[R] Quantmod, Xts, TTR and Postgresql

[Joshua Ulrich]

On Tue, May 22, 2012 at 2:15 AM, R-type Studios <rtypestudios at gmail.com> wrote:
> Hi Everyone,
>
> I'm currently using the latest build of R and R-Studio server (both are
> amazing products)
>
> I'm still very new to this but I came across this issue:
>
> I'm trying to do a select from postgres and put the data into and xts
> object like so:
>
> # Libs
> library('RPostgreSQL') # http://code.google.com/p/rpostgresql/
> library('quantmod')
> library('TTR')
> library('xts') #
> http://cran.r-project.org/web/packages/xts/vignettes/xts.pdf
>
> # Connect and get data
> drv <- dbDriver('PostgreSQL')
> db <- dbConnect(drv, host='localhost', user='postgres', dbname='technica',
> password='password')
> fr <- dbGetQuery(db, 'SELECT date as "Date", open as "Open", high as
> "High", low as "Low", close as "Close", volume as "Volume", random() as
> "Adjusted" FROM stocks s INNER JOIN historical_prices hp ON s.id =
> hp.stock_id WHERE s.symbol = \'SDL\' ORDER BY date DESC limit 50')
>
> # copied from the mysql code in the quantmod source
> fr <- data.frame(fr[,-1],row.names=fr[,1])
> fr <- xts(as.matrix(fr[,-1]), order.by=as.Date(fr[,1],
> origin='1970-01-01'), src='technica', updated=Sys.time())
> colnames(fr) <- paste('SDL',
> c('Open','High','Low','Close','Volume','Adjusted'), sep='.')
>
> dvi <- DVI(Cl(fr))
> print(dvi)
>
> When the code is executed I receive the error for the line dvi <-
> DVI(Cl(fr)): "Error in runSum(x, n) : Invalid 'n'"
>
The defaults for DVI's magnitude and stretch arguments require there
be at least 100 observations.  My guess is that your 'fr' object
doesn't have the required 100 observations.  If it doesn't, then using
the default value of n = 252 may also be an issue (giving misleading
results, if not an error).

> But if I do this (fetch the data from yahoo):
>
> getSymbols("SDL.AX")
> dvi <- DVI(Cl(SDL.AX))
> print(dvi)
>
> All seems to work fine, but I cant see any difference when I print the two
> data sets out, except the data set size.
>
> Any ideas what I'm doing wrong? Id really like to be able to import from my
> postgres database.
>
> Also i would be happy to write a postgres routine and submit it to quantmod
> if i get this working
>
> Thanks!
> Max
>

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