[R-SIG-Finance] Convertion of a zoo object to a ts object

[Sylvain BARTHELEMY]

Hi Ulrich,

Thanks for your answer and it surely helps. I didn't known about CCAPI and
SlimFX and both seem to be very interesting projects.

---
Sylvain Barthélémy
Head of Quantitative Research, TAC
www.tac-financial.com | www.sylbarth.com

 
-----Message d'origine-----
De : Ulrich Staudinger [mailto:us at activestocks.de] 
Envoyé : jeudi 24 mai 2007 11:01
À : Sylvain BARTHELEMY
Cc : r-sig-finance at stat.math.ethz.ch
Objet : Re: [R-SIG-Finance] Convertion of a zoo object to a ts object

Hi Sylvain,

i know this is a R mailing list, but let me add some information on how i
solve the very same problem.

I usually do the whole data obtaining and preparation in ccapi2, i then
export this data from ccapi2 as a CSV file which i load into R.

Data preparation includes for example aligning multiple timeseries, dealing
with extreme outliers due to unreasonable trades.
For aligning multiple time series i use the java method alignTimeSeries
viewable at
http://activestocks.de:8081/viewrep/ccapi3/src/core/ccapi/core/util/TimeSeri
esUtil.java?r=1.7#l44 


Would be good if RMetrics would integrate such a method. Yahoo does drop a
few days in long timeseries, usually.

Hope this helps,
Best regards,
Ulrich Staudinger


Sylvain BARTHELEMY schrieb:
> Dear All,
>
> I use get.hist.quote to read historical prices on various quotes from 
> Finance Yahoo. It works fine on daily prices and most of the time on 
> monthly prices but it is sometimes difficult to synchronize monthly 
> data without duplicating months when extracting more than one quote.
>
> Here is an example where many months are duplicated (see at the end of 
> the time series that 2006-05 is duplicated because CAC40 is quoted on 
> 2006-05-02 and AXA on 2006-05-01):
> x <- get.hist.quote("^FCHI", compression = "m", start = as.Date(0), 
> quote =
> "Close")
> x <- cbind( xx, get.hist.quote("CS.PA", compression = "m", start = 
> as.Date(0), quote = "Close") )
>
> For the moment, to avoid these problems, I use something like:
> readFromYahooM <- function(nam,quote) {  xx.0 <- get.hist.quote(nam, 
> compression = "m", start = as.Date(0), quote =
> quote)
>  xx <- ts( coredata(xx.0), frequency = 12, start =
> as.numeric(as.yearmon(as.Date(start(xx.0)[1]))) )  xx } x <- 
> readFromYahooM("^FCHI","Close") x <- cbind(x, 
> readFromYahooM("CS.PA","Close"))
> colnames(x) <- c("FCHI","CS.PA")
>
> It works, but there is a strong assumption that all the months are 
> present in the two time series and the fact is that xx is a zoo object 
> and zoo objects can contain irregular time series ! I am sure that 
> there should be a more elegant way to do a conversion from a zoo 
> object to a ts object or to replace the "start" parameter by the exact 
> vector of zoo dates and or yearmon but I don't find any way do to that.
>
> I anyone can help me, I would appreciate.
> Thanks in advance.
>
> ---
> Sylvain Barthélémy
> Head of Quantitative Research, TAC
> www.tac-financial.com | www.sylbarth.com
>
>
>
>
> 15:59
>
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15:59