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

[Martin Maechler]

>>>>> "DL" == David-Michael Lincke <dlincke at lincke.net>
>>>>>     on Sun, 12 Aug 2007 21:11:39 -0400 writes:

    DL> Diethelm,
    DL> Thank you for your response. Asyt.ts in my example is a timeSeries object
    DL> constructed using yahooSeries(). Trying out the example you provided I get:

    >> IBM = yahooSeries("IBM")
    DL> trying URL
    DL> 'http://chart.yahoo.com/table.csv?s=IBM&a=7&b=12&c=2006&d=7&e=12&f=2007&g=d&
    DL> x=.csv'
    DL> Content type 'text/csv' length unknown
    DL> opened URL
    DL> downloaded 12Kb

    DL> Read 250 items
    DL> Error in matrix(unlist(x2), byrow = TRUE, nrow = length(x2)) : 
    DL> matrix: invalid 'ncol' value (< 0)
    DL> Error in .yahooSeries(symbols[1], from = from, to = to, nDaysBack =
    DL> nDaysBack,  : 
    DL> cannot get a slot ("data") from an object of type "character"

David,
I can confirm Diethelm's statement that  yahooSeries()
works without problems 

__IFF__ you use current versions of R and fBasics.

Can you give your
    sessionInfo() ## {after having loaded  fBasics} ?

I'm pretty sure your version of fBasics is not current enough.

    DL> After applying the patch to yahooImport() that I posted in my initial
    DL> message the import works:

    >> IBM = yahooSeries("IBM")
    DL> trying URL
    DL> 'http://chart.yahoo.com/table.csv?s=IBM&a=7&b=12&c=2006&d=7&e=12&f=2007&g=d&
    DL> x=.csv'
    DL> Content type 'text/csv' length unknown
    DL> opened URL
    DL> downloaded 12Kb

    DL> Read 250 items
    DL> Read 7 items

    >> colnames(IBM)
    DL> [1] "IBM.Open"   "IBM.High"   "IBM.Low"    "IBM.Close"  "IBM.Volume"

    DL> Given that plot() has been overloaded to deal with timeSeries objects I
    DL> would have expected it to have some default functionality when passed a
    DL> timeSeries object short of unceremoniously failing in a lower level function
    DL> call. I did not realize it only works on single columns/data series.

    DL> As for ohlcDailyPlot(), I checked the source code later on and realized that
    DL> it expects column names that are different from how the market data
    DL> retrieval functions construct their timeSeries objects. This is easily
    DL> adjusted for. However, it's not exactly a smooth solution from a design
    DL> point of view. Also, the documentation does not mention the need for an
    DL> explicit prior call to par(mfrow = c(2, 1)) for it to result in a proper
    DL> plot. But I guess maybe that's obvious to a more seasoned R user than me.

    DL> Anyway, thank you for pointing me in the right direction. The code in
    DL> yahooImport(), however, really is broken as you can clearly verify by taking
    DL> a look at the date format delivered by Yahoo which does not have spelled out
    DL> three letter month names as expected by the source code.


I partly agree with you, that the documentation of several of
the Rmetrics functions is clearly "sub-optimal".
There's currently an ongoing effort to make Rmetrics being
loaded on more shoulders than just Diethelm's and I'd hope that
consequently many things will improve on the documentation front
...

Best regards,
Martin

    DL> David