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data.r
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data.r
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###############################################################################
# This software is provided 'as-is', without any express or implied
# warranty. In no event will the authors be held liable for any damages
# arising from the use of this software.
#
# Permission is granted to anyone to use this software for any purpose,
# including commercial applications, and to alter it and redistribute it
# freely, subject to the following restrictions:
#
# 1. The origin of this software must not be misrepresented; you must not
# claim that you wrote the original software. If you use this software
# in a product, an acknowledgment in the product documentation would be
# appreciated but is not required.
# 2. Altered source versions must be plainly marked as such, and must not be
# misrepresented as being the original software.
# 3. This notice may not be removed or altered from any source distribution.
###############################################################################
# Collection of routines to work with data
#
# For more information please email at TheSystematicInvestor at gmail
###############################################################################
#' @export
find.tokens <- function
(
txt, # source text
marker, # key-phrase(s) to find
pos = 1, # position to start searching at
pos.start = T
)
{
# find location of data
marker = spl(marker)
for(i in 1:len(marker)) {
if( pos < 2 )
pos1 = regexpr(marker[i], txt)
else
pos1 = regexpr(marker[i], substr(txt, pos, nchar(txt)))
if( pos1 < 0 )
return(pos1)
else {
if( pos < 2 ) pos = pos1
else pos = pos1 + pos - 1
}
pos = pos + attr(pos1, 'match.length')
}
if( pos.start ) pos = pos - attr(pos1, 'match.length')
return(pos)
}
#' @export
extract.token <- function
(
txt, # source text
smarker, # start key-phrase(s) to find
emarker, # end key-phrase(s) to find
pos = 1, # position to start searching at
keep.marker = F
)
{
pos1 = 1
if (nchar(smarker) > 0)
pos1 = find.tokens(txt, smarker, pos, pos.start = keep.marker)
if( pos1 < 0 ) return("")
pos1.marker = iif(keep.marker, pos1 + nchar(last(spl(smarker))), pos1)
pos2 = nchar(txt)
if (nchar(emarker) > 0)
pos2 = find.tokens(txt, emarker, pos1.marker, pos.start = !keep.marker) - 1
if( pos2 < 0 ) return("")
return(substr(txt,pos1,pos2))
}
#' @export
remove.tags <- function
(
temp # source text
)
{
# remove all formating
temp = gsub(pattern = '<.*?>', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = '\r', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = '\n', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = '\t', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = ' ', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = '&', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = '»', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = '%', replacement = '%', temp, perl = TRUE)
return(temp)
}
#' @export
replace.token <- function
(
txt, # source text
smarker, # start key-phrase(s) to find
emarker, # end key-phrase(s) to find
replacement,# replacement token
pos = 1 # position to start searching at
)
{
token = extract.token(txt, smarker, emarker, pos, keep.marker = T)
if(nchar(token) == 0)
txt
else
replace.token(gsub(pattern = token, replacement = replacement, txt), smarker, emarker, replacement)
}
#' @export
clean.table <- function
(
temp # extracted table
)
{
temp = trim(temp)
temp[nchar(temp)==0] = NA
temp = temp[ncol(temp) > rowSums(is.na(temp)),,drop=F]
temp[,nrow(temp) > colSums(is.na(temp)),drop=F]
}
###############################################################################
# extract.table.from.webpage
#' @export
###############################################################################
extract.table.from.webpage <- function
(
txt, # source text of webpage
marker=NA, # key-phrase(s) located in the table to extract
has.header=T,# flag if table has a header
has.rownames=F,# flag if table has row names
remove.empty.cols=F,# flag to remove columns with empty name
remove.empty.rows=F,# flag to remove rows with empty name
convert2num = F,# flag to convert matrix to numeric only
end.marker=NA # additional end of token marker(s)
)
{
tryCatch({
# find location of data
pos1=1
if(!is.na(marker)) {
marker = spl(marker)
if(len(marker) > 0 && nchar(marker[1]) > 0)
for(i in 1:len(marker))
pos1 = regexpr(marker[i], substr(txt, pos1, nchar(txt))) + pos1
}
# find start/end of table
pos0 = tail(gregexpr('<table', substr(txt, 1, pos1))[[1]], 1)
if(pos0 == -1) pos0 = tail(gregexpr('<tbody', substr(txt, 1, pos1))[[1]], 1)
if(pos0 == -1) pos0 = pos1
pos2 = head(gregexpr('</table', substr(txt, pos1, nchar(txt)))[[1]], 1)
if(pos2 == -1) pos2 = head(gregexpr('</tbody', substr(txt, pos1, nchar(txt)))[[1]], 1)
if(pos2 == -1) pos2 = nchar(txt)+1
temp = substr(txt, pos0, pos1 + pos2 - 2)
# remove all formating
temp = gsub(pattern = '<br>', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = '</tr>', replacement = ';row;', temp, perl = TRUE)
temp = gsub(pattern = '</td>', replacement = ';col;', temp, perl = TRUE)
temp = gsub(pattern = '</th>', replacement = ';col;', temp, perl = TRUE)
if(!is.na(end.marker)) {
marker = spl(end.marker)
if(len(marker) > 0 && nchar(marker[1]) > 0)
for(i in 1:len(marker))
temp = gsub(pattern = marker[i], replacement = ';row;', temp, perl = TRUE)
}
temp = gsub(pattern = '<.*?>', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = '\r', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = '\n', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = '\t', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = ' ', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = '&', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = '»', replacement = '', temp, perl = TRUE)
# parse into matrix
temp = lapply( strsplit(temp, ';row;'), strsplit, ';col;')
n = max( sapply(temp[[1]], function(x) len(x)) )
temp = t( sapply(temp[[1]], function(x) x[1:n]) )
temp = extract.table(temp, has.header, has.rownames, remove.empty.cols, remove.empty.rows, convert2num)
}, error = function(ex) {
temp <<- txt
}, finally = {
return(temp)
})
}
###############################################################################
# mat2num
# convert given matrix to numeric only
# keep the column and row names of the original matrix
#' @export
###############################################################################
mat2num = function
(
data
)
{
temp = as.matrix(data)
temp = gsub(pattern = '$', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = ',', replacement = '', temp, perl = TRUE)
temp = gsub(pattern = '%', replacement = '', temp, perl = TRUE)
temp = as.numeric(temp)
dim(temp) = dim(data)
colnames(temp) = colnames(data)
rownames(temp) = rownames(data)
temp
}
###############################################################################
# extract.table
# convert given matrix to numeric only
# keep the column and row names of the original matrix
#' @export
###############################################################################
extract.table = function
(
temp,
has.header=T,# flag if table has a header
has.rownames=T,# flag if table has row names
remove.empty.cols=T,# flag to remove columns with empty name
remove.empty.rows=T,# flag to remove rows with empty name
convert2num = T# flag to convert matrix to numeric only
)
{
# the has.header & has.rownames can be specified as the number
if (has.header && has.rownames) {
colnames(temp) = trim(temp[(has.header + 0), ])
rownames(temp) = trim(temp[, (has.rownames + 0)])
temp = temp[-c(1:(has.header + 0)), -c(1:(has.rownames + 0)), drop = F]
} else if (has.rownames) {
rownames(temp) = trim(temp[, (has.rownames + 0)])
temp = temp[, -c(1:(has.rownames + 0)), drop = F]
} else if(has.header) {
colnames(temp) = trim(temp[(has.header + 0), ])
temp = temp[-c(1:(has.header + 0)), ,drop=F]
}
# flags to remove entries for empty columns / rows names
if (remove.empty.cols && remove.empty.rows)
temp = temp[nchar(rownames(temp))>0, nchar(colnames(temp))>0]
else if (remove.empty.cols)
temp = temp[, nchar(colnames(temp))>0]
else if (remove.empty.rows)
temp = temp[nchar(rownames(temp))>0, ]
# convert to numbers
if (has.rownames)
temp = mat2num(temp)
temp
}
###############################################################################
# Test for extract.table.from.webpage function
###############################################################################
extract.table.from.webpage.test <- function()
{
load.packages('quantmod')
Symbol = 'IBM'
# download Key Statistics from yahoo
url = paste('http://finance.yahoo.com/q/ks?s=', Symbol, sep = '')
txt = join(readLines(url))
# extract Valuation Measures table from this page
temp = extract.table.from.webpage(txt, 'Market Cap', has.header = F)
temp = rbind(c('', Symbol), temp) # add header row
# download IBM price history from Yahoo
data = getSymbols(Symbol, from = '1980-01-01', auto.assign = FALSE)
# prepare IBM data for 2010:2011 and compute 50 days moving average
y = data['2010::2011']
sma50 = SMA(Cl(y), 50)
png(filename = 'plot1.png', width = 500, height = 500, units = 'px', pointsize = 12, bg = 'white')
# plote candles and volume and table
layout(c(1,1,2,3,3))
plota(y, type = 'candle', main = Symbol, plotX = F)
plota.lines(sma50, col='blue')
plota.legend(c(Symbol,'SMA 50'), 'green,blue', list(y,sma50))
y = plota.scale.volume(y)
plota(y, type = 'volume')
plot.table(temp)
dev.off()
}
###############################################################################
# Test [SMF add](http://ogres-crypt.com/SMF/)
###############################################################################
extract.table.from.webpage.test.SMF <- function()
{
ticker = 'SPY'
url = 'http://performance.morningstar.com/Performance/cef/trailing-total-returns.action?t='
url = paste0(url, ticker)
txt = get.url(url)
temp = extract.table.from.webpage(txt, 'Total Return', has.header=F)
temp = extract.table(temp)
temp[,'1-Day']
temp['Rank in Category(NAV)',]
# [smf-elements-22](http://ogres-crypt.com/SMF/Elements/smf-elements-22.txt)
# Barchart Momentum
url = 'https://core-api.barchart.com/v1/momentum/get?raw=1&fields=exchange,high52w,low52w,newHighs,newLows,advancingVolume,unchangedVolume,decliningVolume,advancingIssues,percentAdvancingIssues,unchangedIssues,percentUnchangedIssues,decliningIssues,percentDecliningIssues&exchanges=NASDAQ,NYSE,OTC,AMEX'
txt = get.url(url)
require(jsonlite)
data = fromJSON(txt)
temp = data$data
extract.table(temp[, colnames(temp)!='raw'], has.header=F)
# Yahoo Portfolio View
url = 'https://query1.finance.yahoo.com/v7/finance/quote?fields=symbol,longName,shortName,regularMarketPrice,regularMarketTime,regularMarketChange,regularMarketDayHigh,regularMarketDayLow,regularMarketPrice,regularMarketOpen,regularMarketVolume,averageDailyVolume3Month,marketCap,bid,ask,dividendYield,dividendsPerShare,exDividendDate,trailingPE,priceToSales,targetPriceMean&formatted=false&symbols=~~~~~'
ticker = 'IBM,DIS'
url = sub('~~~~~', ticker, url)
txt = get.url(url)
data = fromJSON(txt)
temp = data$quoteResponse$result
t(temp)
}
###############################################################################
# Pricing Zero Coupon Bond (i.e. yield to price)
# http://thinkanddone.com/finance/valuation-of-zero-coupon-bonds.html
#' @export
###############################################################################
PricingZeroCouponBond <- function
(
yield,
timetomaturity,
parvalue = 100
)
{
parvalue / ( 1 + yield ) ^ timetomaturity
}
###############################################################################
# Convert Historical TBills rates to Total Returns
# http://timelyportfolio.blogspot.com/2011/04/historical-sources-of-bond-returns_17.html
# http://timelyportfolio.blogspot.ca/2012/11/cashopportunity-lost-or-opportunity.html
#
# [S&P500 and 10yr TReasurey returns since 1928](http://people.stern.nyu.edu/adamodar/pc/datasets/histret.xls)
# http://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/histretSP.html
# Another example to compute Return on bond =
# * Yield at start of the year plus
# * 10YR bond price change given the change in Yield
# http://people.stern.nyu.edu/adamodar/pc/datasets/
#' @export
###############################################################################
processTBill <- function
(
yields,
timetomaturity = 1/4,
frequency = 365
)
{
yield = coredata(yields) / 100
# price return
pr = sapply( yield, function(x) PricingZeroCouponBond(x, timetomaturity) )
pr = ROC(pr, type='discrete')
pr[1] = 0
# interest return
ir = (1+mlag(yield, nlag=1))^(1 / frequency)-1
#ir = mlag(yield, nlag=1) / frequency
ir[1] = 0
# total return
tr = pr + ir
#out = as.xts( cbind(pr, ir, tr), index(yields) )
# colnames(out) = spl('PR,IR,TR')
close.price = cumprod(1 + pr)
adjusted.price = cumprod(1 + tr)
out = as.xts( cbind(close.price, adjusted.price), index(yields) )
colnames(out) = spl('Close,Adjusted')
return(out)
}
processTBill.test <- function()
{
#*****************************************************************
# Get 1 year t-bill
#******************************************************************
quantmod::getSymbols("GS1", src = "FRED")
ir = (1 + mlag(GS1) / 100) ^ (1/12) - 1
ir[1] = 0
out = processTBill(GS1, timetomaturity = 1,12)
plota(cumprod(1 + ir), type='l', log = 'y')
plota.lines(Ad(out), type='l', col='red')
#*****************************************************************
# Get 3 years t-bill
#******************************************************************
SHY = getSymbols('SHY', src='yahoo', auto.assign = FALSE)
tbill.m = quantmod::getSymbols('GS3', src='FRED', auto.assign = FALSE)
tbill.d = quantmod::getSymbols('DGS3', src='FRED', auto.assign = FALSE)
timetomaturity = 3
compute.raw.annual.factor(tbill.d)
compute.raw.annual.factor(tbill.m)
# compute returns
tbill.m = processTBill(tbill.m, timetomaturity = timetomaturity, 12)
#index(tbill.m) = as.Date(paste('1/', format(index(tbill.m), '%m/%Y'), sep=''), '%d/%m/%Y')
tbill.d[] = ifna.prev(tbill.d)
tbill.d = processTBill(tbill.d, timetomaturity = timetomaturity,261)
# scale to start at 1
dates = '2003::'
tbill.m = tbill.m[dates,2]
tbill.m = tbill.m / as.double(tbill.m[1])
tbill.d = tbill.d[dates,2]
tbill.d = tbill.d / as.double(tbill.d[1])
SHY = Ad(SHY[dates,])
SHY = SHY / as.double(SHY[1])
# plot
plota(tbill.d, type='l')
plota.lines(tbill.m, type='s', col='blue')
plota.lines(SHY, type='l', col='red')
plota.legend('Daily 3YR T-Bills,Monthly 3YR T-Bills,SHY','black,blue,red')
}
###############################################################################
# Load CRB Commodities Index
# http://www.jefferies.com/cositemgr.pl/html/ProductsServices/SalesTrading/Commodities/ReutersJefferiesCRB/IndexData/index.shtml
###############################################################################
# ... parameters for read.xls function
# i.e. CRB = get.CRB(perl = 'c:/perl/bin/perl.exe')
#
# This url is not working anymore, for updated example please see
# bt.extend.DBC.update.test in bt.test.r
#' @export
###############################################################################
get.CRB <- function(...)
{
load.packages('gtools,gdata')
#http://www.jefferies.com/html/ProductsServices/SalesTrading/Commodities/scripts/genExcel.pl?Index=RJCRB_Excess&StartDate=19940103&EndDate=20111202
url = paste('http://www.jefferies.com/html/ProductsServices/SalesTrading/Commodities/scripts/genExcel.pl?Index=RJCRB_Total&StartDate=19940101&EndDate=', format(Sys.Date(), '%Y%m%d'), sep='')
temp = read.xls(url, ...)
temp = as.matrix(temp[-c(1:7),])
out = repmat(as.double(temp[,2]), 1, 6)
colnames(out) = spl('Open,High,Low,Close,Volume,Adjusted')
out[, 'Volume'] = 0
#out = make.xts( out, as.Date(temp[,1], '%m/%d/%y'))
out = make.xts( out, as.POSIXct(temp[,1], tz = Sys.getenv('TZ'), format='%m/%d/%y'))
xts::tclass(out) = 'Date'
return(out)
}
get.CRB.test <- function()
{
#*****************************************************************
# Load historical data
#******************************************************************
CRB = get.CRB()
load.packages('quantmod')
# http://etfdb.com/
tickers = spl('GSG,DBC')
getSymbols(tickers, src = 'yahoo', from = '1970-01-01')
#*****************************************************************
# Compare different indexes
#******************************************************************
out = na.omit(merge(Cl(CRB), Cl(GSG), Cl(DBC)))
colnames(out) = spl('CRB,GSG,DBC')
temp = out / t(repmat(as.vector(out[1,]),1,nrow(out)))
layout(1:2)
plota(temp, ylim=range(temp))
plota.lines(temp[,1],col=1)
plota.lines(temp[,2],col=2)
plota.lines(temp[,3],col=3)
plota.legend(colnames(temp),1:3)
temp = cor(temp / mlag(temp)- 1, use='complete.obs', method='pearson')
temp[] = plota.format(100 * temp, 0, '', '%')
plot.table(temp)
layout(1:3)
plota.matplot(CRB[,c('Close','Adjusted')])
plota.matplot(DBC[,c('DBC.Close','DBC.Adjusted')])
plota.matplot(GSG[,c('GSG.Close','GSG.Adjusted')])
layout(1)
comm = extend.data(DBC, CRB, scale=T)
plota(comm, type='l', col=1)
plota.lines(CRB*0.078, type='l', lwd=5, col=col.add.alpha(2,150))
plota.lines(DBC, type='l', lwd=5, col=col.add.alpha(3,150))
plota.lines(comm, type='l', col=1)
plota.legend('comm,CRB,DBC', 1:3, list(comm,CRB,DBC))
}
###############################################################################
# Get Dow Jones Components
# http://finance.yahoo.com/q/cp?s=^DJI+Components
#' @export
###############################################################################
dow.jones.components <- function()
{
url = 'http://money.cnn.com/data/dow30/'
txt = join(readLines(url))
# extract links
temp = gsub(pattern = '">', replacement = '<td>', txt, perl = TRUE)
temp = gsub(pattern = '</a>', replacement = '</td>', temp, perl = TRUE)
# extract table from this page
temp = extract.table.from.webpage(temp, 'Volume', has.header = T)
trim(temp[,'Company'])
}
dow.jones.components.0 <- function()
{
url = 'http://finance.yahoo.com/q/cp?s=^DJI+Components'
txt = join(readLines(url))
# extract table from this page
temp = extract.table.from.webpage(txt, 'Volume', has.header = T)
temp[, 'Symbol']
}
dow.jones.components.1 <- function()
{
load.packages('readxl,httr')
dir.create(paste(getwd(), 'temp', sep='/'), F)
GET('http://www.djaverages.com/?go=export-components&symbol=DJI', write_disk('temp/DJI.xls', overwrite=TRUE))
temp = read_excel('temp/DJI.xls')
temp$Ticker
}
###############################################################################
# Get NASDAQ 100 Components
# http://www.nasdaq.com/markets/indices/nasdaq-100.aspx
#' @export
###############################################################################
nasdaq.100.components <- function()
{
url = 'http://www.nasdaq.com/quotes/nasdaq-100-stocks.aspx?render=download'
temp = read.csv(url, header=TRUE, stringsAsFactors=F)
colnames(temp) = trim(colnames(temp))
tickers = temp[, 'Symbol']
return(tickers)
}
###############################################################################
# Get Sector SPDR Components
# http://www.sectorspdr.com/sectorspdr/IDCO.Client.Spdrs.Holdings/Export/ExportCsv?symbol=XLE
# tickers = spl('XLY,XLP,XLE,XLF,XLV,XLI,XLB,XLK,XLU')
# tickers.desc = spl('ConsumerCyclicals,ConsumerStaples,Energy,Financials,HealthCare,Industrials,Materials,Technology,U
#' @export
###############################################################################
sector.spdr.components <- function(sector.etf = 'XLE')
{
url = paste('http://www.sectorspdr.com/sectorspdr/IDCO.Client.Spdrs.Holdings/Export/ExportCsv?symbol=', sector.etf, sep='')
# extract table from this page
temp = read.csv(url, skip=1, header=TRUE, stringsAsFactors=F)
tickers = temp[, 'Symbol']
return(tickers)
}
###############################################################################
# S&P 500 Components
# http://en.wikipedia.org/wiki/List_of_S%26P_500_companies
#' @export
###############################################################################
sp500.components <- function()
{
url = 'http://en.wikipedia.org/wiki/List_of_S%26P_500_companies'
txt = join(readLines(url))
# extract table from this page
temp = extract.table.from.webpage(txt, 'Ticker', has.header = T)
tickers = temp[, 'Ticker symbol']
sector = temp[, 'GICS Sector']
return(list(tickers=tickers, sector=sector))
}
# List of sites that keep SP500 Components
# http://www.s-p-500.com/stocks-a-b/
#http://www.forexpros.com/indices/us-spx-500-components
#http://marketvolume.com/indexes_exchanges/sp500_components.asp
#http://en.wikipedia.org/wiki/List_of_S%26P_500_companies
#http://en.wikipedia.org/wiki/Dow_Jones_Index
###############################################################################
# S&P 100 Components
# http://www.barchart.com/stocks/sp100.php
#' @export
###############################################################################
sp100.components <- function()
{
url = 'http://www.barchart.com/stocks/sp100.php'
txt = join(readLines(url))
# extract table from this page
temp = extract.table.from.webpage(txt, 'Components', has.header = T)
i.start = grep('Name', temp[,2])
tickers = trim(temp[-c(1:i.start), 1])
return(tickers)
}
###############################################################################
# iShares FTSE 100 (ISF)
# http://uk.ishares.com/en/rc/products/ISF/all-holdings/
# http://www.londonstockexchange.com/exchange/prices-and-markets/stocks/indices/constituents-indices.html?index=UKX
# Yahoo ticker for UK stocks ABF.L
#' @export
###############################################################################
ftse100.components <- function()
{
# get holdings from uk.ishares.com
url = 'http://uk.ishares.com/en/rc/products/ISF/all-holdings/'
txt = join(readLines(url))
# extract table from this page
txt = gsub('%','%',txt)
temp = extract.table.from.webpage(txt, 'Security', has.header = T)
temp = trim(temp)
colnames(temp) = temp[1,]
temp = temp[-1,]
holdings = temp
# get ISIN to ticker map from www.londonstockexchange.com
page.label = ''
ticker2ISIN = c()
for(i in 1:100) {
cat(i,'\n')
# download
url = paste('http://www.londonstockexchange.com/exchange/prices-and-markets/stocks/indices/constituents-indices.html?index=UKX&page=', i, sep='')
txt = join(readLines(url))
# get page label
pos = regexpr('Page [0-9]+ of [0-9]+', txt, ignore.case = T)
page.label.new = substr(txt, pos, pos + attr(pos, 'match.length')-1)
if(page.label == page.label.new) break
page.label = page.label.new
# extract table
temp.table = extract.table.from.webpage(txt, 'Price', has.header = T)
colnames(temp.table)[1] = 'tickers'
# extract links
temp = gsub(pattern = '<a', replacement = '<td>', txt, perl = TRUE)
temp = gsub(pattern = '</a>', replacement = '</td>', temp, perl = TRUE)
temp = extract.table.from.webpage(temp, 'Price', has.header = T)
pos = regexpr('fourWayKey=', temp[,2])
ISIN = as.vector(sapply(1:nrow(temp), function(j)
substr(temp[j,2], pos[j] + attr(pos, 'match.length')[j], pos[j] + attr(pos, 'match.length')[j] + 12 - 1)
))
ticker2ISIN = rbind(ticker2ISIN, cbind(temp.table[,spl('ticker,Name,Price'), drop=F], ISIN))
}
ISIN = intersect(holdings[,'ISIN'],ticker2ISIN[,'ISIN'])
holdings = cbind(holdings[match(ISIN, holdings[,'ISIN']), ],
ticker2ISIN[match(ISIN, ticker2ISIN[,'ISIN']), spl('ticker,Name,Price')])
return(apply(holdings, 2, list))
}
###############################################################################
# Get Dow Jones Components
# http://finance.yahoo.com/q/cp?s=^DJI+Components
# us.ishares.components(date='2008-02-01')
#' @export
###############################################################################
us.ishares.components <- function(Symbol = 'DVY', date = NULL, debug = F)
{
url = paste('http://us.ishares.com/product_info/fund/holdings/', Symbol, '.htm?periodCd=d', sep='')
if( !is.null(date) )
url = paste('http://us.ishares.com/product_info/fund/holdings/', Symbol, '.htm?asofDt=', date.end(date), '&periodCd=m', sep='')
txt = join(readLines(url))
# extract date from this page
temp = remove.tags(extract.token(txt, 'Holdings Detail', 'Holdings subject to change'))
date = as.Date(spl(trim(temp),' ')[3], '%m/%d/%Y')
# extract table from this page
temp = extract.table.from.webpage(txt, 'Symbol', has.header = T)
colnames(temp) = trim(colnames(temp))
temp = trim(temp)
tickers = temp[, 'Symbol']
keep.index = nchar(tickers)>1
weights = as.double(temp[keep.index, '% Net Assets']) / 100
tickers = tickers[keep.index]
out = list(tickers = tickers, weights = weights, date = date)
if(debug) out$txt = txt
out
}
###############################################################################
# Get Google search results:
# https://gist.github.com/Daapii/7281439
# --- explanation of the parameters in the query ---
#
# ie = input encoding
# oe = output encoding
# q = query (our search term)
# num = amount of search results displayed at a time
# gws_rd=cr = redirects you to your countries version of google (required if you're not in the US)
# url encode our query
# query = "https://encrypted.google.com/search?ie=utf-8&oe=utf-8&q={0}&num=100&gws_rd=cr".format(query)
# google.search("r project")
#' @export
###############################################################################
google.search <- function
(
query
)
{
url = paste("http://google.com/search?ie=utf-8&oe=utf-8&q=", URLencode(query), "&num=10&gws_rd=cr", sep='')
txt = join(readLines(url))
tokens = spl(txt, '<li class="g">')
if(len(tokens) < 2) return(NULL)
records = matrix('', nrow=len(tokens)-1,nc=2)
colnames(records) = c('label','url')
for(i in 2:len(tokens)) {
token = tokens[i]
token = extract.token(token, '<a href=', '</a>', keep.marker = T)
url = extract.token(token, 'url\\?q=', '&sa=U&')
label = remove.tags(token)
records[i-1,] = c(label,url)
}
return(records)
}
###############################################################################
# Get the latest prices from the Google finance:
# http://digitalpbk.com/stock/google-finance-get-stock-quote-realtime
# http://finance.google.com/finance/info?client=ig&q=MSFT,AAPL,NYSE:RY
#' @export
###############################################################################
#getQuote.google(spl('MSFT,AAPL,IBM'))
getQuote.google <- function(tickers) {
url = paste('http://finance.google.com/finance/info?client=ig&q=', join(tickers,','), sep='')
txt = join(readLines(url))
temp = gsub(':', ',', txt)
temp = scan(text = temp, what='', sep=',', quiet=T)
temp = matrix(trim(temp), nr=len(temp)/len(tickers), byrow=F)
index = match(spl('t,l,lt'), tolower(temp[,1]))+1
names(index) = spl('ticker,last,date')
last = as.double(temp[index['last'],])
date = strptime(temp[index['date'],],format=' %b %d, %H,%M')
out = data.frame(last,date)
rownames(out) = temp[index['ticker'],]
out
}
# an xml alternative
# http://www.jarloo.com/google-stock-api/
# http://www.google.com/ig/api?stock=AAPL&stock=GOOG
#getQuote.google.xml(spl('MSFT,AAPL,NYSE:RY'))
#' @export
getQuote.google.xml <- function(tickers) {
url = paste('http://www.google.com/ig/api?', paste('stock=',tickers, '&', sep='', collapse=''), sep='')
txt = join(readLines(url))
temp = txt
temp = gsub('<finance.*?>', '', temp, perl = TRUE)
temp = gsub('</finance>', '', temp, perl = TRUE)
temp = gsub('<xml.*?>', '', temp, perl = TRUE)
temp = gsub('</xml.*?>', '', temp, perl = TRUE)
temp = gsub('<\\?xml.*?>', '', temp, perl = TRUE)
temp = gsub('data=', '', temp, perl = TRUE)
temp = gsub('/><', ' ', temp)
temp = gsub('>', '', temp)
temp = gsub('<', '', temp)
temp = scan(text = temp, what='', sep=' ', quiet=T)
temp = matrix(trim(temp), nr=len(temp)/len(tickers), byrow=F)
cnames = spl('trade_date_utc,trade_time_utc,symbol,last,high,low,volume,open,avg_volume,market_cap,y_close')
index = match(cnames, tolower(temp[,1]))+1
names(index) = cnames
date = strptime(paste(temp[index['trade_date_utc'],], temp[index['trade_time_utc'],]), format='%Y%m%d %H%M%S',tz='UTC')
date = as.POSIXct(date, tz = Sys.getenv('TZ'))
out = data.frame(t(temp[index[-c(1:3)],]))
colnames(out) = cnames[-c(1:3)]
rownames(out) = temp[index['symbol'],]
out
}
###############################################################################
# Get the latest prices from the Bigcharts:
# http://bigcharts.marketwatch.com/quotes/multi.asp?view=q&msymb=MSFT+AAPL+IBM
#' @export
###############################################################################
#get.bigcharts.quote('ibm')
#get.bigcharts.quote('ibm,msft,c')
get.bigcharts.quote = function(symbolnames = spl('ibm,msft'), raw=F) {
# download
url = paste0('http://bigcharts.marketwatch.com/quotes/multi.asp?view=q&msymb=',join(spl(symbolnames),'+'))
txt = get.url(url)
# extract
data = extract.table.from.webpage(txt, 'Change')
colnames(data) = tolower(trim( colnames(data) ))
data = trim(data)
keep.index = nchar(data[,'symbol']) > 0
data = data[keep.index,,drop=F]
datan = mat2num(data)
# xts
temp = cbind(
Open = datan[,'last'] + datan[,'change'],
High = datan[,'high'],
Low = datan[,'low'],
Close = datan[,'last'],
Volume = datan[,'volume'],
Adjusted = datan[,'last']
)
date = strptime( paste(format(Sys.Date(), '%Y-%m-%d'), data[,'time']), '%Y-%m-%d %I:%M %p')
temp = make.xts(temp, order.by = date)
out = list()
for(i in 1:nrow(data))
out[[ data[i,'symbol'] ]] = temp[i,]
if(raw) out = lst(data=out, raw=data)
out
}
###############################################################################
# Get the latest prices from the Barcharts:
# https://www.barchart.com/stocks/quotes/MSFT
#' @export
###############################################################################
#get.barcharts.quote('ibm')
get.barcharts.quote = function(ticker = 'ibm', raw=F) {
# download
url = paste0('https://www.barchart.com/stocks/quotes/', ticker)
txt = get.url(url)
# extract
token = extract.token(txt, '<div class="bc-quote-overview row",data-ng-init,init\\(', "\\)'>")
require(jsonlite)
data = fromJSON(paste('[',token,']'))
ticker = data[[1]]
temp = data[[4]]$raw
temp = cbind(
Open = temp$openPrice,
High = temp$highPrice,
Low = temp$lowPrice,
Close = temp$lastPrice,
Volume = temp$volume,
Adjusted = temp$lastPrice
)
date = Sys.Date()
temp = make.xts(temp, order.by = date)
out = list()
out[[ ticker ]] = temp
if(raw) out = lst(data=out, raw=data[[4]]$raw)
out
}
###############################################################################
# Download historical intraday prices from Google Finance
#
# [Best Example](http://stackoverflow.com/questions/15609334/how-to-download-intraday-stock-market-data-with-r)
# as.POSIXct(1357828200-300*60, origin = '1970-01-01')
#
# http://www.mathworks.com/matlabcentral/fileexchange/32745-get-intraday-stock-price
# http://www.mathworks.com/matlabcentral/fileexchange/36115-volume-weighted-average-price-from-intra-daily-data
# http://www.codeproject.com/KB/IP/google_finance_downloader.aspx
# http://www.marketcalls.in/database/google-realtime-intraday-backfill-data.h
# getSymbol.intraday.google('GOOG','NASDAQ')
# getSymbol.intraday.google('.DJI','INDEXDJX')
#' @export
###############################################################################
getSymbol.intraday.google <- function
(
Symbol,
Exchange,
interval = 60, # 60 seconds
period = '1d'
)
{
# download Key Statistics from yahoo
url = paste('https://finance.google.com/finance/getprices?q=', Symbol,
'&x=', Exchange,
'&i=', interval,
'&p=', period,
'&f=', 'd,o,h,l,c,v', sep='')
txt = get.url(url)
#write(txt, file='1.txt')
#txt = read.file('google-spy-getprices.txt')
lines = spl(txt,'\n')
if(len(lines) < 7) {
cat('Error getting data from', url, '\n')
return(NULL)
}
marker = 'COLUMNS='
map = c(DATE='Date', CLOSE='Close', HIGH='High', LOW='Low', OPEN='Open', VOLUME='Volume')
cols = map[ spl(gsub(marker, '', lines[ grep(marker,lines)[1] ])) ]
marker = 'TIMEZONE_OFFSET='