[R-SIG-Finance] RMetrics fBasics market data retrieval andtimeSeries functionality still being maintained at all?

[jeff.a.ryan at gmail.com]

David,

I've had about the same experience - though I haven't really spent enough time with Rmetrics to try and get passed it.

Its certainly not meant to be a replacement - but to at least handle the download part you can download my new quantmod package from CRAN or from http://www.quantmod.com 

getSymbols(c("AAPL","SUNW"), return.class = "timeSeries") will download the appropriate data to your workspace.

See ?getSymbols and ?getSymbols.yahoo for info.  You'll also need my Defaults package.

The former is a work in progress - the latter is much more complete.  Both are fairly well documented, and both are fairly small.

Tell me what you think if you try it out.

Jeff Ryan
Sent via BlackBerry from T-Mobile

-----Original Message-----
From: "David-Michael Lincke" <dlincke at lincke.net>

Date: Fri, 10 Aug 2007 23:07:51 
To:<r-sig-finance at stat.math.ethz.ch>
Subject: [R-SIG-Finance] RMetrics fBasics market data retrieval and
	timeSeries functionality still being maintained at all?


Is the functionality in the RMetrics fBasics package for market data
retrieval and timeSeries object functionality still being maintained at all?

A quick test of mine showed that the Yahoo import functions don't work at
all as they expect a different date format from what's being delivered.
Specifically the following changes are necessary in lines 24 to 28 of
yahooImport:

 

        x2 = strsplit(x1[regexpr("-..-..,", x1) > 0], ",")

        x1 = matrix(unlist(x2), byrow = TRUE, nrow = length(x2))

        z = matrix(as.numeric(x1[, -1]), ncol = dim(x1)[2] - 

            1)

        rowNames = as.character(as.Date(x1[, 1]))

 

Once that hurdle is taken, however, it seems that all plotting functionality
on timeSeries objects is broken as well:

 

> plot.timeSeries(asyt.ts)

Error in xy.coords(x, y, xlabel, ylabel, log) : 'x' and 'y' lengths differ

> lines.timeSeries(asyt.ts)

Error in xy.coords(x, y, xlabel, ylabel, log) : 'x' and 'y' lengths differ

> ohlcDailyPlot(asyt.ts)

Error in plotOHLC(X, origin = "1970-01-01", xlab = xlab[1], ylab = ylab[1])
: x is not a open/high/low/close time series

 

If this first experience is representative of the state of things with
RMetrics then I'm not sure this is worth pursuing any further and I'm
probably better off sticking with Matlab.

David


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