default.dir <- dir
default.extension <- extension
if(!hasArg(verbose)) verbose <- FALSE
if(!hasArg(auto.assign)) auto.assign <- TRUE
for(i in 1:length(Symbols)) {
return.class <- getSymbolLookup()[[Symbols[[i]]]]$return.class
return.class <- ifelse(is.null(return.class),default.return.class,
return.class)
dir <- getSymbolLookup()[[Symbols[[i]]]]$dir
dir <- ifelse(is.null(dir),default.dir,
dir)
extension <- getSymbolLookup()[[Symbols[[i]]]]$extension
extension <- ifelse(is.null(extension),default.extension,
extension)
if(verbose) cat("loading ",Symbols[[i]],".....")
if(dir=="") {
sym.file <- paste(Symbols[[i]],extension,sep=".")
} else {
sym.file <- file.path(dir,paste(Symbols[[i]],extension,sep="."))
}
if(!file.exists(sym.file)) {
cat("\nfile ",paste(Symbols[[i]],"csv",sep='.')," does not exist ",
"in ",dir,"....skipping\n")
next
}
fr <- read.csv(sym.file)
if(verbose)
cat("done.\n")
# ensure date column is character before calling as.Date
asDateArgs <- list(x=as.character(fr[,1]))
# use format passed via '...', if specified
if(hasArg("format"))
asDateArgs$format <- format
# allow format from setSymbolLookup to override
if(!is.null(getSymbolLookup()[[Symbols[[i]]]]$format))
asDateArgs$format <- getSymbolLookup()[[Symbols[[i]]]]$format
fr <- xts(fr[,-1],do.call("as.Date", asDateArgs),src='csv',updated=Sys.time())
colnames(fr) <- paste(toupper(gsub('\\^','',Symbols[[i]])),col.names,sep='.')
fr <- convert.time.series(fr=fr,return.class=return.class)
Symbols[[i]] <-toupper(gsub('\\^','',Symbols[[i]]))
if(auto.assign)
assign(Symbols[[i]],fr,env)
}
if(auto.assign)
return(Symbols)
return(fr)
}
#}}}
# getSymbols.rds {{{
"getSymbols.rds" <-
function(Symbols,env,
dir="",
return.class="xts",
extension="rds",
col.names=c('Open','High','Low','Close','Volume','Adjusted'),
...) {
importDefaults("getSymbols.rds")
this.env <- environment()
for(var in names(list(...))) {
assign(var,list(...)[[var]], this.env)
}
default.return.class <- return.class
default.dir <- dir
default.extension <- extension
if(!hasArg(verbose)) verbose <- FALSE
if(!hasArg(auto.assign)) auto.assign <- TRUE
for(i in 1:length(Symbols)) {
return.class <- getSymbolLookup()[[Symbols[[i]]]]$return.class
return.class <- ifelse(is.null(return.class),default.return.class,
return.class)
dir <- getSymbolLookup()[[Symbols[[i]]]]$dir
dir <- ifelse(is.null(dir),default.dir,
dir)
extension <- getSymbolLookup()[[Symbols[[i]]]]$extension
extension <- ifelse(is.null(extension),default.extension,
extension)
if(verbose) cat("loading ",Symbols[[i]],".....")
if(dir=="") {
sym.file <- paste(Symbols[[i]],extension,sep=".")
} else {
sym.file <- file.path(dir,paste(Symbols[[i]],extension,sep="."))
}
if(!file.exists(sym.file)) {
cat("\nfile ",paste(Symbols[[i]],extension,sep='.')," does not exist ",
"in ",dir,"....skipping\n")
next
}
#fr <- read.csv(sym.file)
fr <- readRDS(sym.file)
if(verbose)
cat("done.\n")
if(!is.xts(fr)) fr <- xts(fr[,-1],as.Date(fr[,1],origin='1970-01-01'),src='rda',updated=Sys.time())
colnames(fr) <- paste(toupper(gsub('\\^','',Symbols[[i]])),col.names,sep='.')
fr <- convert.time.series(fr=fr,return.class=return.class)
Symbols[[i]] <-toupper(gsub('\\^','',Symbols[[i]]))
if(auto.assign)
assign(Symbols[[i]],fr,env)
}
if(auto.assign)
return(Symbols)
return(fr)
}
#}}}
# getSymbols.rda {{{
"getSymbols.rda" <-
function(Symbols,env,
dir="",
return.class="xts",
extension="rda",
col.names=c('Open','High','Low','Close','Volume','Adjusted'),
...) {
importDefaults("getSymbols.rda")
this.env <- environment()
for(var in names(list(...))) {
assign(var,list(...)[[var]], this.env)
}
default.return.class <- return.class
default.dir <- dir
default.extension <- extension
if(!hasArg(verbose)) verbose <- FALSE
if(!hasArg(auto.assign)) auto.assign <- TRUE
for(i in 1:length(Symbols)) {
return.class <- getSymbolLookup()[[Symbols[[i]]]]$return.class
return.class <- ifelse(is.null(return.class),default.return.class,
return.class)
dir <- getSymbolLookup()[[Symbols[[i]]]]$dir
dir <- ifelse(is.null(dir),default.dir,
dir)
extension <- getSymbolLookup()[[Symbols[[i]]]]$extension
extension <- ifelse(is.null(extension),default.extension,
extension)
if(verbose) cat("loading ",Symbols[[i]],".....")
if(dir=="") {
sym.file <- paste(Symbols[[i]],extension,sep=".")
} else {
sym.file <- file.path(dir,paste(Symbols[[i]],extension,sep="."))
}
if(!file.exists(sym.file)) {
cat("\nfile ",paste(Symbols[[i]],extension,sep='.')," does not exist ",
"in ",dir,"....skipping\n")
next
}
#fr <- read.csv(sym.file)
local.name <- load(sym.file)
assign('fr',get(local.name))
if(verbose)
cat("done.\n")
if(!is.xts(fr)) fr <- xts(fr[,-1],as.Date(fr[,1],origin='1970-01-01'),src='rda',updated=Sys.time())
colnames(fr) <- paste(toupper(gsub('\\^','',Symbols[[i]])),col.names,sep='.')
fr <- convert.time.series(fr=fr,return.class=return.class)
Symbols[[i]] <-toupper(gsub('\\^','',Symbols[[i]]))
if(auto.assign)
assign(Symbols[[i]],fr,env)
}
if(auto.assign)
return(Symbols)
return(fr)
}
#}}}
# getSymbols.RData {{{
`getSymbols.RData` <- getSymbols.rda
# }}}
# getSymbols.IBrokers {{{
"getSymbols.IBrokers" <- function(Symbols, env, return.class='xts',
endDateTime, barSize='1 day', duration='1 M',
useRTH = '1', whatToShow = 'TRADES', time.format = '1', ...)
{
importDefaults('getSymbols.IBrokers')
this.env <- environment()
for(var in names(list(...))) {
assign(var, list(...)[[var]], this.env)
}
if(!hasArg(verbose))
verbose <- FALSE
if(!hasArg(auto.assign))
auto.assign <- TRUE
if(is.method.available("twsConnect","IBrokers")) {
tws <- do.call('twsConnect',list(clientId=1001))
on.exit(do.call('twsDisconnect',list(tws)))
if(missing(endDateTime)) endDateTime <- NULL
for(i in 1:length(Symbols)) {
Contract <- getSymbolLookup()[[Symbols[i]]]$Contract
if(inherits(Contract,'twsContract')) {
fr <- do.call('reqHistoricalData',list(tws, Contract, endDateTime=endDateTime,
barSize=barSize, duration=duration,
useRTH=useRTH, whatToShow=whatToShow,
timeFormat=time.format, verbose=verbose))
fr <- convert.time.series(fr=fr, return.class=return.class)
if(auto.assign)
assign(Symbols[[i]], fr, env)
if(i < length(Symbols)) {
if(verbose) cat('waiting for TWS to accept next request')
for(pacing in 1:6) {
if(verbose) cat('.',sep='')
Sys.sleep(1)
}
if(verbose) cat('done\n')
}
} else {
warning(paste('unable to load',Symbols[i],': missing twsContract definition'))
}