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

[Diethelm Wuertz]

David-Michael Lincke wrote:
> 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 
What is your test ? --- useless if you don't tell us what you have done
> showed that the Yahoo import functions don't work at
> all as they expect a different date format from what's being delivered.
>   
This is wrong what you tell us.

Have you read the help pages ? --- I think definitely not.

yahooImport() is a function which delivers a web object of the download 
with many
information which is helpful for downloading data on a regular time 
schedule and to
store them in a database. Nota bene, there is a data slot which keeps 
the timeSeries
object.

For simply downloading a time series, you should use the function 
yahooSeries(). This
delivers a 'timeSeries' object.

Note, the download depends on the time format used by Yahoo. This has 
changed a few
months ago, noticed on this mailing list. --- Therefore you should use a 
recent version of
Rmetrics and you should also update your software on a regular base.
> 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:
>
>  
>   
No, definitely not ...

Try ...

IBM = yahooSeries("IBM")
colnames(IBM)
par(mfrow = c(1,1))
plot(IBM[, "IBM.Open"], type = "l")
lines(IBM[, "IBM.Close"],col = "red")

Rmetrics has also many tailored plotting functions, plot is only
used for univariate timeSeries objects, multivariate timeSeries
objects can be displayed using the additional functions lines()
and points()!

>   
>> 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)
>>     
>
>   

What is asyt.ts ? --- We can only help if you tell us what you have done ...

> 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.
>   
I wan't comment this ....

ohlcDailyPlot() expects a timeSeries object with column names c("Open", 
"High", "Low", "Close", "Volume")
They can be in any order, but the names must be exactly the column names 
mentioned.

Try:

colnames(IBM) <- c("Open", "High", "Low", "Close", "Volume")
par(mfrow = c(2, 1))
ohlcDailyPlot(IBM)


... it works fine!

Diethelm

> David
>
>
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>
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