[R-SIG-Finance] Process used to manage workspace and large data files

[s]

On 5/14/11 4:02 PM, Jeffrey Ryan wrote:
> Yes, this should be altering the actual SQL to avoid reading the full series
> from the database.  Thanks for the report.
The problem I am having is with the retrieval of subset data from an
.rda file although this may also be the case with retrieving data from SQL.


> Jeff
>
> On Sat, May 14, 2011 at 11:28 AM, G See <gsee000 at gmail.com> wrote:
>
>> I've had this problem before.  I think it is a bug.  I got around it as
>> follows.
>>
>> rewrite getSymbols in your .GlobalEnv.  Just type getSymbols, and copy and
>> paste all the code, adding "<-" without the quotes between getSymbols and
>> function(...
>>
>> Now replace this line towards the end:
>> fr <- convert.time.series(fr = fr, return.class = return.class)
>>
>> with these lines:
>> fr <- quantmod:::convert.time.series(fr = fr, return.class = return.class)
>> fr <- fr[paste(from,to,sep='::')] #I added this so that from and to work
>>
>> It will still download all the data, but before returning it, it will
>> subset
>> it.
>>
>> HTH,
>> Garret
>>
>> On Sat, May 14, 2011 at 11:08 AM, s <algotr8der at gmail.com> wrote:
>>
>>> Thank you Garrett and Brian. I will take a look.
>>>
>>> In the mean time I just saved one of my symbols in mySQL to an rda file.
>>> I want to be able to retrieve a subset of the data using one of the
>>> getSymbols variants. Is this possible?
>>>
>>> For example, the time series for AMKR starts on 2002-04-08. I want to
>>> grab the subset between 2009-01-01 and end of day 2010-10-06. It appears
>>> the entire object is loaded. Appreciate the help.
>>>
>>>> getSymbols('AMKR', from="2009-01-01 09:31:00", to="2010-10-06
>>> 16:00:00", src='rda', col.names=c("open", "high", "low", "close",
>>> "volume"))
>>> [1] "AMKR"
>>>
>>>> head(AMKR)
>>>                    AMKR.open AMKR.high AMKR.low AMKR.close AMKR.volume
>>> 2002-04-08 09:31:00     21.50     21.50    21.42      21.42        7300
>>> 2002-04-08 09:32:00     21.41     21.46    21.39      21.40        1100
>>> 2002-04-08 09:33:00     21.35     21.35    21.30      21.30         900
>>> 2002-04-08 09:34:00     21.37     21.44    21.37      21.43        4100
>>> 2002-04-08 09:35:00     21.43     21.43    21.43      21.43         400
>>> 2002-04-08 09:36:00     21.43     21.43    21.35      21.37        3200
>>>
>>> Or even everything from 2009-01-01 onwards
>>>
>>>> getSymbols('AMKR', from="2009-01-01", src='rda', col.names=c("open",
>>> "high", "low", "close", "volume"))
>>>
>>> [1] "AMKR"
>>>
>>>> head(AMKR)
>>>                    AMKR.open AMKR.high AMKR.low AMKR.close AMKR.volume
>>> 2002-04-08 09:31:00     21.50     21.50    21.42      21.42        7300
>>> 2002-04-08 09:32:00     21.41     21.46    21.39      21.40        1100
>>> 2002-04-08 09:33:00     21.35     21.35    21.30      21.30         900
>>> 2002-04-08 09:34:00     21.37     21.44    21.37      21.43        4100
>>> 2002-04-08 09:35:00     21.43     21.43    21.43      21.43         400
>>> 2002-04-08 09:36:00     21.43     21.43    21.35      21.37        3200
>>>
>>> On 5/14/11 12:02 PM, G See wrote:
>>>> You could have different data files for different days, and write a
>>> wrapper
>>>> for getSymbols to rbind it all together when you need it. I think
>>>> getSymbols.FI, in the FinancialInstrument package, does this.
>>>>
>>>> On Sat, May 14, 2011 at 8:54 AM, s <algotr8der at gmail.com> wrote:
>>>>
>>>>> Now how do you maintain these rda files as new data arrives each day -
>>>>> is there some way of adding incremental data to the object? For
>> example
>>>>> if I have minute data for QQQ from 2002-01-01 to 2011-05-13 I don't
>> want
>>>>> to pull all of the data beginning 2002-01-01 from my source to update
>>>>> one day's worth of data at the end of business this coming Monday.
>>>>>
>>>>>
>>>
>>         [[alternative HTML version deleted]]
>>
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