Getting objects from quantmod ticker list

classic Classic list List threaded Threaded
8 messages Options
Reply | Threaded
Open this post in threaded view
|

Getting objects from quantmod ticker list

Cren
Hi all,

I would need to put datas downloaded with quantmod into a matrix or a data frame.

Suppose to start from here:

require(quantmod)

ticker.list <- c('AAA',  'ALTSALES', 'AMBNS', 'AMBSL', 'BAA', 'EMRATIO', 'FEDFUNDS', 'GASPRICE', 'GS1', 'GS10', 'GS20', 'LNS14100000', 'MORTG', 'NAPM', 'NPPTTL', 'OILPRICE', 'PAYEMS', 'TB3MS', 'UNRATE')

series <- getSymbols(ticker.list, src= 'FRED')


May you tell me how could I put each time series into a matrix or a data frame keeping the dates' alignment?

Thank you
Reply | Threaded
Open this post in threaded view
|

Re: Getting objects from quantmod ticker list

Joshua Ulrich
Load the data into an environment, then merge them using do.call():

series.env <- new.env()
getSymbols(ticker.list, src='FRED', env=series.env)
series <- do.call(merge, as.list(series.env))

HTH,
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com


On Sat, Jul 7, 2012 at 7:00 AM, Cren <[hidden email]> wrote:

> Hi all,
>
> I would need to put datas downloaded with quantmod into a matrix or a data
> frame.
>
> Suppose to start from here:
>
> *require(quantmod)
>
> ticker.list <- c('AAA',  'ALTSALES',    'AMBNS',        'AMBSL',        'BAA',  'EMRATIO',
> 'FEDFUNDS',     'GASPRICE',     'GS1',  'GS10', 'GS20', 'LNS14100000',  'MORTG',
> 'NAPM', 'NPPTTL',       'OILPRICE',     'PAYEMS',       'TB3MS',        'UNRATE')
>
> series <- getSymbols(ticker.list, src= 'FRED')*
>
> May you tell me how could I put each time series into a matrix or a data
> frame keeping the dates' alignment?
>
> Thank you
>
> --
> View this message in context: http://r.789695.n4.nabble.com/Getting-objects-from-quantmod-ticker-list-tp4635708.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> [hidden email] 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.

______________________________________________
[hidden email] 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.
Reply | Threaded
Open this post in threaded view
|

Re: Getting objects from quantmod ticker list

Cren
Joshua Ulrich wrote
Load the data into an environment, then merge them using do.call():

series.env <- new.env()
getSymbols(ticker.list, src='FRED', env=series.env)
series <- do.call(merge, as.list(series.env))
Thank you very much, Joshua: this works very well!

Thank you :)
Reply | Threaded
Open this post in threaded view
|

Re: Getting objects from quantmod ticker list

Cren
# One more question, Joshua: let instead of merging tickers
# I would like to put prices from an OHLC object
# in weekly format, then selecting just the close prices.
# What would be a code to do it?
# I guess:

data = new.env()
ticker.list <- c('SPY', 'TLT', 'GLD')
getSymbols(ticker.list, env = data)
X <- do.call(to.weekly, list(data))

# or something like this, but it doesn't work.
# What could I do?
Reply | Threaded
Open this post in threaded view
|

Re: Getting objects from quantmod ticker list

Michael Weylandt
On Wed, Jul 11, 2012 at 1:49 PM, Cren <[hidden email]> wrote:

> # One more question, Joshua: let instead of merging tickers
> # I would like to put prices from an OHLC object
> # in weekly format, then selecting just the close prices.
> # What would be a code to do it?
> # I guess:
>
> data = new.env()
> ticker.list <- c('SPY', 'TLT', 'GLD')
> getSymbols(ticker.list, env = data)
> X <- do.call(to.weekly, list(data))

I think you need

do.call(rbind, as.list(eapply(data, function(x) Cl(to.weekly(x)))))

Working from the inside out:

to.weekly -- go to weekly frequency
Cl -- take the close
eapply -- do this to each element of the data environment
as.list -- convert to list
do.call(cbind, ...) -- put them all together.

Though there may be something simpler.

Best,
Michael

>
> # or something like this, but it doesn't work.
> # What could I do?
>
> --
> View this message in context: http://r.789695.n4.nabble.com/Getting-objects-from-quantmod-ticker-list-tp4635708p4636162.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> [hidden email] 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.

______________________________________________
[hidden email] 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.
Reply | Threaded
Open this post in threaded view
|

Re: Getting objects from quantmod ticker list

Michael Weylandt
On Wed, Jul 11, 2012 at 3:07 PM, R. Michael Weylandt
<[hidden email]> wrote:

> On Wed, Jul 11, 2012 at 1:49 PM, Cren <[hidden email]> wrote:
>> # One more question, Joshua: let instead of merging tickers
>> # I would like to put prices from an OHLC object
>> # in weekly format, then selecting just the close prices.
>> # What would be a code to do it?
>> # I guess:
>>
>> data = new.env()
>> ticker.list <- c('SPY', 'TLT', 'GLD')
>> getSymbols(ticker.list, env = data)
>> X <- do.call(to.weekly, list(data))
>
> I think you need
>
> do.call(rbind, as.list(eapply(data, function(x) Cl(to.weekly(x)))))

My apologies: that should be rbind()

Also, you might want to re-attach names:

names(X) <- ticker.list

Best,
Michael

>
> Working from the inside out:
>
> to.weekly -- go to weekly frequency
> Cl -- take the close
> eapply -- do this to each element of the data environment
> as.list -- convert to list
> do.call(cbind, ...) -- put them all together.
>
> Though there may be something simpler.
>
> Best,
> Michael
>
>>
>> # or something like this, but it doesn't work.
>> # What could I do?
>>
>> --
>> View this message in context: http://r.789695.n4.nabble.com/Getting-objects-from-quantmod-ticker-list-tp4635708p4636162.html
>> Sent from the R help mailing list archive at Nabble.com.
>>
>> ______________________________________________
>> [hidden email] 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.

______________________________________________
[hidden email] 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.
Reply | Threaded
Open this post in threaded view
|

Re: Getting objects from quantmod ticker list

Michael Weylandt
On Wed, Jul 11, 2012 at 3:08 PM, R. Michael Weylandt
<[hidden email]> wrote:

> On Wed, Jul 11, 2012 at 3:07 PM, R. Michael Weylandt
> <[hidden email]> wrote:
>> On Wed, Jul 11, 2012 at 1:49 PM, Cren <[hidden email]> wrote:
>>> # One more question, Joshua: let instead of merging tickers
>>> # I would like to put prices from an OHLC object
>>> # in weekly format, then selecting just the close prices.
>>> # What would be a code to do it?
>>> # I guess:
>>>
>>> data = new.env()
>>> ticker.list <- c('SPY', 'TLT', 'GLD')
>>> getSymbols(ticker.list, env = data)
>>> X <- do.call(to.weekly, list(data))
>>
>> I think you need
>>
>> do.call(rbind, as.list(eapply(data, function(x) Cl(to.weekly(x)))))
>
> My apologies: that should be rbind()

Damnit.... cbind()

Michael

>
> Also, you might want to re-attach names:
>
> names(X) <- ticker.list
>
> Best,
> Michael
>
>>
>> Working from the inside out:
>>
>> to.weekly -- go to weekly frequency
>> Cl -- take the close
>> eapply -- do this to each element of the data environment
>> as.list -- convert to list
>> do.call(cbind, ...) -- put them all together.
>>
>> Though there may be something simpler.
>>
>> Best,
>> Michael
>>
>>>
>>> # or something like this, but it doesn't work.
>>> # What could I do?
>>>
>>> --
>>> View this message in context: http://r.789695.n4.nabble.com/Getting-objects-from-quantmod-ticker-list-tp4635708p4636162.html
>>> Sent from the R help mailing list archive at Nabble.com.
>>>
>>> ______________________________________________
>>> [hidden email] 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.

______________________________________________
[hidden email] 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.
Reply | Threaded
Open this post in threaded view
|

Re: Getting objects from quantmod ticker list

Cren
# Thank you, Michael: it works fine!