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

[Adam Gehr]

On trying the same commands with a recently updated version of R I get:

> sessionInfo()
R version 2.5.1 (2007-06-27)
i386-pc-mingw32

locale:
LC_COLLATE=English_United States.1252;LC_CTYPE=English_United 
States.1252;LC_MONETARY=English_United 
States.1252;LC_NUMERIC=C;LC_TIME=English_United States.1252

attached base packages:
[1] "tcltk"     "stats"     "graphics"  "grDevices" "utils"     "datasets"
[7] "methods"   "base"

other attached packages:
   fBasics fCalendar   fEcofin   spatial      MASS
  "251.70"  "251.70"  "251.70"  "7.2-35"  "7.2-35"
> IBM = yahooSeries("IBM")
trying URL 
'http://chart.yahoo.com/table.csv?s=IBM&a=7&b=14&c=2006&d=7&e=14&f=2007&g=d&x=.csv'
Content type 'text/csv' length unknown
opened URL
downloaded 12Kb

and the resulting dataset looks fine.

   Adam Gehr


On Tue, 14 Aug 2007, David-Michael Lincke wrote:

> Martin,
>
> I did run update.packages() after I first encountered problems, which
> suggested that no newer version was available. The source code of
> yahooImport() clearly scans for dates with format along the lines of
> 2007-Aug-01 while Yahoo actually delivers 2007-08-01. Here is the output
> from sessionInfo():
>
>> sessionInfo()
> R version 2.4.0 (2006-10-03)
> i386-pc-mingw32
>
> locale:
> LC_COLLATE=English_United States.1252;LC_CTYPE=English_United
> States.1252;LC_MONETARY=English_United
> States.1252;LC_NUMERIC=C;LC_TIME=English_United States.1252
>
> attached base packages:
> [1] "methods"   "stats"     "graphics"  "grDevices" "utils"     "datasets"
> [7] "base"
>
> other attached packages:
>      fBasics     fCalendar       fEcofin          MASS
> "240.10068.1"   "240.10068"   "240.10067"      "7.2-34"
>
> David
>
> -----Original Message-----
> From: Martin Maechler [mailto:maechler at stat.math.ethz.ch]
> Sent: Tuesday, August 14, 2007 12:03 PM
> To: David-Michael Lincke
> Cc: 'Diethelm Wuertz'; r-sig-finance at stat.math.ethz.ch
> Subject: Re: [R-SIG-Finance] RMetrics fBasics market data retrieval and
> timeSeries functionality still being maintained at all?
>
>
>>>>>> "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
>
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