Re: [R-SIG-Finance] selecting specific rows from an xts object
If you include the date, or use fractional seconds to create an interval, it
should work.
xts uses half open/half closed intervals so [T09:30:00/T09:30:00] is empty.
(nobj - xts(1:5, as.POSIXct('2014-12-15 09:30')+(-2):2))
[,1]
2014-12-15 09:29:581
2014-12-15 09:29:592
2014-12-15 09:30:003
2014-12-15 09:30:014
2014-12-15 09:30:025
nobj[2014-12-15 09:30:00]
[,1]
2014-12-15 09:30:003
nobj[T09:29:59.5/T09:30:00.5]
[,1]
2014-12-15 09:30:003
HTH,
-- David
-Original Message-
From: R-SIG-Finance [mailto:r-sig-finance-boun...@r-project.org] On Behalf Of
Robert Schien
Sent: Monday, December 15, 2014 8:32 AM
To: r-sig-finance@r-project.org
Subject: [R-SIG-Finance] selecting specific rows from an xts object
Hello,
I have a questions concerning the xts package.
How can I select rows for specific times from a xts series?
I know tthat one select a range with the help of T, for example
x[T09:30:00/T09:40:00]
But how can I select only the rows an 09:30:00 ?
x[T09:30:00/T09:30:00] does not work. This delivers the
whole time series.
x[T09:30:00] does not work, too. It delivers no rows at all.
So, how can I do, what I want?
I didn't find anything in the xts documentation.
Thank you in advance.
Greetings
Robert
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Re: [R-SIG-Finance] Aligning time series
Definitely use xts ! For Question 2, I would merge all, leaving NA's for missing data. Then what you do next depends on what you are trying to accomplish, but sometimes LOCF can be appropriate, for example if these are trades for less liquid instruments. However, you may need to do some hard thinking about which of the many ways of dealing with missing data would be best for your specific task. David L. Reiner, Ph.D. Head Quant XR Trading LLC PS: better to post in plain text rather than html. -Original Message- From: r-sig-finance-boun...@r-project.org [mailto:r-sig-finance-boun...@r-project.org] On Behalf Of Chirag Anand Sent: Wednesday, April 16, 2014 1:13 AM To: r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] Aligning time series Hi Mikhail, As Ilya said, xts takes care of it. You can use merge.zoo (if using zoo) or merge.xts to merge two series. The missing timestamps are taken care of by the all argument. You can use it to specify whether to take missing timestamps from both the series, an individual series, or not at all. The details are available in the respective man pages of the functions. On 16 April 2014 00:39, Ilya Kipnis ilya.kip...@gmail.com wrote: Mikhail, are you using the xts package? Because when you cbind two xts time series, it takes care of alignment for you. -Ilya On Tue, Apr 15, 2014 at 12:07 PM, Mikhail Beketov mikhailbeke...@googlemail.com wrote: Hello, I have to analyze a large data-set of 1-min stock prices. The problem is that the time-series for different stocks in my data-set have different length, as some time points are missing in one series but present in another etc. So, I have to create a table with aligned time series (all dates/times should correspond to all the stocks). My questions are: 1) Is there some efficient way to do it? Is there anything that is already programmed. 2) Does it make sense to align all of them to shortest time series (so, delete the time points that are not given for all stocks)? Or, is better to copy the preceding price values for the absent time points, and therefore to align all of them to the longest time series? Thanks, Michael [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. -- Chirag Anand http://atvariance.in/chiraganand ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. This e-mail and any materials attached hereto, including, without limitation, all content hereof and thereof (collectively, XR Content) are confidential and proprietary to XR Trading, LLC (XR) and/or its affiliates, and are protected by intellectual property laws. Without the prior written consent of XR, the XR Content may not (i) be disclosed to any third party or (ii) be reproduced or otherwise used by anyone other than current employees of XR or its affiliates, on behalf of XR or its affiliates. THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO, DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS AND TRADING LOSSES, RESULTING FROM ANY PERSON'S USE OR RELIANCE UPON, OR INABILITY TO USE, ANY XR CONTENT, EVEN IF XR IS ADVISED OF THE POSSIBILITY OF SUCH DAMAGES OR IF SUCH DAMAGES WERE FORESEEABLE. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Pulling minute bar data with bar() function in Rbbg(RBloomberg) package in R
Sorry for the late reply - I was out for a few days.
(It's generally better to go to the list so you have more chances of getting a
reply.)
I follow the last example under ?merge.xts to align my incomplete series:
just generate a sequence of date-times you want and merge the zero-width xts
object with your other xts object.
You'll get NA's where there's no data, and you can leave them or use locf from
zoo.
HTH,
-- David
-Original Message-
From: Alex Bennett [mailto:ppminer...@yahoo.com]
Sent: Wednesday, August 14, 2013 4:04 PM
To: David Reiner
Subject: Re: [SPAM] - [R-SIG-Finance] Pulling minute bar data with bar()
function in Rbbg(RBloomberg) package in R - Email found in subject
Hi David,
Thank you so much for the help - this worked perfectly!
Using the isBizday() function at the start of the for loop circumvents the
4th and stops the error I was getting.
One more quick question regarding this: Right now the code only returns lines
from minutes there was volume moved, and I am wondering if it is possible to
add something (either code or a parameter) that will cause the bar() function
to return a line for every minute instead of just minutes in which there were
trades. For example, for a liquid name, like SPY, there will be 390 lines (one
for every minute since there is volume moving every minute); however, for more
illiquid names there could only be 100 lines returned because there are several
minutes with no volume. What I would like is for there to always be 390 lines
returned, and, in the event there was no volume moved, have a zero on the line
corresponding to those minutes. This would cause the use data frame to have
390*n rows.
Ultimately I would like a column with a number, 1-390, corresponding to each
minute bar for a given day, and I cannot think of a way to efficiently add this
column without having 390 rows per day from the start.
Does this make sense? Do you have any insights as to how to achieve this goal?
Thanks for your help!
Best,
Alex Bennett
On Aug 14, 2013, at 10:38 AM, David Reiner david.rei...@xrtrading.com wrote:
Alex,
Sending your message in text instead of html will help you get an answer -
see below for what we received.
But, no, you can go back further, but you must omit holidays the way you are
doing it, since the empty
return from July 4 messes up your logic. The timeSequence function does take
a FinCenter argument,
which may help you.
start.date - localToUTC('2013-04-01 08:30') # I'm in Chicago
end.date - localToUTC('2013-04-01 15:00')
raw=bar(conn,GOOG US Equity,TRADE,start.date,end.date,60)
head(raw)
timeopenhigh low
close numEvents volume
2013-04-01T13:30:00.000 2013-04-01T13:30:00.000 795.010 801.800 793.250
801.380 3650 512342
2013-04-01T14:30:00.000 2013-04-01T14:30:00.000 801.380 801.380 796.600
798.850 2323 320520
2013-04-01T15:30:00.000 2013-04-01T15:30:00.000 798.940 800.980 798.063
798.414 1063 152294
2013-04-01T16:30:00.000 2013-04-01T16:30:00.000 798.450 801.350 798.070
800.777 815 119642
2013-04-01T17:30:00.000 2013-04-01T17:30:00.000 800.860 802.209 800.500
801.280 1061 145566
2013-04-01T18:30:00.000 2013-04-01T18:30:00.000 801.155 801.330 799.550
799.750 1299 185598
HTH,
-- David Reiner
PS:
localToUTC - function(x) {
if (class(x)[1] == character) {
x - as.POSIXct(x) # Assume strings are in the correct format
}
format(x, %Y-%m-%d %H:%M:%OS3,tz=UTC)
}
-Original Message-
From: r-sig-finance-boun...@r-project.org
[mailto:r-sig-finance-boun...@r-project.org] On Behalf Of Alex Bennett
Sent: Tuesday, August 13, 2013 8:18 PM
To: r-sig-finance@r-project.org
Subject: [SPAM] - [R-SIG-Finance] Pulling minute bar data with bar() function
in Rbbg(RBloomberg) package in R - Email found in subject
I am fairly new to the Rbbg package, so please excuse any ignorance on my
part, however I am wondering if it is possible to pull more than ~25 days of
minute bar data using the bar() function. I've found I can't pull more than
25 or 26 days worth of data and am wondering if I am doing something wrong,
or if it is just not possible.
Here is the code I am using:
#install.packages(rJava)#install.packages(Rbbg,
repos=http://r.findata.org;)#install.packages(timeDate)library(rJava)library(Rbbg)library(timeDate)conn
-blpConnect()weekdays =timeSequence(from=(Sys.Date()-38),to
=(Sys.Date()-1),by=day)[isWeekday(timeSequence(from=(Sys.Date()-38),to
=(Sys.Date()-1),by=day))]date_time=numeric()volume=numeric()for(i
in1:length(weekdays)){start.date -paste(weekdays[i],13:30:00.000)end.date
-paste(weekdays[i],20:00:00.000)raw=bar(conn,GOOG US
Equity,TRADE,start.date,end.date,1)date_time=append(date_time,raw$time)volume=append(volume,raw$volume)}date.time
-data.frame(do.call('rbind',strsplit(as.character(date_time),'T',fixed=TRUE)))use=data.frame(date=format
Re: [R-SIG-Finance] [SPAM] - Pulling minute bar data with bar() function in Rbbg(RBloomberg) package in R - Email found in subject
Alex,
Sending your message in text instead of html will help you get an answer - see
below for what we received.
But, no, you can go back further, but you must omit holidays the way you are
doing it, since the empty
return from July 4 messes up your logic. The timeSequence function does take a
FinCenter argument,
which may help you.
start.date - localToUTC('2013-04-01 08:30') # I'm in Chicago
end.date - localToUTC('2013-04-01 15:00')
raw=bar(conn,GOOG US Equity,TRADE,start.date,end.date,60)
head(raw)
timeopenhigh low close
numEvents volume
2013-04-01T13:30:00.000 2013-04-01T13:30:00.000 795.010 801.800 793.250 801.380
3650 512342
2013-04-01T14:30:00.000 2013-04-01T14:30:00.000 801.380 801.380 796.600 798.850
2323 320520
2013-04-01T15:30:00.000 2013-04-01T15:30:00.000 798.940 800.980 798.063 798.414
1063 152294
2013-04-01T16:30:00.000 2013-04-01T16:30:00.000 798.450 801.350 798.070 800.777
815 119642
2013-04-01T17:30:00.000 2013-04-01T17:30:00.000 800.860 802.209 800.500 801.280
1061 145566
2013-04-01T18:30:00.000 2013-04-01T18:30:00.000 801.155 801.330 799.550 799.750
1299 185598
HTH,
-- David Reiner
PS:
localToUTC - function(x) {
if (class(x)[1] == character) {
x - as.POSIXct(x) # Assume strings are in the correct format
}
format(x, %Y-%m-%d %H:%M:%OS3,tz=UTC)
}
-Original Message-
From: r-sig-finance-boun...@r-project.org
[mailto:r-sig-finance-boun...@r-project.org] On Behalf Of Alex Bennett
Sent: Tuesday, August 13, 2013 8:18 PM
To: r-sig-finance@r-project.org
Subject: [SPAM] - [R-SIG-Finance] Pulling minute bar data with bar() function
in Rbbg(RBloomberg) package in R - Email found in subject
I am fairly new to the Rbbg package, so please excuse any ignorance on my part,
however I am wondering if it is possible to pull more than ~25 days of minute
bar data using the bar() function. I've found I can't pull more than 25 or 26
days worth of data and am wondering if I am doing something wrong, or if it is
just not possible.
Here is the code I am using:
#install.packages(rJava)#install.packages(Rbbg,
repos=http://r.findata.org;)#install.packages(timeDate)library(rJava)library(Rbbg)library(timeDate)conn
-blpConnect()weekdays =timeSequence(from=(Sys.Date()-38),to
=(Sys.Date()-1),by=day)[isWeekday(timeSequence(from=(Sys.Date()-38),to
=(Sys.Date()-1),by=day))]date_time=numeric()volume=numeric()for(i
in1:length(weekdays)){start.date -paste(weekdays[i],13:30:00.000)end.date
-paste(weekdays[i],20:00:00.000)raw=bar(conn,GOOG US
Equity,TRADE,start.date,end.date,1)date_time=append(date_time,raw$time)volume=append(volume,raw$volume)}date.time
-data.frame(do.call('rbind',strsplit(as.character(date_time),'T',fixed=TRUE)))use=data.frame(date=format(as.Date(date.time$X1),%m/%d/%Y),time=date.time$X2,volume=raw$volume)blpDisconnect(conn)
This works fine and pulls data from the trading days in the past 3.5 weeks.
Now, if I try to change the 38 to a greater number in the line weekdays =
timeSequence(from = (Sys.Date()-38), to = (Sys.Date()-1), by =
day)[isWeekday(timeSequence(from = (Sys.Date()-38), to = (Sys.Date()-1), by =
day))], I get the following error: Error in matrix.data[, 1] : subscript out
of bounds when I try running the above script.
Is it the case that the API can only pull about 3.5 weeks of minute bar data?
Or am I doing something incorrect? Ideally, I would like to have at least 100
trading days worth of data.
Thank you all for your help.
[[alternative HTML version deleted]]
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protected by intellectual property laws. Without the prior written consent of
XR, the XR Content may not (i) be disclosed to any third party or (ii) be
reproduced or otherwise used by anyone other than current employees of XR or
its affiliates, on behalf of XR or its affiliates.
THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY
KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY
DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR
CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE
FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO,
DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS
AND TRADING LOSSES, RESULTING FROM ANY PERSON'S USE OR RELIANCE UPON, OR
INABILITY TO USE, ANY XR CONTENT, EVEN IF XR IS ADVISED OF THE POSSIBILITY OF
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[R-SIG-Finance] Rbbg::bdp cannot return TIME type?
I was hoping to retrieve a field called ACT_TIME_LAST_SETTLE_RECEIVED_RT,
but I got an error: Error in convert.to.type(df.data, data_types) : unknown
type TIME
Any chance of getting Rbbg extended to handle this type?
Or did I do something wrong? (I can got other fields OK.)
Thanks,
David L. Reiner
-
require('Rbbg')
Loading required package: Rbbg
Loading required package: rJava
conn - blpConnect()
R version 3.0.0 (2013-04-03)
rJava Version 0.9-4
Rbbg Version 0.4-155
Java environment initialized successfully.
Looking for most recent blpapi3.jar file...
Adding C:\blp\API\APIv3\JavaAPI\v3.4.3.2\lib\blpapi3.jar to Java classpath
Bloomberg API Version 3.4.3.2
bdp(conn, ESU3 Index, ACT_TIME_LAST_SETTLE_RECEIVED_RT)
Error in convert.to.type(df.data, data_types) : unknown type TIME
sessionInfo()
R version 3.0.0 (2013-04-03)
Platform: i386-w64-mingw32/i386 (32-bit)
locale:
[1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United States.1252
LC_MONETARY=English_United States.1252
[4] LC_NUMERIC=C LC_TIME=English_United States.1252
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] sos_1.3-5brew_1.0-6 Rbbg_0.4-155 rJava_0.9-4
This e-mail and any materials attached hereto, including, without limitation,
all content hereof and thereof (collectively, XR Content) are confidential
and proprietary to XR Trading, LLC (XR) and/or its affiliates, and are
protected by intellectual property laws. Without the prior written consent of
XR, the XR Content may not (i) be disclosed to any third party or (ii) be
reproduced or otherwise used by anyone other than current employees of XR or
its affiliates, on behalf of XR or its affiliates.
THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY
KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY
DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR
CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE
FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO,
DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS
AND TRADING LOSSES, RESULTING FROM ANY PERSON'S USE OR RELIANCE UPON, OR
INABILITY TO USE, ANY XR CONTENT, EVEN IF XR IS ADVISED OF THE POSSIBILITY OF
SUCH DAMAGES OR IF SUCH DAMAGES WERE FORESEEABLE.
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Re: [R-SIG-Finance] [SPAM] - Re: subset section of trading day from RBloombergbar download - Email found in subject
Actually, the T, while part of the standard, has to be specified in the
format for as.POSIXct, or removed.
Then the xts command has to pass the core data and the index as POSIXct
separately:
ftse.xts - xts(ftse_Bars[,-1], as.POSIXct(sub(T, ,ftse_Bars[,1])))
Then the subsetting can be done using Jeff's amazing datetime filtering:
ftse.sub - ftse.xts[T07:00/T15:30]
HTH,
David L. Reiner
XR Trading LLC
-Original Message-
From: r-sig-finance-boun...@r-project.org
[mailto:r-sig-finance-boun...@r-project.org] On Behalf Of Brian Rowe
Sent: Thursday, July 25, 2013 2:05 PM
To: Tim Meggs
Cc: r-sig-finance@r-project.org
Subject: [SPAM] - Re: [R-SIG-Finance] subset section of trading day from
RBloombergbar download - Email found in subject
That strange 'T' happens to be specified as part of the ISO 8601 date and time
standard. As such it is compatible with as.POSIXlt and as.POSIXct.
as.POSIXlt('2013-01-10T00:00:00.000')
[1] 2013-01-10
https://en.wikipedia.org/wiki/ISO_8601
On Jul 25, 2013, at 2:40 PM, Tim Meggs twme...@gmail.com wrote:
Hi R finance people,
I have downloaded some 15-min price Bar data across a number of days from
Bloomberg for the March13 FTSE futures.
library(Rbbg)
conn - blpConnect()
ftse - Z H3 Index
ftse_Bars - bar(conn, ftse, TRADE, 2013-01-04 07:00:00.000, 2013-02-01
20:00:00.000, 15)
ftse_Bars-as.xts(ftse_Bars)
blpDisconnect(conn)
The data looks like this:
time open highlow close
numEvents volume
2013-01-10T01:00:00.000 2013-01-10T01:00:00.000 6050.5 6050.5 6047.0 6048.0
12 12
2013-01-10T01:15:00.000 2013-01-10T01:15:00.000 6046.5 6047.5 6046.5 6047.5
2 2
2013-01-10T01:30:00.000 2013-01-10T01:30:00.000 6046.5 6046.5 6044.5 6045.0
12 21
2013-01-10T01:45:00.000 2013-01-10T01:45:00.000 6044.5 6045.5 6044.5 6045.5
6 9
2013-01-10T02:00:00.000 2013-01-10T02:00:00.000 6045.5 6049.0 6045.5 6047.5
11 13
2013-01-10T02:15:00.000 2013-01-10T02:15:00.000 6053.0 6059.0 6049.0 6058.0
37 68
I would like to remove those bars that fall outside the hours 07:00 UTC to
15:30 UTC, to leave me with data just from the hours when the cash index is
open. Given the time column I receive from Bloomberg is in the slightly odd
format format %Y-%m-%dT%H:%M:%S with the strange T in the middle how can
subset out my desired data?
Any help greatly appreciated.
Thanks
Tim
--
View this message in context:
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Sent from the Rmetrics mailing list archive at Nabble.com.
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DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR
CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE
FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO,
DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS
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Re: [R-SIG-Finance] [SPAM] - Rbbg(Bloomberg) time zone problem and xtsconstructor - Email found in subject
new-xts(bid[,3:4],order.by=strptime(x=bid$time,format=%Y-%m-%dT%H:%M:%OS)-4*3600) should work for you (until DST ends.) Note that bid$time was already character. Always look to see what you are getting back. Also, it's considered polite to give the commands you used to get your results so helpers are encouraged to help. -- David -Original Message- From: r-sig-finance-boun...@r-project.org [mailto:r-sig-finance-boun...@r-project.org] On Behalf Of Nikos Rachmanis Sent: Tuesday, May 21, 2013 12:34 AM To: r-sig-finance@r-project.org Subject: [SPAM] - [R-SIG-Finance] Rbbg(Bloomberg) time zone problem and xtsconstructor - Email found in subject Hi all, I have come across the following time zone problem and I would appreciate your input. I am trying to download tick data using the Rbloomberg and I have found out that the query should be done in UTC time zone. My current zone is EST so i have written the code below to transform it from EST to UTC and works fine however the output i get is indicated in UTC as listed below for my query (instead of 10:00:00.000). timetypevalue size 1 2013-05-13T14:00:00.000 ASK_BEST454.87 1 2 2013-05-13T14:00:00.000 TRADE 454.58 100 3 2013-05-13T14:00:00.000 ASK_BEST454.78 10 4 2013-05-13T14:00:00.000 ASK_BEST454.7 1 5 2013-05-13T14:00:00.000 TRADE 454.58 100 6 2013-05-13T14:00:00.000 ASK_BEST454.7 1 7 2013-05-13T14:00:01.000 ASK_BEST454.69 1 My questions are the the following: 1) Is there a way I could write the timezone transformation and get the correct timing or would I have to change after I download? 2) I have tried to use the xts constructor with the following command but was not successful. Any idea how to separate the T in the time? new-xts(bid[,3:4],order.by=strptime(x=as.character(bid$time),format=%Y-%m-%d %H:%M:%OS,tz=EST)) Thank you all, Nikos #Rbloomberg Code # Special options options(warn=-1) options(digits.secs = 3) options(java.parameters = -Xmx1000m) # Import libraries library(RODBC) library(Rbbg) #set time interval (transforms from 10:00:00.001 to 14:00:00.001) start_time-toString(format(as.POSIXct(2013-05-13 10:00:00.001, tz=EST5EDT), tz=UTC)) end_time-toString(format(as.POSIXct(2013-05-13 10:15:00.001, tz=EST5EDT), tz=UTC)) # Connect to Bloomberg API conn - blpConnect(log.level = finest) #Download command data - tick(conn, AAPL US Equity, c(TRADE,BID_BEST,ASK_BEST), start_date_time=start_time, end_date_time=end_time) [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. This e-mail and any materials attached hereto, including, without limitation, all content hereof and thereof (collectively, XR Content) are confidential and proprietary to XR Trading, LLC (XR) and/or its affiliates, and are protected by intellectual property laws. Without the prior written consent of XR, the XR Content may not (i) be disclosed to any third party or (ii) be reproduced or otherwise used by anyone other than current employees of XR or its affiliates, on behalf of XR or its affiliates. THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO, DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS AND TRADING LOSSES, RESULTING FROM ANY PERSON'S USE OR RELIANCE UPON, OR INABILITY TO USE, ANY XR CONTENT, EVEN IF XR IS ADVISED OF THE POSSIBILITY OF SUCH DAMAGES OR IF SUCH DAMAGES WERE FORESEEABLE. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Rbbg in R 3.0.0
Thanks, John, that did the trick! That error message threw me off, I guess. (I usually just use the .Net API, where you pass in DateTime objects.) I was going to look in the documentation for bar or tick, but I can't find it right now - where is it? Thanks for supporting Rbbg, John - it's major for many of us! -- David From: John Laing [mailto:john.la...@gmail.com] Sent: Tuesday, April 16, 2013 6:16 AM To: George Wang Cc: David Reiner; r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] Rbbg in R 3.0.0 This isn't an installation problem. If the desktop API weren't installed David's script would be failing on the connection step instead of the data request. I think it's a simple time formatting thing. Bloomberg is strict about the start/end times it accepts, and Rbbg doesn't do any intelligent conversion of user input (although it probably should). These changes make it work: start - 2013-04-15 13:30:00.000 end - 2013-04-15 14:00:00.000 Lastly, the issue isn't specific to R 3.0. The script fails in the same way (and with the same resolution) on 2.15. HTH, John On Tue, Apr 16, 2013 at 6:18 AM, George Wang grandti...@gmail.commailto:grandti...@gmail.com wrote: You need to install the Bloomberg desktop API by WAPIgo. But there seems to be an issue with the windows api download on Bloomberg side recently. Hope it's resolved now. Sent from my iPad On Apr 15, 2013, at 4:58 PM, David Reiner david.rei...@xrtrading.commailto:david.rei...@xrtrading.com wrote: I tried Rbbg in R 3.0.0, but I'm getting a Java-related error I think. Hints? install.packages(Rbbg, repos=http://r.findata.org/;, dependencies = TRUE) trying URL 'http://r.findata.org/bin/windows/contrib/3.0/Rbbg_0.4-155.zip' Content type 'application/zip' length 41069 bytes (40 Kb) opened URL downloaded 40 Kb package 'Rbbg' successfully unpacked and MD5 sums checked The downloaded binary packages are in C:\Users\davidr\AppData\Local\Temp\RtmpAvhuq1\downloaded_packages require(Rbbg) Loading required package: Rbbg Loading required package: rJava conn - blpConnect() R version 3.0.0 (2013-04-03) rJava Version 0.9-4 Rbbg Version 0.4-155 Java environment initialized successfully. Looking for most recent blpapi3.jar file... Adding C:\blp\API\APIv3\JavaAPI\v3.4.3.2\lib\blpapi3.jar to Java classpath Bloomberg API Version 3.4.3.2 ticker - GOOG US Equity start - 2013-04-15 13:30:00 # These are UTC, right? end - 2013-04-15 14:00:00 interval - 1 bar(conn, ticker, BID, start, end, interval) Error in .jcall(RJavaTools, Ljava/lang/Object;, invokeMethod, cl, : java.lang.ArrayIndexOutOfBoundsException: 6 sessionInfo() R version 3.0.0 (2013-04-03) Platform: i386-w64-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United States.1252LC_MONETARY=English_United States.1252 [4] LC_NUMERIC=C LC_TIME=English_United States.1252 attached base packages: [1] stats graphics grDevices utils datasets methods base other attached packages: [1] Rbbg_0.4-155 rJava_0.9-4 loaded via a namespace (and not attached): [1] tools_3.0.0 Any help is much appreciated! David L. Reiner XR Trading LLC This e-mail and any materials attached hereto, including, without limitation, all content hereof and thereof (collectively, XR Content) are confidential and proprietary to XR Trading, LLC (XR) and/or its affiliates, and are protected by intellectual property laws. Without the prior written consent of XR, the XR Content may not (i) be disclosed to any third party or (ii) be reproduced or otherwise used by anyone other than current employees of XR or its affiliates, on behalf of XR or its affiliates. THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO, DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS AND TRADING LOSSES, RESULTING FROM ANY PERSON'S USE OR RELIANCE UPON, OR INABILITY TO USE, ANY XR CONTENT, EVEN IF XR IS ADVISED OF THE POSSIBILITY OF SUCH DAMAGES OR IF SUCH DAMAGES WERE FORESEEABLE. ___ R-SIG-Finance@r-project.orgmailto:R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. ___ R-SIG-Finance@r-project.orgmailto:R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first
[R-SIG-Finance] Rbbg in R 3.0.0
I tried Rbbg in R 3.0.0, but I'm getting a Java-related error I think. Hints? install.packages(Rbbg, repos=http://r.findata.org/;, dependencies = TRUE) trying URL 'http://r.findata.org/bin/windows/contrib/3.0/Rbbg_0.4-155.zip' Content type 'application/zip' length 41069 bytes (40 Kb) opened URL downloaded 40 Kb package 'Rbbg' successfully unpacked and MD5 sums checked The downloaded binary packages are in C:\Users\davidr\AppData\Local\Temp\RtmpAvhuq1\downloaded_packages require(Rbbg) Loading required package: Rbbg Loading required package: rJava conn - blpConnect() R version 3.0.0 (2013-04-03) rJava Version 0.9-4 Rbbg Version 0.4-155 Java environment initialized successfully. Looking for most recent blpapi3.jar file... Adding C:\blp\API\APIv3\JavaAPI\v3.4.3.2\lib\blpapi3.jar to Java classpath Bloomberg API Version 3.4.3.2 ticker - GOOG US Equity start - 2013-04-15 13:30:00 # These are UTC, right? end - 2013-04-15 14:00:00 interval - 1 bar(conn, ticker, BID, start, end, interval) Error in .jcall(RJavaTools, Ljava/lang/Object;, invokeMethod, cl, : java.lang.ArrayIndexOutOfBoundsException: 6 sessionInfo() R version 3.0.0 (2013-04-03) Platform: i386-w64-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United States.1252 LC_MONETARY=English_United States.1252 [4] LC_NUMERIC=C LC_TIME=English_United States.1252 attached base packages: [1] stats graphics grDevices utils datasets methods base other attached packages: [1] Rbbg_0.4-155 rJava_0.9-4 loaded via a namespace (and not attached): [1] tools_3.0.0 Any help is much appreciated! David L. Reiner XR Trading LLC This e-mail and any materials attached hereto, including, without limitation, all content hereof and thereof (collectively, XR Content) are confidential and proprietary to XR Trading, LLC (XR) and/or its affiliates, and are protected by intellectual property laws. Without the prior written consent of XR, the XR Content may not (i) be disclosed to any third party or (ii) be reproduced or otherwise used by anyone other than current employees of XR or its affiliates, on behalf of XR or its affiliates. THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO, DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS AND TRADING LOSSES, RESULTING FROM ANY PERSON'S USE OR RELIANCE UPON, OR INABILITY TO USE, ANY XR CONTENT, EVEN IF XR IS ADVISED OF THE POSSIBILITY OF SUCH DAMAGES OR IF SUCH DAMAGES WERE FORESEEABLE. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] 4-digit SIC codes
Very nice, Garrett! More curious than anything, but does anyone know why I get the extraneous characters when I do it? They are present in x as well. I believe they are non-breaking spaces. head(SIC) SICCode A/D  Office  Industry Title 4 1005 ÂAGRICULTURAL PRODUCTION-CROPS 5 2005  AGRICULTURAL PROD-LIVESTOCK ANIMAL SPECIALTIES 6 7005 ÂAGRICULTURAL SERVICES 7 8005  FORESTRY 8 9005 ÂFISHING, HUNTING AND TRAPPING 910009  METAL MINING sessionInfo() R version 2.15.2 (2012-10-26) Platform: x86_64-w64-mingw32/x64 (64-bit) locale: [1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United States.1252 LC_MONETARY=English_United States.1252 [4] LC_NUMERIC=C LC_TIME=English_United States.1252 attached base packages: [1] stats graphics grDevices utils datasets methods base other attached packages: [1] XML_3.95-0.1 loaded via a namespace (and not attached): [1] tools_2.15.2 Thanks, -- David Reiner -Original Message- From: r-sig-finance-boun...@r-project.org [mailto:r-sig-finance-boun...@r-project.org] On Behalf Of G See Sent: Monday, February 04, 2013 9:30 PM To: Bastian Offermann Cc: r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] 4-digit SIC codes I'm not sure, but here's a really quick and dirty way to get it library(XML) x - readHTMLTable(http://www.sec.gov/info/edgar/siccodes.htm;, stringsAsFactors=FALSE)[[4]] colnames(x) - x[2, ] SIC - x[-c(1:3), ] head(SIC) SICCode A/D OfficeIndustry Title 4 100 5 AGRICULTURAL PRODUCTION-CROPS 5 200 5 AGRICULTURAL PROD-LIVESTOCK ANIMAL SPECIALTIES 6 700 5 AGRICULTURAL SERVICES 7 800 5 FORESTRY 8 900 5 FISHING, HUNTING AND TRAPPING 91000 9 METAL MINING SIC[SIC$SICCode == 2834, ] SICCode A/D Office Industry Title 912834 1 PHARMACEUTICAL PREPARATIONS HTH, Garrett On Mon, Feb 4, 2013 at 9:19 PM, Bastian Offermann bastian250...@yahoo.co.uk wrote: Hi, does anybody know whether 4-digit SIC codes are available in R? Something along the lines 2834 Pharmaceutical Preparations Thank you. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. This e-mail and any materials attached hereto, including, without limitation, all content hereof and thereof (collectively, XR Content) are confidential and proprietary to XR Trading, LLC (XR) and/or its affiliates, and are protected by intellectual property laws. Without the prior written consent of XR, the XR Content may not (i) be disclosed to any third party or (ii) be reproduced or otherwise used by anyone other than current employees of XR or its affiliates, on behalf of XR or its affiliates. THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO, DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS AND TRADING LOSSES, RESULTING FROM ANY PERSON'S USE OR RELIANCE UPON, OR INABILITY TO USE, ANY XR CONTENT, EVEN IF XR IS ADVISED OF THE POSSIBILITY OF SUCH DAMAGES OR IF SUCH DAMAGES WERE FORESEEABLE. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] getEndOfMonth and getEndOfBizWeek in RcppBDT broken?
Thanks, Dirk. You're the best!
-- David
-Original Message-
From: Dirk Eddelbuettel [mailto:e...@debian.org]
Sent: Wednesday, August 08, 2012 1:02 PM
To: David Reiner
Cc: r-sig-finance@r-project.org; d...@eddelbuettel.com
Subject: Re: [R-SIG-Finance] getEndOfMonth and getEndOfBizWeek in RcppBDT
broken?
Ok, bug found. In the R file definining the convenience functions
getEndOfBizWeek - function(date = Sys.Date()) {
stopifnot(inherits(date, Date))
bdt$getEndOfBizWeek(date)
}
getEndOfMonth - function(date = Sys.Date()) {
stopifnot(inherits(date, Date))
bdt$getEndOfMonth(date)
}
both of these miss the crucial
bdt$fromDate(date)
to actually set the date you supply. You could write yourself a local
variant til the updated package comes through.
Thanks for spotting this.
Dirk
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Re: [R-SIG-Finance] [SPAM] - Re: [SPAM] - Re: 1 minute time interval in Bloomberg - Email found in subject - Email found in subject
Sorry for the noise and wrong page number. It would have seemed that the parameter to set would be gapFillInitialBar, but this fills only the first bar (if empty) with the previous values (and 0 volume). So I guess Bloomberg doesn't provide this through the 3.x API; however, it is available through the Excel API. Go figure. -- David -Original Message- From: r-sig-finance-boun...@r-project.org [mailto:r-sig-finance-boun...@r-project.org] On Behalf Of David Reiner Sent: Monday, May 14, 2012 2:11 PM To: John Laing; krisan haria Cc: r-sig-finance@r-project.org Subject: [SPAM] - Re: [R-SIG-Finance] [SPAM] - Re: 1 minute time interval in Bloomberg - Email found in subject - Email found in subject My workaround would be similar to this, but the OP perhaps knows of the optional arguments available in the Bloomberg API that allow one to specify how empty periods should be treated (e.g., previous value, nil.) See pp. 115-116 in the API Version 3.x Developer's Guide (2041121.pdf). It would be nice if these optional arguments were exposed in RBloomberg. (If they are in fact exposed somewhere but not in the bars() function, perhaps a pointer to the relevant place would be helpful.) HTH, -- David -Original Message- From: r-sig-finance-boun...@r-project.org [mailto:r-sig-finance-boun...@r-project.org] On Behalf Of John Laing Sent: Monday, May 14, 2012 12:18 PM To: krisan haria Cc: r-sig-finance@r-project.org Subject: [SPAM] - Re: [R-SIG-Finance] 1 minute time interval in Bloomberg - Email found in subject Krisan, I'm not aware of a way to get time periods back that have no data associated. But this makes sense: what would you expect Bloomberg to show you for OHLC in minutes when there were no trades? You could get the set of all dates and diff it with the dates you actually got back: all.mins - seq(as.POSIXct(2012-03-21 09:00:00), as.POSIXct(2012-03-21 15:00:00), 1 min) data.mins - as.POSIXct(t_bar1$time, format = %Y-%m-%dT%H:%M:%S) missing.mins - as.POSIXct(setdiff(all.mins, data.mins), origin = as.Date(1970-01-01)) What you do from there is up to you. John On Mon, May 14, 2012 at 5:12 AM, krisan haria krisanha...@gmail.com wrote: Hi I am trying to get data (open,high,low close) in 1 minute time intervals from Bloomberg. Currently I have the following library(RBloomberg) conn=blpConnect() t_bar1= bar(conn, IUSA IM Equity, TRADE, 2012-03-21 09:00:00.000, 2012-03-21 15:00:00.000, 1) head(t_ob1) timeopenhigh low close numEvents volume 2012-03-21T09:01:00.000 2012-03-21T09:01:00.000 10.5825 10.5875 10.5825 10.5875 2295 2012-03-21T09:05:00.000 2012-03-21T09:05:00.000 10.5850 10.5850 10.5850 10.5850 1 3000 2012-03-21T09:07:00.000 2012-03-21T09:07:00.000 10.5850 10.5850 10.5850 10.5850 1 1352 2012-03-21T09:11:00.000 2012-03-21T09:11:00.000 10.5875 10.5875 10.5875 10.5875 1 3465 2012-03-21T09:18:00.000 2012-03-21T09:18:00.000 10.5850 10.5850 10.5850 10.5850 1 1314 2012-03-21T09:23:00.000 2012-03-21T09:23:00.000 10.5800 10.5800 10.5800 10.5800 1400 As you can see, it only seems to get the data for when there was a trade. How do I get this data for the whole day inlcuding the 1 minute intervals when there were no trades [[alternative HTML version deleted]] ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. This e-mail and any materials attached hereto, including, without limitation, all content hereof and thereof (collectively, XR Content) are confidential and proprietary to XR Trading, LLC (XR) and/or its affiliates, and are protected by intellectual property laws. Without the prior written consent of XR, the XR Content may not (i) be disclosed to any third party or (ii) be reproduced or otherwise used by anyone other than current employees of XR or its affiliates, on behalf of XR or its affiliates. THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO, DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS AND TRADING LOSSES, RESULTING FROM ANY
Re: [R-SIG-Finance] [SPAM] - self-fulfilling prophecies in financial study - Email found in subject
This book has some good examples: An Engine, Not a Camera: How Financial Models Shape Markets by Donald Mackenzie -- David -Original Message- From: r-sig-finance-boun...@r-project.org [mailto:r-sig-finance-boun...@r-project.org] On Behalf Of Wei-han Liu Sent: Wednesday, May 09, 2012 7:02 AM To: R-SIG-Finance@r-project.org Subject: [SPAM] - [R-SIG-Finance] self-fulfilling prophecies in financial study - Email found in subject Hi R users: There are some possible candidates of self-fulfilling prophecies in financial study. Could some people share some thoughts about the relevant theories, econometric tests, and R packages for implementation? Thanks for your attention and sharing. Wei-han [[alternative HTML version deleted]] This e-mail and any materials attached hereto, including, without limitation, all content hereof and thereof (collectively, XR Content) are confidential and proprietary to XR Trading, LLC (XR) and/or its affiliates, and are protected by intellectual property laws. Without the prior written consent of XR, the XR Content may not (i) be disclosed to any third party or (ii) be reproduced or otherwise used by anyone other than current employees of XR or its affiliates, on behalf of XR or its affiliates. THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO, DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS AND TRADING LOSSES, RESULTING FROM ANY PERSON'S USE OR RELIANCE UPON, OR INABILITY TO USE, ANY XR CONTENT, EVEN IF XR IS ADVISED OF THE POSSIBILITY OF SUCH DAMAGES OR IF SUCH DAMAGES WERE FORESEEABLE. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] [SPAM] - RBloomberg: Error in process.result(result, first.column) - Email found in subject
Bloomberg allows going only so far in the past for intraday data (50 trading days, I thought, although your query works for any date after 2001-09-11.) HTH, -- David From: r-sig-finance-boun...@r-project.org [mailto:r-sig-finance-boun...@r-project.org] On Behalf Of scott.ly...@instinet.com Sent: Tuesday, January 10, 2012 3:56 PM To: r-sig-finance@r-project.org Subject: [SPAM] - [R-SIG-Finance] RBloomberg: Error in process.result(result,first.column) - Email found in subject Hi, folks. First, I'd like to take this opportunity to thank the many people on this list who have contributed so much to R. I've been using RBloomberg happily for a few weeks now. Today, with no change in my environment that I'm aware of, I've encountered a strange error. The following self-contained example reproduces the error at will in my environment ... library(RBloomberg) conn-blpConnect() d81-2011-11-01 sTime-00:00:00.000 eTime-23:59:00.000 barLen-60 # works ... bar(conn, TD CN Equity, BID, paste(d81,sTime), paste(d81,eTime), barLen) # change date ... d81-2011-06-01 # Error in process.result(result, first.column) : subscript out of bounds ... bar(conn, TD CN Equity, BID, paste(d81,sTime), paste(d81,eTime), barLen) sessionInfo() R version 2.13.1 (2011-07-08) Platform: x86_64-pc-mingw32/x64 (64-bit) locale: [1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United States.1252 LC_MONETARY=English_United States.1252 [4] LC_NUMERIC=C LC_TIME=English_United States.1252 attached base packages: [1] stats graphics grDevices utils datasets methods base other attached packages: [1] RBloomberg_0.4-150 rJava_0.9-2 loaded via a namespace (and not attached): [1] tools_2.13.1 Any help would be greatly appreciated. Thanks, Scott Scott Lyden Global Trading Research Instinet San Francisco, CA USA [cid:image001.gif@01CCD078.F3138F20] * Disclaimer In compliance with applicable rules and regulations, Instinet reviews and archives incoming and outgoing email communications, copies of which may be produced at the request of regulators. This message is intended only for the personal and confidential use of the recipients named above. If the reader of this email is not the intended recipient, you have received this email in error and any review, dissemination, distribution or copying is strictly prohibited. If you have received this email in error, please notify the sender immediately by return email and permanently delete the copy you received. Instinet accepts no liability for any content contained in the email, or any errors or omissions arising as a result of email transmission. Any opinions contained in this email constitute the sender's best judgment at this time and are subject to change without notice. Instinet does not make recommendations of a particular security and the information contained in this email should not be considered as a recommendation, an offer or a solicitation of an offer to buy and sell securities. * This e-mail and any materials attached hereto, including, without limitation, all content hereof and thereof (collectively, XR Content) are confidential and proprietary to XR Trading LLC (XR) and/or its affiliates, and are protected by intellectual property laws. Without the prior written consent of XR, the XR Content may not (i) be disclosed to any third party or (ii) be reproduced or otherwise used by anyone other than current employees of XR or its affiliates, on behalf of XR or its affiliates. THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO, DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS AND TRADING LOSSES, RESULTING FROM ANY PERSON'S USE OR RELIANCE UPON, OR INABILITY TO USE, ANY XR CONTENT, EVEN IF XR IS ADVISED OF THE POSSIBILITY OF SUCH DAMAGES OR IF SUCH DAMAGES WERE FORESEEABLE. inline: image001.gif___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] Bloomberg login through R
I have a windows task scheduled to run a script to login to Bloomberg at a time
before I need to get Bloomberg data.
I suppose you could run the script from within R if you prefer.
(I actually moved on to a C# program, but that is really off-topic.)
As John said, one seems to be able to get data while logged out, but sometimes
it will fail, so being logged in is safer.
Here is my script BBLogin.wsf; it is not secure, but we share usage of the BB
terminals anyway, so aren't concerned.
If anyone has a better way, please let us know!
package
job id=vbs
script language=VBScript
set WshShell = WScript.CreateObject(WScript.Shell)
WshShell.AppActivate 1-BLOOMBERG
WScript.Sleep 1000
WshShell.SendKeys {esc}
WScript.Sleep 1000
WshShell.SendKeys login~
WScript.Sleep 2000
WshShell.SendKeys YOURUSERNAME{tab}YOURPASSWORD~
WScript.Sleep 1000
/script
/job
/package
HTH,
-- David
-Original Message-
From: r-sig-finance-boun...@r-project.org
[mailto:r-sig-finance-boun...@r-project.org] On Behalf Of John Laing
Sent: Monday, December 05, 2011 10:53 AM
To: Pierre Lapointe
Cc: Ayhan Yüksel (Finans Portföy A.Ş.); r-sig-finance@r-project.org
Subject: Re: [R-SIG-Finance] Bloomberg login through R
This will work to an extent, but is not the intended use. The Bloomberg APIs
will continue to work for a time after you log off from the terminal.
Eventually the connection will go away.
In response to Ayhan's original question: there is not a way to provide login
credentials through R. It is expected that a terminal is already open and
connected to Bloomberg, and the API then piggybacks on that session.
John
2011/12/5 Pierre Lapointe pierre...@gmail.com:
Why don't you try it?
Type LOFF GO on your Bloomberg
And try to use RBloomberg.
It works on mine.
2011/12/5 Ayhan Yüksel (Finans Portföy A.Ş.) ayhan.yuk...@finansportfoy.com:
Hi,
I have a question about gathering data from Bloomberg using Rbloomberg
package.
If the bloomberg terminal is logged off, is it possible to login to
Bloomberg through R?
e.g. something like:
library(RBloomberg)
conn - blpConnect(username=ABCDE, password=123456)
Kind regards,
Ayhan Yuksel
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istendigi kisi degilseniz, lutfen mesaji sisteminizden derhal siliniz.
Finans Portföy Yönetimi A.S. bu mesajin icerdigi bilgilerin dogrulugu veya
eksiksiz oldugu konusunda bir garanti vermemektedir. Bu nedenle bilgilerin
ne sekilde olursa olsun iceriginden, iletilmesinden, alinmasindan,
saklanmasindan sorumlu degildir. Bu mesajin icerigi yazarina ait olup,
Finans Portföy Yönetimi A.S.'nin goruslerini icermeyebilir. The
information contained in this e-mail (including any attachments) is
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If you are not the intended recipient, please delete it from your system
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Re: [R-SIG-Finance] [SPAM] - Re: Skewness function for intraday data returndistribution - Email found in subject
Pretty sure the first one is a typo - if the last power is 3/2, they match up.
HTH,
-- David
-Original Message-
From: r-sig-finance-boun...@r-project.org
[mailto:r-sig-finance-boun...@r-project.org] On Behalf Of Patrick Burns
Sent: Monday, October 31, 2011 3:10 AM
To: r-sig-finance@r-project.org
Subject: [SPAM] - Re: [R-SIG-Finance] Skewness function for intraday data
returndistribution - Email found in subject
The skewness of c * X should be equal to the skewness of X. If I'm reading the
formulas correctly, that is true of the second one but not the first.
It would be interesting to hear if you find different results intraday than I
did with daily data over a year:
http://www.portfolioprobe.com/2011/10/03/predictability-of-kurtosis-and-skewness-in-sp-constituents/
On 31/10/2011 05:18, Roupell, Darko wrote:
Hi All,
I have written a skew function to calculate stock skewness using intraday 5
min data. However, going through literature I have come across two very
similar formulas, though they produce different skewness coefficient and
wonder if anyone else has used similar formulas and know which one is the
correct one.
mq_skewness = function(data){
data = dataformatc(data);
#returns midquote log returns as xts object
mq_ret = mq_return(data);
#returns midquote log returns as xts object
mq_ret_sqr = mq_ret^2;
#returns realized daily volatility as xts object
RVar=sum( mq_ret_sqr)
n = length(mq_ret);
#first formula to measure skewness
mq_skewness = sqrt(n) * (sum(mq_ret^3))/sum(mq_ret_sqr)^(2/3)
# second formula to measure skewness
mq_skewness = sqrt(n) * sum((mq_ret/sqrt(RVar))^3)
return(mq_skewness);
}
#first formula to measure skewness
mq_skewness = sqrt(n) * (sum(mq_ret^3))/sum(mq_ret_sqr)^(2/3)
[1] 0.0003991095
# second formula to measure skewness
mq_skewness = sqrt(n) * sum((mq_ret/sqrt(RVar))^3) [1] 0.09759751 #
this is output from base package function but this may not be
appropriate to use for intraday data
skewness(mq_ret)
[1] 0.3035787
__
Darko Roupell
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--
Patrick Burns
patr...@burns-stat.com
http://www.burns-stat.com
http://www.portfolioprobe.com/blog
twitter: @portfolioprobe
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Re: [R-SIG-Finance] RBloomberg connection options - Email found in subject
Thanks for the response, John. I tried this: tick(conn, ESA Index, c(BID, ASK), 2011-09-28 10:00:00.000, 2011-09-28 10:00:01.000, option_names=useUTCTime,option_values=FALSE) Error in .jcall(RJavaTools, Ljava/lang/Object;, invokeMethod, cl, : com.bloomberglp.blpapi.NotFoundException: Element Defintion: useUTCTime not found in: IntradayTickRequest I guess I will have to always remember to shift my times to/from UTC or write a wrapper. I'm not sure it is supported for intraday tick requests; on WAPIgo under the API development topics #5, they seem to indicate that it should work for at least VWAPs, but it's a little hard to know if it applies to others. Thanks for all your good work on this package! -- David sessionInfo() R version 2.13.1 Patched (2011-08-17 r56745) Platform: i386-pc-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=English_United States.1252 LC_CTYPE=English_United States.1252 LC_MONETARY=English_United States.1252 [4] LC_NUMERIC=C LC_TIME=English_United States.1252 attached base packages: [1] stats graphics grDevices utils datasets methods base other attached packages: [1] zoo_1.7-3 RBloomberg_0.4-150 rJava_0.9-1 loaded via a namespace (and not attached): [1] grid_2.13.1 lattice_0.19-31 -Original Message- From: John Laing [mailto:john.la...@gmail.com] Sent: Tuesday, September 27, 2011 9:19 PM To: David Reiner Cc: r-sig-finance@r-project.org Subject: Re: [R-SIG-Finance] RBloomberg connection options David, These options in the RBloomberg package correspond directly to options that Bloomberg exposes through the API. I haven't been able to come up with any cases where the options do interesting things, but they would be set through a bdp (or similar) call like this: bdp(conn, GOOG Equity, PX_LAST, option_names = includeExchangeCodes, option_values = TRUE) Sorry if that's not especially helpful... If I come up with a better example I'll be sure to let you know. John On Thu, Sep 22, 2011 at 10:22 AM, David Reiner david.rei...@xrtrading.com wrote: Thanks to Ana and John for this great package! I am intrigued by the options shown in one example, but clueless as to how to take advantage of them. How do we set useUTCTime to FALSE ? Here's the example that shows there is such an option: library(RBloomberg) conn - blpConnect() conn$BOOLEAN_OPTION_NAMES [1] useUTCTime returnRelativeDate adjustmentNormal adjustmentAbnormal [5] adjustmentSplit adjustmentFollowDPDF returnEids includeConditionCodes [9] includeNonPlottableEvents includeExchangeCodes I tried conn$ useUTCTime and conn@ useUTCTime, and conn - blpConnect(useUTCTime=FALSE) but none of these make sense to the package. Thanks for the help, David L. Reiner, Ph.D. Head Quant XR Trading LLC 550 West Jackson Boulevard, Suite 1000 Chicago, IL 60661-5704 (312) 244-4610 direct (312) 244-4500 main david.rei...@xrtrading.com This e-mail and any materials attached hereto, including, without limitation, all content hereof and thereof (collectively, XR Content) are confidential and proprietary to XR Trading, LLC (XR) and/or its affiliates, and are protected by intellectual property laws. Without the prior written consent of XR, the XR Content may not (i) be disclosed to any third party or (ii) be reproduced or otherwise used by anyone other than current employees of XR or its affiliates, on behalf of XR or its affiliates. THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO, DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS AND TRADING LOSSES, RESULTING FROM ANY PERSON'S USE OR RELIANCE UPON, OR INABILITY TO USE, ANY XR CONTENT, EVEN IF XR IS ADVISED OF THE POSSIBILITY OF SUCH DAMAGES OR IF SUCH DAMAGES WERE FORESEEABLE. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
[R-SIG-Finance] RBloomberg connection options
Thanks to Ana and John for this great package! I am intrigued by the options shown in one example, but clueless as to how to take advantage of them. How do we set useUTCTime to FALSE ? Here's the example that shows there is such an option: library(RBloomberg) conn - blpConnect() conn$BOOLEAN_OPTION_NAMES [1] useUTCTimereturnRelativeDateadjustmentNormal adjustmentAbnormal [5] adjustmentSplit adjustmentFollowDPDF returnEids includeConditionCodes [9] includeNonPlottableEvents includeExchangeCodes I tried conn$ useUTCTime and conn@ useUTCTime, and conn - blpConnect(useUTCTime=FALSE) but none of these make sense to the package. Thanks for the help, David L. Reiner, Ph.D. Head Quant XR Trading LLC 550 West Jackson Boulevard, Suite 1000 Chicago, IL 60661-5704 (312) 244-4610 direct (312) 244-4500 main david.rei...@xrtrading.com This e-mail and any materials attached hereto, including, without limitation, all content hereof and thereof (collectively, XR Content) are confidential and proprietary to XR Trading, LLC (XR) and/or its affiliates, and are protected by intellectual property laws. Without the prior written consent of XR, the XR Content may not (i) be disclosed to any third party or (ii) be reproduced or otherwise used by anyone other than current employees of XR or its affiliates, on behalf of XR or its affiliates. THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO, DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS AND TRADING LOSSES, RESULTING FROM ANY PERSON'S USE OR RELIANCE UPON, OR INABILITY TO USE, ANY XR CONTENT, EVEN IF XR IS ADVISED OF THE POSSIBILITY OF SUCH DAMAGES OR IF SUCH DAMAGES WERE FORESEEABLE. ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Re: [R-SIG-Finance] [SPAM] - fOptions American options Implied Volatility - Email found in subject
Massimo,
This stock has dividends, so you might have to use a different valuation model
for American valuation.
Some sort of discrete dividend model should work.
HTH,
-- David
-Original Message-
From: r-sig-finance-boun...@r-project.org
[mailto:r-sig-finance-boun...@r-project.org] On Behalf Of msalese
Sent: Tuesday, May 17, 2011 4:37 AM
To: r-sig-finance@r-project.org
Subject: [SPAM] - [R-SIG-Finance] fOptions American options Implied Volatility
- Email found in subject
Hi guys,
working with RMetrics/fOptions library I see there isn't a function to
compute iv on American Options so I've build this function to do the job:
library(fOptions)
impVolAmCall-function(pmkPrice,Und,Strike,expTime,rInt,pb){
auxAmCall-function(pVol,pmkPrice,pUnd,pStrike,pexpTime,prInt){
at-CRRBinomialTreeOption(TypeFlag = ca, S = pUnd, X=pStrike,Time
=pexpTime, r = prInt, b = pb, sigma = pVol, n = 15)
return(pmkPrice-at@price)
}
limpVol-uniroot(f=auxAmCall,lower=0.05,upper=2,tol=0.001,pmkPrice=pmkPrice,pUnd=Und,pStrike=Strike,pexpTime=expTime,prInt=rInt)
return(limpVol$root)
}
After that I downloaded options price from Italian IDEM on G.MI (Generali
Assurance) and loaded all in the obsPrice3 data.frame:
str(obsPrice3)
'data.frame': 12 obs. of 6 variables:
$ expDays : num 59 59 59 59 59 59 59 59 59 59 ...
$ YExpDays: num 0.234 0.234 0.234 0.234 0.234 ...
$ Bid : num 2.219 1.726 1.249 0.845 0.544 ...
$ Ask : num 2.266 1.769 1.293 0.883 0.579 ...
$ Strike : num 13.5 14 14.5 15 15.5 16 16.5 17 17.5 18 ...
$ MidPrice: num 2.242 1.747 1.271 0.864 0.561 ...
expDays YExpDaysBidAsk Strike MidPrice
1 59 0.234127 2.2190 2.2660 13.5 2.24250
2 59 0.234127 1.7255 1.7690 14.0 1.74725
3 59 0.234127 1.2490 1.2930 14.5 1.27100
4 59 0.234127 0.8450 0.8830 15.0 0.86400
5 59 0.234127 0.5445 0.5785 15.5 0.56150
6 59 0.234127 0.3325 0.3670 16.0 0.34975
7 59 0.234127 0.1895 0.2180 16.5 0.20375
8 59 0.234127 0.1010 0.1280 17.0 0.11450
9 59 0.234127 0.0485 0.0760 17.5 0.06225
10 59 0.234127 0.0115 0.0445 18.0 0.02800
11 59 0.234127 0.0005 0.0830 18.5 0.04175
12 59 0.234127 0.0005 0.0775 19.0 0.03900
Now I'd like to compute the iv for all the chain so I've used mapply:
mapply(FUN=impVolAmCall,obsPrice3$MidPrice,obsPrice3$Strike,Und=15.75,expTime=59/252,rInt=0.01,pb=0.01)
but R replay with:
Error in uniroot(f = auxAmCall, lower = 0.05, upper = 2, tol = 0.001, :
f() values at end points not of opposite sign
The point is that for otm options I'm not able to find zero in auxAmCall
(auxiliary function) coded inside impVolAmCall function.
I'm new to R so I think that something is wrong in my code, can someone help
me ?
Thanks
Massimo
http://r.789695.n4.nabble.com/file/n3528629/obsPrice3.rda obsPrice3.rda
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Re: [R-SIG-Finance] [SPAM] - Re: XTS with unique time stamps? - Email found in subject
Jeff, When you do extend it to remove duplicates, you might want to give a choice whether to keep the first or last duplicated value. I know I've used both for various reasons. Thanks for such a great set of packages! -- David -Original Message- From: r-sig-finance-boun...@r-project.org [mailto:r-sig-finance-boun...@r-project.org] On Behalf Of Jeffrey Ryan Sent: Monday, January 31, 2011 9:37 AM To: Brian G. Peterson Cc: r-sig-finance@r-project.org Subject: [SPAM] - Re: [R-SIG-Finance] XTS with unique time stamps? - Email found in subject Brian, Worik w.r.t the new functionality in xts. It is so bleeding edge that Brian gave you the wrong name ;-) think make [the] index unique. It probably will also be extended to do the former removal of subsequent non-unique observations/times as well. HTH, Jeff ?make.index.unique make.index.unique package:xts R Documentation Force Time Values To Be Unique Description: A generic function to force sorted time vectors to be unique. Useful for high-frequency time-series where original time-stamps may have identical values. For the case of xts objects, the default 'eps' is set to one-hundred microseconds. In practice this advances each subsequent identical time by 'eps' over the previous (possibly also advanced) value. Usage: make.index.unique(x, eps = 1e-05, ...) make.time.unique(x, eps = 1e-05, ...) Arguments: x: An xts object, or POSIXct vector. eps: value to add to force uniqueness. ...: unused Details: The returned time-series object will have new time-stamps so that 'isOrdered( .index(x) )' evaluates to TRUE. Value: A modified version of x. Note: Incoming values must be pre-sorted, and no check is done to make sure that this is the case. If the index values are of storage.mode 'integer', they will be coerced to 'double'. Author(s): Jeffrey A. Ryan See Also: 'align.time' Examples: ds - options(digits.secs=6) # so we can see the change x - xts(1:10, as.POSIXct(2011-01-21) + c(1,1,1,2:8)/1e3) x make.index.unique(x) options(ds) On Mon, Jan 31, 2011 at 6:05 AM, Brian G. Peterson br...@braverock.com wrote: On Monday, January 31, 2011 12:55:03 am Worik wrote: I am having trouble with non-unique time stamps in an xts. My underlying data has some repeated rows (in a csv file). How can I easily get rid of the duplicates? I feel I must be missing something simple. If not I can concoct an example to illustrate my problem. Worik, It depends on what you need. If you can remove the rows with duplicated indices, then a construction such as: myxts-myxts[!duplicated(index(myxts))] should work. If you need all of the observations, and need to artificially make them unique (as is a common problem with tick data), then you will see discussion in the list archives here and other places regarding adding artificial indices to high frequency data while preserving order. You will need the latest xts from R- Forge and use a construction like this: myxts-make.unique.index(myxts) which will (by default) add .1 sec to each non-unique index after the first, preserving order, and providing every observation with a unique index. Note that this presumes that the original order of the observations was correct in the first place, no provision has been made if you have different circumstances. Thanks to Jeff Ryan for (very) recently adding this second method. Regards, - Brian -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. -- Jeffrey Ryan jeffrey.r...@lemnica.com www.lemnica.com ___ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. This e-mail and any materials attached hereto, including, without limitation, all content hereof and thereof (collectively, XR Content) are confidential and proprietary to XR Trading, LLC (XR) and/or its affiliates, and are protected by intellectual property laws. Without the prior written consent of XR, the XR Content may not (i) be disclosed to any third party or (ii) be reproduced or otherwise used by anyone other than current employees of XR or its affiliates, on behalf of XR or its affiliates. THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY DISCLAIMS
