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

[David-Michael Lincke]

Thanks everybody for pointing this out. I did not expect updates to the
packages to be dependent on the very latest release of R being installed
given that my installation is still less then a year old.

David

-----Original Message-----
From: Dirk Eddelbuettel [mailto:edd at debian.org] 
Sent: Tuesday, August 14, 2007 1:31 PM
To: David-Michael Lincke
Cc: 'Martin Maechler'; r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] RMetrics fBasics market data retrieval
andtimeSeries functionality still being maintained at all?


On 14 August 2007 at 12:22, 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 

Released last October, as the date shows. You missed a patch release (always
recommended), a new major release (2.5.) and its first patch releases.

| 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"

These are __current only conditional of the version of R you're running__
i.e. R found you the max(version | R release).  The problem is that you use
an outdated R releases, which leads to the outdated Rmetrics.

Please upgrade, and your problem should go away as suggested by three
different readers of this list.

Hth, Dirk

 
| 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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Three out of two people have difficulties with fractions.