[R-SIG-Finance] calendar to trading days

[Jeff Ryan]

And another typo - I will just take the rest of the week off myself : )

Here is the complete code without the comments:

getSymbols("JPY/USD", src="oanda")

JPYUSD[!weekdays(JPYUSD) %in% c("Saturday","Sunday")]

JPYUSD[!weekdays(JPYUSD) %in% c("Saturday","Sunday","Monday")]


Have a good week.


On Nov 21, 2007 9:19 AM, Jeff Ryan <jeff.a.ryan at gmail.com> wrote:
> One typo ...
>
> getSymbols("JPY/USD", src='oanda') #forgot the forward slash
>
>
>
>
> On Nov 21, 2007 9:12 AM, Jeff Ryan <jeff.a.ryan at gmail.com> wrote:
> > Hi Alex,
> >
> > I think 'trading days' may be open to interpretation with respect to
> > FX - sort of up to you : )
> >
> > As a start with quantmod ( http://www.quantmod.com and on CRAN ) you can try:
> >
> > # get the rates in a zoo object indexed by Date as an object JPYUSD in
> > your environment
> > getSymbols("JPYUSD",src='oanda')
> >
> > # now just the weekdays:
> > USDJPY[!weekdays(JPYUSD) %in% c('Sunday','Saturday')]
> >
> > # and if you always take off monday as well ; )
> > USDJPY[!weekdays(JPYUSD) %in% c('Monday','Sunday','Saturday')]
> >
> > You could further subset that by by a list of trading holidays...
> > One of probably an infinite solution set.
> >
> > Another option from quantmod is sourcing the data from FRED, which is
> > the noon spot rate
> > per US weekday:
> >
> > getSymbols("DEXJPUS",src="FRED")
> >
> > Info on FRED FX is here: http://research.stlouisfed.org/fred2/categories/94
> >
> > Without quantmod you won't have the quantmod weekdays.zoo function so
> > you'll have to spend a bit more
> > time typing to get what you want.
> >
> > Jeff
> >
> >
> >
> > On Nov 20, 2007 10:38 PM, Alexander Moreno <alexander.f.moreno at gmail.com> wrote:
> > > Hi,
> > >
> > > Is there some way to convert Oanda's get.hist.quote to trading days
> > > instead of calendar days using some simple technique?
> > >
> > > Thanks,
> > > Alex
> > >
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