lapply over list that has multiple xts objects

[algotr8der]

I've been going through various examples on how to use lapply when the list in question has multiple parts but I can't seem to get things working.

I have a function that computes open_close volatility as follows:

close_open <- function (OHLC, n = 10, N = 252, ...)
{
    Cl1 <- lag(OHLC[, 4])
    OHLC <- try.xts(OHLC, error = as.matrix)
    s2o <- 18.59 * runSD(log(OHLC[, 1]/Cl1), n)
    reclass(s2o, OHLC)
}

I have a list object stocks that has 909 xts OHLC objects:

> class(stocks)
[1] "list"

> length(stocks)
[1] 909

I want to compute the open_close volatility for every component in the list stock by using lapply. I have tinkered with various variants of

lapply(stocks, function(x) open_close(x, n=10, N=252, ...))

I get errors like so:

Error in FUN(X[[1L]], ...) : '...' used in an incorrect context

Any guidance on how I can achieve my goal would be greatly appreciated. THank you.

[Jeffrey Ryan]

Don't add the ... into your call.

open_close(x, n=10, N=252) not open_close(x, n=10, N=252, ...))

HTH
Jeff

Jeffrey Ryan    |    Founder    |    [hidden email]

www.lemnica.com

On Dec 28, 2011, at 5:29 PM, algotr8der <[hidden email]> wrote:

> I've been going through various examples on how to use lapply when the list
> in question has multiple parts but I can't seem to get things working.
>
> I have a function that computes open_close volatility as follows:
>
> close_open <- function (OHLC, n = 10, N = 252, ...)
> {
>    Cl1 <- lag(OHLC[, 4])
>    OHLC <- try.xts(OHLC, error = as.matrix)
>    s2o <- 18.59 * runSD(log(OHLC[, 1]/Cl1), n)
>    reclass(s2o, OHLC)
> }
>
> I have a list object stocks that has 909 xts OHLC objects:
>
>> class(stocks)
> [1] "list"
>
>> length(stocks)
> [1] 909
>
> I want to compute the open_close volatility for every component in the list
> stock by using lapply. I have tinkered with various variants of
>
> lapply(stocks, function(x) open_close(x, n=10, N=252, ...))
>
> I get errors like so:
>
> Error in FUN(X[[1L]], ...) : '...' used in an incorrect context
>
> Any guidance on how I can achieve my goal would be greatly appreciated.
> THank you.
>
> --
> View this message in context: http://r.789695.n4.nabble.com/lapply-over-list-that-has-multiple-xts-objects-tp4241306p4241306.html
> Sent from the Rmetrics mailing list archive at Nabble.com.
>
> _______________________________________________
> [hidden email] 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.

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[algotr8der]

On 12/28/11 10:06 PM, Jeff Ryan wrote:
> Don't add the ... into your call.
>
> open_close(x, n=10, N=252) not open_close(x, n=10, N=252, ...))
>
> HTH
> Jeff
>
Thanks Jeff. That seemed to have fixed that issue. However, now I get
the following:

> lapply(stock, function(x) open_close(x, n=10, N=252))
debugging in: dimnames.xts(x)
debug: {
    .Call("dimnames_zoo", x)
}
Browse[2]>
debug: .Call("dimnames_zoo", x)
Browse[2]> c
Error in dimnames(cd) <- list(as.character(index(x)), colnames(x)) :
  'dimnames' applied to non-array

I tried to debug this but it seems internal to the lapply call. Any
idea? Appreciate the help.

> Jeffrey Ryan    |    Founder    |    [hidden email]
>
> www.lemnica.com
>
> On Dec 28, 2011, at 5:29 PM, algotr8der <[hidden email]> wrote:
>
>> I've been going through various examples on how to use lapply when the list
>> in question has multiple parts but I can't seem to get things working.
>>
>> I have a function that computes open_close volatility as follows:
>>
>> close_open <- function (OHLC, n = 10, N = 252, ...)
>> {
>>    Cl1 <- lag(OHLC[, 4])
>>    OHLC <- try.xts(OHLC, error = as.matrix)
>>    s2o <- 18.59 * runSD(log(OHLC[, 1]/Cl1), n)
>>    reclass(s2o, OHLC)
>> }
>>
>> I have a list object stocks that has 909 xts OHLC objects:
>>
>>> class(stocks)
>> [1] "list"
>>
>>> length(stocks)
>> [1] 909
>>
>> I want to compute the open_close volatility for every component in the list
>> stock by using lapply. I have tinkered with various variants of
>>
>> lapply(stocks, function(x) open_close(x, n=10, N=252, ...))
>>
>> I get errors like so:
>>
>> Error in FUN(X[[1L]], ...) : '...' used in an incorrect context
>>
>> Any guidance on how I can achieve my goal would be greatly appreciated.
>> THank you.
>>
>> --
>> View this message in context: http://r.789695.n4.nabble.com/lapply-over-list-that-has-multiple-xts-objects-tp4241306p4241306.html
>> Sent from the Rmetrics mailing list archive at Nabble.com.
>>
>> _______________________________________________
>> [hidden email] 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.

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[algotr8der]

Seemed like there was a problem with my data in the list. Some of the list components were empty - seems like bloomberg populated some of the tickers with no data. I need to put in error checking to make sure the data is populated correctly.

Thank you Jeff for all your help.

[gsee]

These are the types of things that the list would have been much
better at helping you with if you had provided a reproducible example.
 Of course, in the process of trying to make the reproducible example,
you probably would have found the answer yourself. ;-)

On Fri, Dec 30, 2011 at 11:10 AM, algotr8der <[hidden email]> wrote:

> Seemed like there was a problem with my data in the list. Some of the list
> components were empty - seems like bloomberg populated some of the tickers
> with no data. I need to put in error checking to make sure the data is
> populated correctly.
>
> Thank you Jeff for all your help.
>
> --
> View this message in context: http://r.789695.n4.nabble.com/lapply-over-list-that-has-multiple-xts-objects-tp4241306p4246236.html
> Sent from the Rmetrics mailing list archive at Nabble.com.
>
> _______________________________________________
> [hidden email] 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.

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