Re: [R] [R-SIG-Finance] RTAQ - convert function: warning causes incorrect loading of data
FWIW %m is the proper conversion for months. %M is minutes. Looks like a bug. Jeffrey Ryan|Founder|jeffrey.r...@lemnica.com www.lemnica.com On Oct 13, 2012, at 10:33 AM, Nicolae Caprarescu capra...@cs.man.ac.uk wrote: Hi Michael, Thank you for pointing me in the right direction, I'm now using an email client rather than Nabble. Related to the issue I described below, it's resolved now, I have managed to fix it myself. However, I believe this might be a bug, or at least something that needs improving; I have described both how to reproduce this issue and its solution in the below 4 steps: 1) library(RTAQ) 2) Create XXX_trades.csv file with the contents below using a relative path like [somewhere]/TAQData/2010-11-01/XXX_trades.csv SYMBOL,DATE,TIME,PRICE,SIZE,G127,CORR,COND,EX XXX,20101101,10:30:00,11.49,500,0,0,@,B XXX,20101101,10:30:02,11.49,322,0,0,0,B XXX,20101101,10:30:02,11.49,178,0,0,@,B XXX,20101101,10:30:03,11.49,500,0,0,@,B XXX,20101101,10:30:03,11.49,187,0,0,@,D 3) #convert does not generate any errors/warnings, however it does not work properly convert(from=2010-11-01, to=2010-11-01,datasource=[somewhere]/TAQData/, datadestination=[somewhere]/TAQDataRData/,trades=T,quotes=F,ticker=XXX,dir=T, extention=csv, header=T, tradecolnames=c(SYMBOL, DATE, TIME, PRICE, SIZE, G127, CORR, COND, EX)) #loading the RData created by convert TAQLoad(XXX,from=2010-11-01,to=2010-11-01,datasource=[somewhere]TAQDataRData/, trades=T,quotes=F) #output of TAQLoad SYMBOL EX PRICE SIZE COND CORR G127 NA XXX B 11.49 500 @ 0 0 NA XXX B 11.49 322 0 0 0 NA XXX B 11.49 178 @ 0 0 NA XXX B 11.49 500 @ 0 0 NA XXX D 11.49 187 @ 0 0 Warning message: timezone of object (GMT) is different than current timezone (). Problem are the NAs. If one does not supply the format of date and time to the convert function, it is assumed that the standard NYSE format is used, and therefore RTAQ internally (convert_to_RData.r line 32) represents this as Y%M%D %H:%M:%S. Whilst this works fine for some things, when a timeDate is initialised using this format (convert_to_RData.r line 102), it does not work. timeDate expects a correct format like %Y%m%d %H:%M:%S format rather than Y%M%D %H:%M:%S. Run the below two to confirm: tdobject=timeDate:::timeDate(paste(as.vector(2010-10-11), as.vector(10:30:30)), format=%Y%M%D %H:%M:%S,FinCenter=GMT,zone=GMT) #tdobject is GMT [1] [NA] tdobject=timeDate:::timeDate(paste(as.vector(20101011), as.vector(10:30:30)), format=%Y%m%d %H:%M:%S,FinCenter=GMT,zone=GMT) #tdobject is now GMT [1] [2010-10-11 10:30:30] Therefore, if one explicitly includes format=%Y%m%d %H:%M:%S in the convert function, everything works fine and the NA problem above is solved; this is my solution. Can I please suggest that, once you investigate this and provided that you confirm my understanding, convert_to_RData.r is changed in order to use %Y%m%d %H:%M:%S as the default format? 4) My environment: R version 2.15.1 (2012-06-22) Platform: i686-pc-linux-gnu (32-bit) locale: [1] LC_CTYPE=en_GB LC_NUMERIC=C LC_TIME=en_GB [4] LC_COLLATE=C LC_MONETARY=en_GBLC_MESSAGES=en_GB [7] LC_PAPER=C LC_NAME=CLC_ADDRESS=C [10] LC_TELEPHONE=C LC_MEASUREMENT=en_GB LC_IDENTIFICATION=C attached base packages: [1] stats graphics grDevices utils datasets methods base other attached packages: [1] RTAQ_0.2 timeDate_2160.97 xts_0.8-6zoo_1.7-8 loaded via a namespace (and not attached): [1] grid_2.15.1lattice_0.20-6 Best wishes, Nicolae On Fri, 12 Oct 2012 21:52:22 +0100, R. Michael Weylandt michael.weyla...@gmail.com wrote: I'm forwarding this to the R-SIG-Finance list, where ou'll have a more specialized audience. In the meanwhile, you may wish to look at http://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example Finally, I note you're posting from Nabble. Please do include context in your reply -- I don't believe Nabble does this automatically, so you'll need to manually include it. Most of the regular respondents on these lists don't use Nabble -- it is a _mailing list_ after all -- so we don't get the forum view you do, only emails of the individual posts. Combine that with the high volume of posts, and it's quite difficult to trace a discussion if we all don't make sure to include context. Cheers, Michael On Fri, Oct 12, 2012 at 7:01 PM, caprarn9 capra...@cs.man.ac.uk wrote: Hello, I am closely following the RTAQ documentation in order to load my dataset into R, however I get this warning when running the convert function in the following way: convert(from=2010-11-01, to=2010-11-01,datasource=datasource, datadestination=datadestination,trades=T,quotes=T,ticker=BAC,dir=T, extention=csv, header=T, tradecolnames=c(SYMBOL, DATE, TIME,
Re: [R] [R-sig-hpc] Quickest way to make a large empty file on disk?
Look at the man page for dd (assuming you are on *nix) A quick google will get you a command to try. I'm not at my desk or I would as well. Jeff Jeffrey Ryan|Founder|jeffrey.r...@lemnica.com www.lemnica.com On May 2, 2012, at 5:23 PM, Jonathan Greenberg j...@illinois.edu wrote: R-helpers: What would be the absolute fastest way to make a large empty file (e.g. filled with all zeroes) on disk, given a byte size and a given number number of empty values. I know I can use writeBin, but the object in this case may be far too large to store in main memory. I'm asking because I'm going to use this file in conjunction with mmap to do parallel writes to this file. Say, I want to create a blank file of 10,000 floating point numbers. Thanks! --j -- Jonathan A. Greenberg, PhD Assistant Professor Department of Geography and Geographic Information Science University of Illinois at Urbana-Champaign 607 South Mathews Avenue, MC 150 Urbana, IL 61801 Phone: 415-763-5476 AIM: jgrn307, MSN: jgrn...@hotmail.com, Gchat: jgrn307, Skype: jgrn3007 http://www.geog.illinois.edu/people/JonathanGreenberg.html [[alternative HTML version deleted]] ___ R-sig-hpc mailing list r-sig-...@r-project.org https://stat.ethz.ch/mailman/listinfo/r-sig-hpc __ R-help@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.
Re: [R] [R-sig-hpc] Quickest way to make a large empty file on disk?
Something like: http://markus.revti.com/2007/06/creating-empty-file-with-specified-size/ Is one way I know of. Jeff Jeffrey Ryan|Founder|jeffrey.r...@lemnica.com www.lemnica.com On May 2, 2012, at 5:23 PM, Jonathan Greenberg j...@illinois.edu wrote: R-helpers: What would be the absolute fastest way to make a large empty file (e.g. filled with all zeroes) on disk, given a byte size and a given number number of empty values. I know I can use writeBin, but the object in this case may be far too large to store in main memory. I'm asking because I'm going to use this file in conjunction with mmap to do parallel writes to this file. Say, I want to create a blank file of 10,000 floating point numbers. Thanks! --j -- Jonathan A. Greenberg, PhD Assistant Professor Department of Geography and Geographic Information Science University of Illinois at Urbana-Champaign 607 South Mathews Avenue, MC 150 Urbana, IL 61801 Phone: 415-763-5476 AIM: jgrn307, MSN: jgrn...@hotmail.com, Gchat: jgrn307, Skype: jgrn3007 http://www.geog.illinois.edu/people/JonathanGreenberg.html [[alternative HTML version deleted]] ___ R-sig-hpc mailing list r-sig-...@r-project.org https://stat.ethz.ch/mailman/listinfo/r-sig-hpc __ R-help@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.
Re: [R] Another quantmod question
Hi Russ, Colnames don't get rewritten if they already exist. The reason is due to performance and how cbind is written at the R level. It isn't perfect per se, but the complexity and variety of dispatch that can take place for cbind in R, as it isn't a generic, is quite challenging to get to behave as one may hope. After years of trying I'd say it is nearly impossible to do what you want without causing horrible memory issues on non trivial objects they are use in production systems **using** xts on objects with billions of rows. Your simple case that has a simple workaround would cost everyone using in the other 99.999% of cases to pay a recurring cost that isn't tolerable. If this is frustrating to you you should stop using the class. Jeff Jeffrey Ryan|Founder|jeffrey.r...@lemnica.com www.lemnica.com On May 8, 2011, at 2:07 PM, Russ Abbott russ.abb...@gmail.com wrote: I'm having troubles with the names of columns. quantmod deal with stock quotes. I've created an array of the first 5 closing prices from Jan 2007. (Is there a problem that the name is the same as the variable name? There shouldn't be.) close close 2007-01-03 1416.60 2007-01-04 1418.34 2007-01-05 1409.71 2007-01-08 1412.84 2007-01-09 1412.11 When I try to create a more complex array by adding columns, the names get fouled up. Here's a simple example. cbind(changed.close = close+1, zero = 0, close) close zero close.1 2007-01-03 1417.600 1416.60 2007-01-04 1419.340 1418.34 2007-01-05 1410.710 1409.71 2007-01-08 1413.840 1412.84 2007-01-09 1413.110 1412.11 The first column should be called changed.close, but it's called close. The second column has the right name. The third column should be called close but it's called close.1. Why is that? Am I missing something? If I change the order of the columns and let close have its original name, there is still a problem. cbind(close, zero = 0, changed.close = close+1) close zero close.1 2007-01-03 1416.600 1417.60 2007-01-04 1418.340 1419.34 2007-01-05 1409.710 1410.71 2007-01-08 1412.840 1413.84 2007-01-09 1412.110 1413.11 Now the names on the first two columns are ok, but the third column is still wrong. Again, why is that? Apparently it's not letting me assign a name to a column that comes from something that already has a name. Is that the way it should be? I don't get that same problem on a simpler example. IX - cbind(I=0, X=(1:3)) IX I X [1,] 0 1 [2,] 0 2 [3,] 0 3 cbind(Y = 1, Z = IX[, I], W = IX[, X]) Y Z W [1,] 1 0 1 [2,] 1 0 2 [3,] 1 0 3 Is this a peculiarity to xts objects? Thanks. -- Russ P.S. Once again I feel frustrated because it's taken me far more time than it deserves to track down and characterize this problem. I can fix it by using the names function. But I shouldn't have to do that. [[alternative HTML version deleted]] __ R-help@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.
Re: [R] Another quantmod question
0.152 0.000 0.153 Yep, nearly 10x faster than a matrix op - AND you still have the time index. To get there you need to sometimes make sacrifices. xts does, though I like to think they are well thought out and consistent* *enough ;-) Best, Jeff On Sun, May 8, 2011 at 8:57 PM, Joshua Ulrich josh.m.ulr...@gmail.comwrote: Russ, On May 8, 2011 6:29 PM, Russ Abbott russ.abb...@gmail.com wrote: Hi Jeff, The xts class has some very nice features, and you have done a valuable service in developing it. My primary frustration is how difficult it seems to be to find out what went wrong when my code doesn't work. I've been writing quite sophisticated code for a fairly long time. It's not that I'm new to software development. The column name rule is a good example. I'm willing to live with the rule that column names are not changed for efficiency sake. What's difficult for me is that I never saw that rule anywhere before. Of course, I'm not an R expect. I've been using it for only a couple of months. But still, I would have expected to run into a rule like that. Worse, since the rule is in conflict with the explicit intent of cbind--one can name columns when using cbind; in fact the examples illustrate how to do it--it would really be nice of cbind would issue a warning when one attempts to rename a column in violation of that rule. Instead, cbind is silent, giving no hint about what went wrong. Naming columns is not the explicit intent of cbind. The explicit intent is to combine objects by columns. Please don't overstate the case. While the examples for the generic show naming columns, neither ?cbind.zoo or ?cbind.xts have such examples. That's a hint. It's those sorts of things that have caused me much frustration. And it's these sorts of things that seem pervasive in R. One never knows what one is dealing with. Did something not work because there is a special case rule that I haven't heard of? Did it not work because a special convenience was programmed into a function in a way that conflicted with normal use? Since these sorts of things seem to come up so often, I find myself feeling that there is no good way to track down problems, which leads to a sense of helplessness and confusion. That's not what one wants in a programming language. If that's not what one wants, one can always write their own programming language. Seriously, it seems like you want to rant more than understand what's going on. You have the R and xts help pages and the source code. The Note section of help(cbind) tells you that the method dispatch is different. It even tells you what R source file to look at to see how dispatching is done. Compare the relevant source files from base::cbind and xts::cbind.xts, look at the R Language Definition manual to see how method dispatch is normally done. But you've been writing quite sophisticated code for a fairly long time, so I'm not telling you anything you don't know... you just don't think you should have to do the legwork. -- Russ -- Joshua Ulrich | FOSS Trading: www.fosstrading.com On Sun, May 8, 2011 at 2:42 PM, Jeff Ryan jeff.a.r...@gmail.com wrote: Hi Russ, Colnames don't get rewritten if they already exist. The reason is due to performance and how cbind is written at the R level. It isn't perfect per se, but the complexity and variety of dispatch that can take place for cbind in R, as it isn't a generic, is quite challenging to get to behave as one may hope. After years of trying I'd say it is nearly impossible to do what you want without causing horrible memory issues on non trivial objects they are use in production systems **using** xts on objects with billions of rows. Your simple case that has a simple workaround would cost everyone using in the other 99.999% of cases to pay a recurring cost that isn't tolerable. If this is frustrating to you you should stop using the class. Jeff Jeffrey Ryan|Founder| jeffrey.r...@lemnica.com jeffrey.r...@lemnica.com www.lemnica.com On May 8, 2011, at 2:07 PM, Russ Abbott russ.abb...@gmail.com wrote: I'm having troubles with the names of columns. quantmod deal with stock quotes. I've created an array of the first 5 closing prices from Jan 2007. (Is there a problem that the name is the same as the variable name? There shouldn't be.) close close 2007-01-03 1416.60 2007-01-04 1418.34 2007-01-05 1409.71 2007-01-08 1412.84 2007-01-09 1412.11 When I try to create a more complex array by adding columns, the names get fouled up. Here's a simple example. cbind(changed.close = close+1, zero = 0, close) close zero close.1 2007-01-03 1417.600 1416.60 2007-01-04 1419.340 1418.34 2007-01-05
Re: [R] quantmod's addTA plotting functions
There is a struggle in documentation that revolves around being too brief to
be useful and too verbose which then is often ignored. In general, R
proper is far less verbose than quantmod docs - so if you have trouble
with quantmod...
from ?addTA
Value:
addTA will invisibly return an S4 object of class chobTA. If
this function is called interactively, the chobTA object will be
evaluated and added to the current chart.
newTA will return a function object that can either be assigned
or evaluated. Evaluating this function will follow the logic of
any standard addTA-style call, returning invisibly a chobTA
object, or adding to the chart.
In addition there is a see also that references ?TA
One can also use the archives to see this problem discussed over and over.
It isn't for lack of documentation typically - it is for lack of looking.
That said, could the docs be more clear/verbose? Certainly. Does that take
time? Certainly. Does answering the same question in a public forum take
time? Certainly. What the latter does though is provide for an excellent
reference for those who misunderstand or don't understand the 'Value' aspect
of the docs (which here explains quite clearly that nothing is printed by
the call itself).
A suitably phrased patch for the docs is one way to contribute in a
productive manner - though it may not always be applied by those you submit
it to (to me or any of the other 3000 package author/maintainers/etc).
HTH
Jeff
On Thu, May 5, 2011 at 11:42 AM, Russ Abbott russ.abb...@gmail.com wrote:
Thanks. You're right. I didn't see that. I read the ?addTA help page,
which (annoyingly) didn't mention that feature, but I didn't read the ?TA
page. (That page was mentioned as a see also, but not as a must see.)
I don't know what it means to wrap these calls in a plot call. I tried to
put the addTA calls into a function and call that function from the higher
level function, but that didn't work either. Would you tell me what it means
to wrap these calls in a plot call.
Thanks
*-- Russ *
P.S. Pardon my irritation, but I continually find that many of the help
files assume one already knows the information one is looking for. If you
don't know it, the help files are not very helpful. This is a good example.
In fact, it's two good examples. I didn't know that I had to look at
another page, and I (still) don't know what it means to wrap plot calls in
another plot call.
On Thu, May 5, 2011 at 3:39 AM, P Ehlers ehl...@ucalgary.ca wrote:
On 2011-05-05 0:47, Russ Abbott wrote:
Hi,
I'm having trouble with quantmod's addTA plotting functions. They seem
to
work fine when run from the command line. But when run inside a function,
only the last one run is visible. Here's an example.
test.addTA- function(from = 2010-06-01) {
getSymbols(^GSPC, from = from)
GSPC.close- GSPC[,GSPC.Close]
GSPC.EMA.3- EMA(GSPC.close, n=3, ratio=NULL)
GSPC.EMA.10- EMA(GSPC.close, n=10, ratio=NULL)
chartSeries(GSPC.close, theme=chartTheme('white'), up.col=black,
dn.col=black)
addTA(GSPC.EMA.3, on = 1, col = #ff)
addTA(GSPC.EMA.10, on = 1, col = #ff)
# browser()
}
When I run this, GSPC.close always appears. But only GSPC.EMA10 appears
on
the plot along with it. If I switch the order of the addTA calls,
only GSPC.EMA3 appears. If I uncomment the call to browser() neither
appears
when the browser() interrupt occurs. I can then draw both GSPC.EMA.3 and
GSPC.EMA10 manually, and let the function terminate. All intended plots
are
visible after the function terminates. So it isn't as if one wipes out
the
other. This shows that it's possible to get all three lines on the plot,
but
I can't figure out how to do it without manual intervention. Any
suggestions
are appreciated.
Perhaps you didn't see this NOTE on the ?TA help page:
Calling any of the above methods from within a function
or script will generally require them to be wrapped in a
plot call as they rely on the context of the call to
initiate the actual charting addition.
Peter Ehlers
Thanks.
*-- Russ *
[[alternative HTML version deleted]]
__
R-help@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.
--
Jeffrey Ryan
jeffrey.r...@lemnica.com
www.lemnica.com
[[alternative HTML version deleted]]
__
R-help@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.
Re: [R] quantmod's addTA plotting functions
Sorry, I forgot to give you a quick example of 'wrapping in plot'
plot(addTA(...))
The objects returned by most of the charting functions in quantmod results
from the desire for the functions to be syntactically identical whether
called from inside of chartSeries (e.g. TA=addMACD() ) as they are from
outside:
R addMACD()
The code the simplicity of this (and the lack of need for documenting 2
different functions, and learning all the details of 2 different functions
(2x the work)) you need to be a bit clever in how R works. Describing that
is 1) not simple and 2) ironically, not very well documented in base R. For
me to write it I just had to get around number 2.
HTH
Jeff
On Thu, May 5, 2011 at 11:55 AM, Jeff Ryan jeff.a.r...@gmail.com wrote:
There is a struggle in documentation that revolves around being too brief
to be useful and too verbose which then is often ignored. In general, R
proper is far less verbose than quantmod docs - so if you have trouble
with quantmod...
from ?addTA
Value:
addTA will invisibly return an S4 object of class chobTA. If
this function is called interactively, the chobTA object will be
evaluated and added to the current chart.
newTA will return a function object that can either be assigned
or evaluated. Evaluating this function will follow the logic of
any standard addTA-style call, returning invisibly a chobTA
object, or adding to the chart.
In addition there is a see also that references ?TA
One can also use the archives to see this problem discussed over and
over. It isn't for lack of documentation typically - it is for lack of
looking.
That said, could the docs be more clear/verbose? Certainly. Does that
take time? Certainly. Does answering the same question in a public forum
take time? Certainly. What the latter does though is provide for an
excellent reference for those who misunderstand or don't understand the
'Value' aspect of the docs (which here explains quite clearly that nothing
is printed by the call itself).
A suitably phrased patch for the docs is one way to contribute in a
productive manner - though it may not always be applied by those you submit
it to (to me or any of the other 3000 package author/maintainers/etc).
HTH
Jeff
On Thu, May 5, 2011 at 11:42 AM, Russ Abbott russ.abb...@gmail.comwrote:
Thanks. You're right. I didn't see that. I read the ?addTA help page,
which (annoyingly) didn't mention that feature, but I didn't read the ?TA
page. (That page was mentioned as a see also, but not as a must see.)
I don't know what it means to wrap these calls in a plot call. I tried to
put the addTA calls into a function and call that function from the higher
level function, but that didn't work either. Would you tell me what it means
to wrap these calls in a plot call.
Thanks
*-- Russ *
P.S. Pardon my irritation, but I continually find that many of the help
files assume one already knows the information one is looking for. If you
don't know it, the help files are not very helpful. This is a good example.
In fact, it's two good examples. I didn't know that I had to look at
another page, and I (still) don't know what it means to wrap plot calls in
another plot call.
On Thu, May 5, 2011 at 3:39 AM, P Ehlers ehl...@ucalgary.ca wrote:
On 2011-05-05 0:47, Russ Abbott wrote:
Hi,
I'm having trouble with quantmod's addTA plotting functions. They seem
to
work fine when run from the command line. But when run inside a
function,
only the last one run is visible. Here's an example.
test.addTA- function(from = 2010-06-01) {
getSymbols(^GSPC, from = from)
GSPC.close- GSPC[,GSPC.Close]
GSPC.EMA.3- EMA(GSPC.close, n=3, ratio=NULL)
GSPC.EMA.10- EMA(GSPC.close, n=10, ratio=NULL)
chartSeries(GSPC.close, theme=chartTheme('white'), up.col=black,
dn.col=black)
addTA(GSPC.EMA.3, on = 1, col = #ff)
addTA(GSPC.EMA.10, on = 1, col = #ff)
# browser()
}
When I run this, GSPC.close always appears. But only GSPC.EMA10 appears
on
the plot along with it. If I switch the order of the addTA calls,
only GSPC.EMA3 appears. If I uncomment the call to browser() neither
appears
when the browser() interrupt occurs. I can then draw both GSPC.EMA.3 and
GSPC.EMA10 manually, and let the function terminate. All intended plots
are
visible after the function terminates. So it isn't as if one wipes out
the
other. This shows that it's possible to get all three lines on the plot,
but
I can't figure out how to do it without manual intervention. Any
suggestions
are appreciated.
Perhaps you didn't see this NOTE on the ?TA help page:
Calling any of the above methods from within a function
or script will generally require them to be wrapped in a
plot call as they rely on the context of the call to
initiate the actual charting addition.
Peter Ehlers
Thanks.
*-- Russ *
[[alternative HTML
[R] R/Finance 2011 Conference Agenda
R community: We're excited to post a preliminary agenda for the upcoming 3rd conference on R and Applied Finance, to be held in Chicago on April 29th and 30th. In addition to keynotes from John Bollinger, Mebane Faber, Stefano Iacus and Louis Kates, we are excited to have 31 additional talks covering the state of R and applied finance. This represents a phenomenal opportunity to meet and interact with some of the leading contributors in the field of finance, all with relevant contributions using R. We expect more than 200 participants from industry, government, and academia for the 2 day event. In addition, a conference dinner Friday evening in the heart of the financial district along Chicago's picturesque river will offer an unprecedented opportunity to enjoy amazing food, drink and conversation. http://www.rinfinance.com/agenda/index.html Registration is open, though pre-conference workshops are rapidly filling up. Register now and join your fellow colleagues at R/Finance 2011! http://www.rinfinance.com/register/ Thanks to our 2011 Co-Sponsors and Sponsors: International Center for Futures and Derivatives at UIC REvolution Analytics OneMarketData RStudio lemnica __ R-help@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.
Re: [R] [R-SIG-Finance] Derivative of a smooth function
Please keep in mind this question has absolutely nothing to do with finance, and therefore needs to instead be directed to R-help. Thanks in advance for keeping the R-finance list on topic. Jeff On Fri, Apr 2, 2010 at 3:36 AM, FMH kagba2...@yahoo.com wrote: Dear All, I've been searching for appropriate codes to compute the rate of change and the curvature of nonparametric regression model whish was denoted by a smooth function but unfortunately don't manage to do it. I presume that such characteristics from a smooth curve can be determined by the first and second derivative operators. The following are the example of fitting a nonparametric regression model via smoothing spline function from the Help file in R. ### attach(cars) plot(speed, dist, main = data(cars) smoothing splines) cars.spl - smooth.spline(speed, dist) lines(cars.spl, col = blue) lines(smooth.spline(speed, dist, df=10), lty=2, col = red) legend(5,120,c(paste(default [C.V.] = df =,round(cars.spl$df,1)),s( * , df = 10)), col = c(blue,red), lty = 1:2, bg='bisque') detach() ### Could someone please advice me the appropriate way to determine such derivatives on the curves which were fitted by the function above and would like to thank you in advance. Cheers Fir ___ r-sig-fina...@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. -- Jeffrey Ryan jeffrey.r...@insightalgo.com ia: insight algorithmics www.insightalgo.com __ R-help@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.
Re: [R] [R-sig-DB] How to save a model in DB and retrieve It
A very simple option, since you're only looking to efficiently store
and retrieve, is something like a key-value store.
There is a new rredis (redis) package on CRAN, as well as the
RBerkeley (Oracle Berkeley DB) package.
RBerkeley is as simple as db_put() and db_get() calls where you
specify a key and serialize/unserialize the object before and after.
Caveat to RBerkeley is that it is only functional on *nix until
someone contributes a Windows version or insight on what I need to do
to make that work (issue is that Berkeley DB can't be compiled easily
using the R version of mingw to compile). The package code is likely
to work for windows if you can manage to get the db headers/libs
installed with the R toolchain.
HTH
Jeff
On Fri, Apr 2, 2010 at 3:37 AM, Daniele Amberti daniele.ambe...@ors.it wrote:
I'm wondering how to save an object (models like lm, loess, etc) in a DB to
retrieve and use it afterwards, an example:
wind_ms - abs(rnorm(24*30)*4+8)
air_kgm3 - rnorm(24*30, 0.1)*0.1 + 1.1
wind_dg - rnorm(24*30) * 360/7
ms - c(0:25)
kw_mm92 - c(0,0,0,20,94,205,391,645,979,1375,1795,2000,2040)
kw_mm92 - c(kw_mm92, rep(2050, length(ms)-length(kw_mm92)))
modelspline - splinefun(ms, kw_mm92)
kw - abs(modelspline(wind_ms) - (wind_dg)*2 + (air_kgm3 - 1.15)*300 +
rnorm(length(wind_ms))*10)
#plot(wind_ms, kw)
windDat - data.frame(kw, wind_ms, air_kgm3, wind_dg)
windDat[windDat$wind_ms 3, 'kw'] - 0
model - loess(kw ~ wind_ms + air_kgm3 + wind_dg, data = windDat, enp.target
= 10*5*3) #, span = 0.1)
modX - serialize(model, connection = NULL, ascii = T)
Channel - odbcConnect(someSysDSN; UID=aUid; PWD=aPwd)
sqlQuery(Channel,
paste(
INSERT INTO GRT.GeneratorsModels
([cGeneratorID]
,[tModel]
VALUES
(1,,
paste(', gsub(', '', rawToChar(modX)), ', sep = ''),
), sep = ) )
# Up to this it is working correctly,
# in DB I have the modX variable
# Problem arise retrieving data and 64kb limit:
strQ -
SELECT CONVERT(varchar(max), tModel) AS tModel
FROM GRT.GeneratorsModels
WHERE (cGeneratorID = 1)
x - sqlQuery(Channel, strQ, stringsAsFactors = F, believeNRows = FALSE)
x - sqlQuery(Channel, strQ, stringsAsFactors = F, believeNRows = FALSE)
#read error
Above code is working for simplier models that have a shorter representation
in variable modX.
Any advice on how to store and retieve this kind of objects?
Thanks
Daniele
ORS Srl
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Fax. +39 0173 620299 / +39 0173 433111
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Re: [R] [R-SIG-Finance] Creating regularly spaced time series from irregular one
Firstly, don't cross-post. Second, take a look at the archives on both these lists for answers to your questions. 'its' is rather old, and not where you want to be looking. Take a look at xts for fast time-series manipulation like you need, specifically to.period, endpoints, and align.time. There is a wealth of documentation in the package, in the vignette, and even online in more than a few places, but you can start here: http://cran.r-project.org/web/packages/xts/vignettes/xts.pdf http://www.quantmod.com/examples/data/ Also zoo for na.locf etc. Additional options include the fts package and timeSeries. HTH Jeff On Mon, Feb 22, 2010 at 2:52 PM, Ivan Kalafatic ivan.kalafa...@gmail.com wrote: Hello, I have a series of intraday (high-frequency) price data in the form of POSIX timestamp followed by the value. I sucesfuly loaded that into its package object. I would like to create from it a regularly spaced time series of prices (for example 1min, 5min, etc apart) so i could calcualte returns. There is an interpolation function locf() that for timestamp with value NA uses last known observation. I guess the idea would be to start from the begining of my series and, for example, if there is no timestamp for t+5min add that time with value NA. Than I could use locf() function to fill those NAs. Finaly I should extract from that series, series with 5min spaced timestamps with prices. Appart from applying locf() function, I have no idea how to add NAs into original series or extract the regular series after. Can someone help me with this? Thank you. [[alternative HTML version deleted]] ___ r-sig-fina...@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. -- Jeffrey Ryan jeffrey.r...@insightalgo.com ia: insight algorithmics www.insightalgo.com __ R-help@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.
[R] R/Finance 2010: Applied Finance with R --- Call for Papers
Call for Papers: R/Finance 2010: Applied Finance with R April 16 and 17, 2010 Chicago, IL, USA The second annual R/Finance conference for applied finance using R will be held this spring in Chicago, IL, USA on April 16 and 17, 2010. The two-day conference will cover topics including portfolio management, time series analysis, advanced risk tools, high-performance computing, market microstructure and econometrics. All will be discussed within the context of using R as a primary tool for financial risk management and trading. One-page abstracts or complete papers (in txt or pdf format) are invited for consideration. Academic and practitioner research proposals related to R are encouraged. We will accept submissions for full talks, abbreviated lightning talks, and a limited number of pre-conference tutorial sessions. Please indicate with your submission if you would be willing to produce a formal paper (10-15 pages) for a peer-reviewed conference proceedings publication. Presenters are strongly encouraged to provide working R code to accompany the presentation/paper. Data sets should also be made public for the purposes of reproducibility (though we realize this may be limited due to contracts with data vendors). Preference may be given to presenters who have released R packages. Please send submissions to: committee at RinFinance.com The submission deadline is December 31st, 2010. Submissions will be evaluated and submitters notified via email on a rolling basis. Determination of whether a presentation will be a long presentation or a lightning talk will be made once the full list of presenters is known. R/Finance 2009 included keynote presentations by Patrick Burns, Robert Grossman, David Kane, Roger Koenker, David Ruppert, Diethelm Wuertz, and Eric Zivot. Attendees included practitioners, academics, and government officials. We anticipate another exciting line-up for 2010 and will announce details at the conference website http://www.RinFinance.com as they become available. For the program committee: Gib Bassett, Peter Carl, Dirk Eddelbuettel, John Miller, Brian Peterson, Dale Rosenthal, Jeffrey Ryan __ R-help@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.
Re: [R] currency conversion function?
On Fri, Oct 16, 2009 at 8:04 AM, Liviu Andronic landronim...@gmail.com wrote: On 10/15/09, Jeff Ryan jeff.a.r...@gmail.com wrote: getFX(EUR/USD,from=2009-04-01) Indeed, with the date correctly specified, the function no longer generates errors. There is one issue though (similar to the one in the code posted by Henrique): getFX(EUR/PEN,from=2009-10-16) [1] EURPEN EURPEN EUR.PEN 2009-10-16 4.3197 getFX(PEN/EUR,from=2009-10-16) [1] PENEUR PENEUR ### doesn't coincide with the value on the web page PEN.EUR 2009-10-16 0.2377 #Friday, October 16, 2009 #1 Euro = 4.31973 Peruvian Nuevo Sol #1 Peruvian Nuevo Sol (PEN) = 0.23150 Euro (EUR) While EUR/PEN is correct, PEN/EUR seems wrong. I spotted this in other currencies, too. When I look on the site now: onversion Table: PEN to EUR (Interbank rate) Time period: 10/10/09 to 10/16/09. Daily averages: 10/10/2009,0.23960 10/11/2009,0.24120 10/12/2009,0.24120 10/13/2009,0.24170 10/14/2009,0.24090 10/15/2009,0.23630 10/16/2009,0.23770 Which seems to match... This is from the FXHistory section. getFX(PEN/EUR, from=2009-10-16) [1] PENEUR PENEUR PEN.EUR 2009-10-16 0.2377 Is it possible you are looking at a 'live' quote? Or maybe just getting an update at precisely the wrong time? Given the 24-7 nature of the market, I think this just reflects when they choose to mark the price for history quotes. Jeff If you are looking for additional FX data, the FRED archive (St. Louis Fed) is very good as well... http://research.stlouisfed.org/fred2/categories/94 getSymbols(DEXUSEU, src=FRED) Thank you for the pointer. Best Liviu -- Jeffrey Ryan jeffrey.r...@insightalgo.com ia: insight algorithmics www.insightalgo.com __ R-help@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.
Re: [R] currency conversion function?
OandA now limits fills to 500 days (as indicated by the error). You can of course just request 500 days at a time. The function itself will not automatically do that as that would be clearly abusing the rules that OandA have established. Of course what you do with your own code is your own business... getFX(EUR/USD,from=2009-04-01) [1] EURUSD head(EURUSD) EUR.USD 2009-04-01 1.3277 2009-04-02 1.3227 2009-04-03 1. 2009-04-04 1.3443 2009-04-05 1.3490 2009-04-06 1.3491 If you are looking for additional FX data, the FRED archive (St. Louis Fed) is very good as well... http://research.stlouisfed.org/fred2/categories/94 getSymbols(DEXUSEU, src=FRED) [1] DEXUSEU head(DEXUSEU) DEXUSEU 1999-01-04 1.1812 1999-01-05 1.1760 1999-01-06 1.1636 1999-01-07 1.1672 1999-01-08 1.1554 1999-01-11 1.1534 Keep in mind that FX data isn't coming from a centralized exchange, so all vendors will be different. ?getFX ?getSymbols.FRED HTH, Jeff -- View this message in context: http://www.nabble.com/currency-conversion-function--tp25888083p25913241.html Sent from the R help mailing list archive at Nabble.com. __ R-help@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.
[R] R CMD --meetup=Chicago --when=Oct 29 --where=Jak'sTap
Chicagoland R Users: We are pleased to announce a Fall meetup for Chicagoland R users. This is open to anyone with an interest in R: practioners, researchers, casual users and other interested parties. WHEN: October 29, 2009 @5:30 WHERE: Jak's Tap www.jakstap.com A short series of so-called lightning talks from some noted R contributors and users is on the agenda. Speakers include: Gib Basset (UIC) Bryan Lewis (Revolution Computing) JD Long (Cerebral Mastication) David St. John (UIC, ttrTests package) Casual conversation and food will follow, courtesy of the International Center for Futures and Derivatives at the University of Illinois at Chicago and the organizers of the R/Finance conferences: http://www.RinFinance.com Best, Jeffrey Ryan (on behalf of the organizing committee) __ R-help@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.
Re: [R] Yahoo data downloading problem
I didn't look into the yahoo.get.hist.quote, but the quantmod package has a working simple solution with getSymbols: library(quantmod) getSymbols(AAPL) head(AAPL) AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted 2007-01-03 86.29 86.5881.90 83.8044225700 83.80 2007-01-04 84.05 85.9583.82 85.6630259300 85.66 2007-01-05 85.77 86.2084.40 85.0529812200 85.05 2007-01-08 85.96 86.5385.28 85.4728468100 85.47 2007-01-09 86.45 92.9885.15 92.57 119617800 92.57 2007-01-10 94.75 97.8093.45 97.00 10546 97.00 Examples of that and more (FX, FED/FRED, Financials(google), Dividends(Yahoo), Quotes...) are at: http://www.quantmod.com/examples http://www.quantmod.com/examples And http://www.quantmod.com/examples/intro http://www.quantmod.com/examples/intro HTH Jeff Bogaso wrote: Hi, I got some problems while was trying to download data from Yahoo using yahoo.get.hist.quote() function. My script is as follows : app - yahoo.get.hist.quote(aapl, start=02/07/09, end=02/07/06, quote=close) However I got following error : trying URL 'http://chart.yahoo.com/table.csv?s=aapla=6b=09c=0002d=6e=06f=0002g=dq=qy=0z=aaplx=.csv' Error in download.file(url, destfile) : cannot open URL 'http://chart.yahoo.com/table.csv?s=aapla=6b=09c=0002d=6e=06f=0002g=dq=qy=0z=aaplx=.csv' In addition: Warning message: In download.file(url, destfile) : cannot open: HTTP status was '404 Not Found' I got a similar thread in http://tolstoy.newcastle.edu.au/R/help/06/08/33770.html however, I could not figure out exactly what to do. Can anybody please help me? Regards, -- View this message in context: http://www.nabble.com/Yahoo-data-downloading-problem-tp21886591p21888527.html Sent from the R help mailing list archive at Nabble.com. __ R-help@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.
Re: [R] temporal join
The data.table package may be more in line with what you are after, but xts
and zoo can also do what you need in this particular example:
a - xts(c('a1','a2','a3'), timeBasedSeq(20090101/20090103))
colnames(a) - 'foo'
b - xts(c('b1'), as.Date('2009-01-04'))
colnames(b) - 'foo'
a
foo
2009-01-01 a1
2009-01-02 a2
2009-01-03 a3
b
foo
2009-01-04 b1
cbind(a,b)
foo foo.1
2009-01-01 a1 NA
2009-01-02 a2 NA
2009-01-03 a3 NA
2009-01-04 NA b1
na.locf(cbind(a,b))['20090104']
foo foo.1
2009-01-04 a3 b1
cbind/merge will merge along the union on the time-index by default (though
all common joins are supported). The subsetting by time will then find the
dates (or range of dates/times) that match.
na.locf will carry forward last observations. That is from zoo; which works
on xts, as xts extends zoo.
HTH,
Jeff
mckenzig wrote:
I have dataframe a:
sym date val1
===
foo 20090101 a1
foo 20090102 a2
foo 20090103 a3
and dataframe b:
sym date val2
===
foo 20090104 b1
I would like to join/merge them to generate the following:
sym date val2 val1
===
foo 20090104 b1 a3
i.e. an equijoin on column 'sym' and a temporal join on column 'date'
where the closest matching row is retrieved. I have been through the
various regular/irregular timeseries packages and can not see anything
like this.
Regards.
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Re: [R] quantmod ATR problem
This is a bug. It has now been fixed in the R-forge source. I will be updating the package in the next week or so with about a dozen more indicators, as well as some additional features. At that point I will push the change to CRAN. Thanks, Jeff Chris-672 wrote: Trying to plot ATR of time series using SMA using quantmod, plots fine with maType=EMA. However, when I use maType=SMA I get the following error: Error in SMA(c(0, 0, 0, 0, 0, ... : unused arguments(s) (wilder = FALSE) Calls: addATR - ATR - do.call - SMA Execution halted The code I am using is: addATR(n=20, wilder=FALSE, maType=SMA) # does not work addATR(n=20, maType=EMA) # works fine Note, the problem still occurs if the wilder argument is modified or completely removed. This is probably quite simply, but I am very new to [R] - any help would be appeciated. Regards, Chris. __ R-help@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. -- View this message in context: http://www.nabble.com/quantmod-ATR-problem-tp20576540p20595551.html Sent from the R help mailing list archive at Nabble.com. __ R-help@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.
Re: [R] subscripting a one column matrix drops dimension
This is expected behavior: ?'[' Usage: x[i] x[i, j, ... , drop = TRUE] drop: For matrices and arrays. If 'TRUE' the result is coerced to the lowest possible dimension (see the examples). This only works for extracting elements, not for the replacement. See 'drop' for further details. try cov(x[sub, drop=FALSE]) HTH Jeff Pedroso MOACIR wrote: Hi all, Well, I just sent a help msg to the list with this subject, but I think I figured out a way to solve my problem (although I still have no clue if the behavior I described is correct). What I did was to replace occurrences of (for example) cov(x[sub, ]) with cov(matrix(x[sub, ], ncol=ncol(x)) It works. I updated my source version of the cclust package. It may be of interest to somebody else, but I don't know how to submit to the package mantainer. Thank you. Moacir Pedroso Jr. Embrapa - Empresa Brasileira de Pesquisa Agropecuária (on leave at INRA - Instutute National de la Recherche Agronomique) __ R-help@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. -- View this message in context: http://www.nabble.com/subscripting-a-one-column-matrix-drops-dimension-tp20098143p20098917.html Sent from the R help mailing list archive at Nabble.com. __ R-help@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.
Re: [R] OHLC Plot with EMA in it
Using quantmod and TTR (for EMA, as well as many, many more technical tools): library(quantmod) # get some data getSymbols() barChart() addEMA() Lots of examples at: http://www.quantmod.com http://www.quantmod.com ---and--- http://www.quantmod.com/examples/charting/ http://www.quantmod.com/examples/charting/ Do like Dirk suggests and find your way to R-Sig-Finance. Enjoy! Jeff Michael Zak wrote: Hi there I have some timeseries data which I plot in a OHLC Plot. In the same plot I'd like to have the EMA of this timeseries. I tried to add the EMA point to OHLC with lines(), but this doesn't work. Has anyone an idea how to handle it? Regards, Michael Zak __ R-help@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. -- View this message in context: http://www.nabble.com/OHLC-Plot-with-EMA-in-it-tp19669847p19699297.html Sent from the R help mailing list archive at Nabble.com. __ R-help@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.
Re: [R] Truncating dates (and other date-time manipulations)
I'm still not entirely sure I follow the desired usage, as the original post made no reference to ggplot2, but as Gabor mentioned the yearmon etc stuff is quite useful. If you are formatting arbitrary precision dates, take a look at axTicksByTime in xts. Both xts and quantmod use it for plotting. The core calculation is from ?endpoints I think the effect is what you desire --- though the logic of the function may be more than you want/need. I use it within the package(s) to make intelligent breaks given the periodicity of the data. Some examples are at: http://www.quantmod.com http://www.quantmod.com My presentation slides from July's Rmetrics conference in Switzerland are posted here: http://www.quantmod.com/Rmetrics2008/ http://www.quantmod.com/Rmetrics2008/ Most of the functions you have written are somewhere within xts already. At least the functionality is. See the vignette: http://cran.r-project.org/web/packages/xts/index.html http://cran.r-project.org/web/packages/xts/index.html Jeff -- View this message in context: http://www.nabble.com/Truncating-dates-%28and-other-date-time-manipulations%29-tp19436962p19458228.html Sent from the R help mailing list archive at Nabble.com. __ R-help@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.
Re: [R] Truncating dates (and other date-time manipulations)
One last item that could be of use: ?timeBasedSeq Lets you create ranges in any standard format, with simple ISO style formatting. The level of detail you specify is interpreted as the resolution that is desired. e.g. timeBasedSeq(2000/2008) [1] 2000-01-01 2001-01-01 2002-01-01 2003-01-01 2004-01-01 [6] 2005-01-01 2006-01-01 2007-01-01 2008-01-01 timeBasedSeq(2000/200012) [1] Jan 2000 Feb 2000 Mar 2000 Apr 2000 May 2000 Jun 2000 [7] Jul 2000 Aug 2000 Sep 2000 Oct 2000 Nov 2000 Dec 2000 timeBasedSeq(2000/200012, 'Date') [1] 2000-01-01 2000-02-01 2000-03-01 2000-04-01 2000-05-01 [6] 2000-06-01 2000-07-01 2000-08-01 2000-09-01 2000-10-01 [11] 2000-11-01 2000-12-01 timeBasedSeq(2000/2115) [1] 2000-01-01 2000-01-02 2000-01-03 2000-01-04 2000-01-05 [6] 2000-01-06 2000-01-07 2000-01-08 2000-01-09 2000-01-10 [11] 2000-01-11 2000-01-12 2000-01-13 2000-01-14 2000-01-15 timeBasedSeq(2000/210110) [1] 2000-01-01 00:00:00 CST 2000-01-01 01:00:00 CST [3] 2000-01-01 02:00:00 CST 2000-01-01 03:00:00 CST [5] 2000-01-01 04:00:00 CST 2000-01-01 05:00:00 CST [7] 2000-01-01 06:00:00 CST 2000-01-01 07:00:00 CST [9] 2000-01-01 08:00:00 CST 2000-01-01 09:00:00 CST [11] 2000-01-01 10:00:00 CST Jeff Ryan wrote: I'm still not entirely sure I follow the desired usage, as the original post made no reference to ggplot2, but as Gabor mentioned the yearmon etc stuff is quite useful. If you are formatting arbitrary precision dates, take a look at axTicksByTime in xts. Both xts and quantmod use it for plotting. The core calculation is from ?endpoints I think the effect is what you desire --- though the logic of the function may be more than you want/need. I use it within the package(s) to make intelligent breaks given the periodicity of the data. Some examples are at: http://www.quantmod.com http://www.quantmod.com My presentation slides from July's Rmetrics conference in Switzerland are posted here: http://www.quantmod.com/Rmetrics2008/ http://www.quantmod.com/Rmetrics2008/ Most of the functions you have written are somewhere within xts already. At least the functionality is. See the vignette: http://cran.r-project.org/web/packages/xts/index.html http://cran.r-project.org/web/packages/xts/index.html Jeff -- View this message in context: http://www.nabble.com/Truncating-dates-%28and-other-date-time-manipulations%29-tp19436962p19458976.html Sent from the R help mailing list archive at Nabble.com. __ R-help@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.
Re: [R] Truncating dates (and other date-time manipulations)
Not really the ceiling and floor, though I haven't tried your code (and my brain isn't at 100% capacity today to simply parse the code in my head :) ) Though I think ?firstof and ?lastof as well as startof/endof might be something along those lines. ?to.period has the ability to change periodicity of a series (price or OHLCV-style price). Internal to that is a method to re-align the output series: From the help: To adjust the final indexing style, it is possible to set 'indexAt' to one of the following: 'yearmon', 'yearqtr', 'firstof', 'lastof', 'startof', or 'endof'. The final index will then be 'yearmon', 'yearqtr', the first time of the period, the last time of the period, the starting time in the data for that period, or the ending time in the data for that period, respectively. Might that be what you are after (not the actual implementation per se, but the spirit). BTW, I am philosophically opposed to typing :) Actually the chartSeries stuff is quite dynamic (and no more specialized IMO than boxplot et al) --- take a look. Jeff On Fri, Sep 12, 2008 at 11:16 AM, hadley wickham [EMAIL PROTECTED] wrote: On Fri, Sep 12, 2008 at 10:53 AM, Jeff Ryan [EMAIL PROTECTED] wrote: I'm still not entirely sure I follow the desired usage, as the original post made no reference to ggplot2, but as Gabor mentioned the yearmon etc stuff is quite useful. Well, I said I need to be able to correct draw date-time scales, which means I need to be able to deal with a wide range of date time data types. I wasn't really aware of xts before - I'll definitely look into it in more detail. If you are formatting arbitrary precision dates, take a look at axTicksByTime in xts. Both xts and quantmod use it for plotting. The core calculation is from ?endpoints I think the effect is what you desire --- though the logic of the function may be more than you want/need. I use it within the package(s) to make intelligent breaks given the periodicity of the data. That's exactly what I want! I've written my own method, but I think you've done a much nicer job. (Although I draw minor grid lines as well) I'll definitely look at using that function in a future version of ggplot2. Some examples are at: http://www.quantmod.com http://www.quantmod.com Very nice - however, I'm philosophically opposed to special purpose plotting functions! Most of the functions you have written are somewhere within xts already. At least the functionality is. See the vignette: http://cran.r-project.org/web/packages/xts/index.html http://cran.r-project.org/web/packages/xts/index.html Including the ceiling and floor functions? That's what I'm really interested in. Hadley -- http://had.co.nz/ -- Jeffrey Ryan [EMAIL PROTECTED] ia: insight algorithmics www.insightalgo.com __ R-help@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.
Re: [R] periodicity validation
Take a look at the xts package. ?periodicity HTH Jeff yk-4 wrote: There is a series of data contains time in fixed step and energy varying with time, how to test its periodicity?In R, it seems there is no direct tools since I have search the R manual with periodic and I have not found any related topic. Thanks a lot __ R-help@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. -- View this message in context: http://www.nabble.com/periodicity-validation-tp19426522p19433896.html Sent from the R help mailing list archive at Nabble.com. __ R-help@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.
Re: [R] Package for financial options calculation
Take a look at the fOptions package, as well as all the packages in Rmetrics (see www.rmetrics.org). There is also a wrapper to QuantLib called RQuantLib. Also, your question would have a better chance of being answered on the R-sig-finance mailing list. HTH Jeff Arun Kumar Saha wrote: Hi all, Is there any R package on European/American oprions pricing? And on calculation of it's sensitivities? Regards, [[alternative HTML version deleted]] __ R-help@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. -- View this message in context: http://www.nabble.com/Package-for-financial-options-calculation-tp19430481p19433943.html Sent from the R help mailing list archive at Nabble.com. __ R-help@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.
Re: [R] yahoo finance into R
Take a look at quantmod. http://www.quantmod.com http://www.quantmod.com ?getSymbols.yahoo (called by getSymbols) ?getQuote ?yahooQF ?getFin ?getFX HTH Jeff thomastos wrote: Hi R, I am familiar with the basics of R. To learn more I would like how to get data from Yahoo!finance directly into R. So basically I want a data frame or matrix to do some data analysis. How do I do this? Thank you very much. Thomas -- View this message in context: http://www.nabble.com/yahoo-finance-into-R-tp19385481p19434000.html Sent from the R help mailing list archive at Nabble.com. __ R-help@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.
Re: [R] intraday OHLC plot
Hi Thomas, The issue is probably the quantmod package being outdated. Try to install this version: http://r-forge.r-project.org/R/?group_id=125 The second issue is that xlab and ylab are no longer being applied - they had some issue, and I haven't settled on a way to address yet. I will make that a priority though. The third issue you *might* see upon updating quantmod is that you may be better off calling chartSeries with the type='bar' argument - as barChart just does this, but due to R lazy evaluation and the TA mechanism/args things may break without a volume in the series. The alternate would be explicitly add TA=NULL to the call. Jeff On Sun, Mar 23, 2008 at 9:49 AM, Thomas Steiner [EMAIL PROTECTED] wrote: Dear Gabor and Jeff, thanks for your hint! I tried it out and played around but could not succeed completely: library(quantmod) raw=read.table(file=eurusd-id.csv,sep=\t,dec=,,header =T) date.d=as.POSIXct(raw$Date..GMT) z=zoo(cbind(raw$Open,raw$High,raw$Low,raw$Close),order.by=date.d) q - as.quantmod.OHLC(z, col.names = c(Open, High, Low, Close)) barChart(q,show.vol=F, show.grid=F,theme=white,name=EURUSD Intraday data,up.col=black,dn.col=black,xlab=time,ylab=FX) Fehler in as.graphicsAnnot(labels) : objekt x.labels nicht gefunden So it does not find the object x.labels... I just fould in the pdf-documentation that this should be of type character. Perhaps you know why it fails, Thomas -- There's a way to do it better - find it. Thomas A. Edison __ R-help@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.
[R] Re intraday OHLC plot
Hi Thomas, You may want to check out the quantmod package. There is a whole suite of charting functionality now included. You will need to change the 'Last' colname to Close, but other than that your data should work. If you download the most recent build or svn snapshot from http://r-forge.r-project.org/projects/quantmod you'll find many additional functional that may be of use. Additionally, there are some (possibly dated) examples on the main site page at http://www.quantmod.com The most recent version allows for custom tick mark location by dates, as well as zooming capabilities. Additionally TA analysis can be applied to the charts (the underlying functionality coming from the TTR package on CRAN and r-forge) Jeff __ R-help@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.
