[R-SIG-Finance] Corn futures tick dataset available
I have posted a dataset of commodity trades for testing purposes at r.dougedmunds.com. The file is corn_tick_dataset_V01.zip The dataset represents the tick by tick electronic trading of CME (Chicago Merchantile Exchange) May 2014 corn futures for 11 trading days, from Friday March 28, 2014 to through April 11, 2014. There are over 600,000 trades recorded. Also provided is an R script to convert the csv file into xts format. The included ReadMe file explains what the data represents. -DAE ___ 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] blotter updatePortf issue..
On further testing, I only see warning messages with getSymbol() running RStudio, but not when running the RGUI interface shipped with R. So maybe it's an RStudio issue? Clarification: options(warn = 0) # is the default, shows warnings, if any options(warn = -1) # turns off warnings (use as workaround for RStudio) --dae XP, Win7 ___ 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] blotter updatePortf issue..
On 9/3/2012 12:14 PM, G See wrote:
Second, I didn't get these warnings that you got
Perhaps you have warnings set to a negative number.
On Windows (XP,7) I get warnings using getSymbol, with both
the CRAN and newer Rforge versions of quantmod.
Try setting warnings to the default of 0
options(warn=0)
install.packages("quantmod", repos="http://R-Forge.R-project.org";)
Installing package(s) into ‘C:/R/library’
(as ‘lib’ is unspecified)
trying URL
'http://R-Forge.R-project.org/bin/windows/contrib/2.15/quantmod_0.3-20.zip'
Content type 'application/zip' length 448957 bytes (438 Kb)
opened URL
downloaded 438 Kb
package ‘quantmod’ successfully unpacked and MD5 sums checked
The downloaded binary packages are in
C:\Documents and Settings\dae\Local
Settings\Temp\RtmpcZmZ3k\downloaded_packages
library("quantmod")
Loading required package: Defaults
Loading required package: xts
Loading required package: zoo
Attaching package: ‘zoo’
The following object(s) are masked from ‘package:base’:
as.Date, as.Date.numeric
Loading required package: TTR
getSymbols("QQQ")
[1] "QQQ"
Warning message:
In download.file(paste(yahoo.URL, "s=", Symbols.name, "&a=", from.m, :
downloaded length 72200 != reported length 200
getSymbols("IWM")
[1] "IWM"
Warning message:
In download.file(paste(yahoo.URL, "s=", Symbols.name, "&a=", from.m, :
downloaded length 71729 != reported length 200
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[R-SIG-Finance] FinancialInstrument functions output / side effect variables
How can I see what the names of variables and what is being stored
in them when running functions in the FinancialInstrument package? I am
using R-Studio.
For example, running:
> currency("USD")
outputs this to the console window:
[1] "USD"
but gives me no clue as to where that value is being
stored or how to access it.
Similarly, reading a tutorial such as:
http://blog.fosstrading.com/2011/07/creating-financial-instrument-metadata.html,
it says:
"build_series_symbols returns a vector of series symbols that we could
use to request data or create future_series instruments."
But what is the name of the vector? Where is it stored?
Thanks.
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[R-SIG-Finance] Differences between data sources
Can someone explain why there are differences between Google and Yahoo
in openings, lows, volume) are occurring, and which source is correct?
(data downloaded 2012-08-04 2:40pm PDT)
> library("blotter")
Loading required package: xts
Loading required package: zoo
Attaching package: ‘zoo’
The following object(s) are masked from ‘package:base’:
as.Date, as.Date.numeric
Loading required package: FinancialInstrument
Loading required package: quantmod
Loading required package: Defaults
Loading required package: TTR
> getSymbols("IBM", from="2012-08-01", src="yahoo")
[1] "IBM"
Warning message:
In download.file(paste(yahoo.URL, "s=", Symbols.name, "&a=", from.m, :
downloaded length 258 != reported length 200
> IBM
IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
2012-08-01 196.96 197.85 194.72195.182559300 195.18
2012-08-02 194.16 196.60 193.02194.452812600 194.45
2012-08-03 196.48 198.95 196.16198.502668200 198.52
2012-08-03 196.48 198.95 196.16198.523278100 198.52
> getSymbols("IBM", from="2012-08-01", src="google")
[1] "IBM"
Warning message:
In download.file(paste(google.URL, "q=", Symbols.name, "&startdate=", :
downloaded length 169 != reported length 200
> IBM
IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume
2012-08-01 196.96 197.85 194.72195.182559365
2012-08-02 194.12 196.60 193.02194.452812511
2012-08-03 196.73 198.95 196.18198.52 736918
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Re: [R-SIG-Finance] TSE ticker problems
On http://finance.yahoo.com/q/hp?s=COS.TO ,
the link to Historical Prices has no data.
Probably why you only get headers.
>>> getSymbols("COS.TO", src="yahoo")
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[R-SIG-Finance] a concern about blotter (and RStudio)
Checking the box in RStudio next to blotter
runs this code:
library(blotter) and also creates a hidden object,
.blotter
.blotter is reported as something like this
#numbers will vary
RStudio's "clear all" button removes the .blotter object.
It calls rm(list=ls(all.names=TRUE)).
Without .blotter, the blotter demo's won't work.
But detaching and reattaching the blotter package
(by unchecking/rechecking the box) does not re-generate
the .blotter object. Unchecking the box calls
detach("package:blotter") with a default of unload=FALSE.
In order to create a NEW .blotter object you need
to call detach("package:blotter", unload=TRUE).
Then if there was no .blotter object, a new one will
be generated with library(blotter).
However, library(blotter) will NOT create a new .blotter object unless
the previous one has been removed. This is not a concern so long
as the namespace has not been unloaded, but it is a concern if
the namespace has been unloaded.
Concern:
If the namespace is unloaded, and the old .blotter object
is NOT removed, when library(blotter) is again called, it
will create a new namespace, but it does not update
the .blotter object. The memory location, e.g.,
will not change, even
though there is a different namespace.
What is the .blotter object is used for?
If it is intended to point to the namespace, then there is
a concern that it will corrupt data, by pointing to an
area of memory that was freed when the old namespace was
unloaded.
-dae
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