[R-sig-finance] Its function and yahoo

[Daniel Herlemont]

> Maybe it is time to try to handle this more flexibly, in particular
> concerning the return class. So that it can return "ts", "its", "zoo" or
> "timeSeries" objects. For "zoo" the advantage would be that "Date"
> indexes can be used for daily data and "yearmon" for monthly data
> (possibly with appropriate frequencies specified), the package vignette
> contains a worked example for that.

yes its a very good idea.

Date/time formats are really a zoo !!!


Feell free to make concrete proposal, from my file, for example.

> An alternative would be to read from a connection (which could be a
> local file or a URL) with the default of querying yahoo.com.

Yes this is done from the last function
yahoo.get.hist.quote
depending on the download parameter
if true, the function download the data to a local file and then read the 
local file
if false, it just read the data from the local file


Thanks.

Daniel.
www.yats.com



----- Original Message ----- 
From: "Achim Zeileis" <Achim.Zeileis at wu-wien.ac.at>
To: "Daniel Herlemont" <dherlemont at yats.com>
Cc: <R-sig-finance at stat.math.ethz.ch>
Sent: Monday, May 02, 2005 4:39 PM
Subject: Re: [R-sig-finance] Its function and yahoo


> Daniel,
>
> thanks for this.
>
>> Hi,
>> > Yes, so maybe time for someone else to become immortal by supplying
>> > a patch
>>
>> I have done it ... so I am immortal :)
>> This is a still a modified version of the original tseries version ..
>> so I am still partly immortal,
>
> Maybe it is time to try to handle this more flexibly, in particular
> concerning the return class. So that it can return "ts", "its", "zoo" or
> "timeSeries" objects. For "zoo" the advantage would be that "Date"
> indexes can be used for daily data and "yearmon" for monthly data
> (possibly with appropriate frequencies specified), the package vignette
> contains a worked example for that.
> Furthermore, it would probably be good to have a single authorative
> implementation instead of each time series package reproducing this
> functionality.
>
>> see file attached.
>> In addition to adjustements,
>> I have splitted the function in two parts:
>> 1. reading quotes from local file
>> 2. downloading from
>
> An alternative would be to read from a connection (which could be a
> local file or a URL) with the default of querying yahoo.com.
>
> just my EUR 0.02
> Z
>
>>
>> I work a lot with R,
>> both for consulting services for hedge Funds and teaching.
>> see my site
>> http://www.yats.com/
>>
>> unfortunately most of R teaching stuff are in french.
>>
>> Daniel HERLEMONT
>> Associate Professor of Finance
>> Ecole Supérieure d'Ingénieurs Léonard de Vinci (ESILV)
>> Département Mathématique et Ingénierie Financière
>> 92916 PARIS LA DEFENSE CEDEX
>>
>> YATS
>> http://www.yats.com
>>
>> ----- Original Message ----- 
>> From: "Dirk Eddelbuettel" <edd at debian.org>
>> To: "BBands" <bbands at gmail.com>
>> Cc: <R-sig-finance at stat.math.ethz.ch>
>> Sent: Saturday, April 30, 2005 2:12 AM
>> Subject: Re: [R-sig-finance] Its function and yahoo
>>
>>
>> >
>> > On 29 April 2005 at 15:44, BBands wrote:
>> > | For some reason priceIts does not handle the "Adj. Close" field.
>> > |
>> > | However, tseries will: get.hist.quote("ge", quote=c("Cl", "Ad"))
>> > |
>> > | I recently contributed a tseires patch that also allows it to
>> > | handle daily, weekly or monthly compression: get.hist.quote("ge",
>> > | compression="w", quote=c("Cl", "Ad"))
>> > |
>> > | The difference between the "Close" and the "Adj. Close*" fields is
>> > | far more than just dividends, splits are a major factor. Please
>> > | note that Yahoo! only split adjusts the "Adj. Close*" field,
>> > | you'll have to back into an adjustment for the other fields if
>> > | needed.
>> >
>> > Yes, so maybe time for someone else to become immortal by supplying
>> > a patch
>> > to priceIts based on what you had designed for get.hist.quotes.
>> >
>> > Dirk
>> >
>> > -- 
>> > Better to have an approximate answer to the right question than a
>> > precise answer to the wrong question.  --  John Tukey as quoted by
>> > John Chambers
>> >
>> > _______________________________________________
>> > R-sig-finance at stat.math.ethz.ch mailing list
>> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> >
>> >
>>
>
>