[R-SIG-Finance] quantmod package documentation

[Jeffrey Ryan]

On Thu, Nov 3, 2011 at 2:05 PM, Andreas Voellenklee <wotuzu17 at gmail.com> wrote:
> Hello,
>
> I have some questions about the quantmod package documentation and the
> function getSymbols.
>
> 1) altough I have quantmod_0.3-17 installed, the documentation says
> it's version 0.3-8 from 2007-11-20. Maybe someone of the developer
> group fix this?

Its been like this for years, somewhere between a joke and don't fix
it lest it's broke.

Kidding aside, I have committed a rev 572 that addresses.  Any
breakages are not my fault ;-)
>
> 2) I've seen code that uses a undocumented parameter adjust=TRUE in
> getSymbols. I thought this would be a convenient way to retrieve and
> adjust prices in one line of code, but the result is somewhat
> surprising.
>
> Let's compare these three different snippets:
>
> Version 1:
>> getSymbols("C") # retrieve unadjusted prices
> [1] "C"
>> head(C)
>           C.Open C.High C.Low C.Close C.Volume C.Adjusted
> 2007-01-03  55.66  56.28 54.72   55.25  2282100     499.32
> 2007-01-04  55.25  56.15 54.72   55.06  1658700     497.60
> 2007-01-05  55.00  55.05 54.46   54.77  1317900     494.98
> 2007-01-08  54.60  55.15 54.30   55.05  1236900     497.51
> 2007-01-09  55.01  55.15 54.19   54.57  1963000     493.17
> 2007-01-10  54.27  54.49 53.95   54.13  1744900     489.20
>
> Version 2:
>> getSymbols("C", adjust=TRUE) # retrieve adjusted prices
> [1] "C"
>> head(C)
>             C.Open   C.High    C.Low  C.Close C.Volume C.Adjusted
> 2007-01-03 191.1241 193.2530 187.8963 189.7162  6646032     499.32
> 2007-01-04 189.7162 192.8066 187.8963 189.0638  4830539     497.60
> 2007-01-05 188.8578 189.0295 187.0036 188.0680  3838046     494.98
> 2007-01-08 187.4843 189.3729 186.4542 189.0295  3602155     497.51
> 2007-01-09 188.8921 189.3729 186.0764 187.3813  5716735     493.17
> 2007-01-10 186.3511 187.1066 185.2523 185.8704  5081575     489.20
>
> Version 3:
>> getSymbols("C") # retrieve unadjusted prices
>> assign("C", adjustOHLC(get("C"),use.Adjusted=TRUE)) # adjust prices using quantmod::adjustOHLC
>> head(C)
>             C.Open   C.High    C.Low C.Close C.Volume C.Adjusted
> 2007-01-03 503.0254 508.6286 494.5301  499.32  2282100     499.32
> 2007-01-04 499.3171 507.4508 494.5273  497.60  1658700     497.60
> 2007-01-05 497.0586 497.5105 492.1784  494.98  1317900     494.98
> 2007-01-08 493.4432 498.4137 490.7319  497.51  1236900     497.51
> 2007-01-09 497.1464 498.4117 489.7358  493.17  1963000     493.17
> 2007-01-10 490.4653 492.4535 487.5732  489.20  1744900     489.20
>

>
> Does anybody know what the parameter adjust in Version 2 is supposed
> to adjust? And why it's not documented?
>

It is meant to adjust.  The issue was exactly _where_ to document - as
it would be in getSymbols.yahoo, but the way the functions are called
it isn't technically a param to that function:

> args(getSymbols.yahoo)
function (Symbols, env, return.class = "xts", index.class = "Date",
    from = "2007-01-01", to = Sys.Date(), ...)

Can't really document something that isn't there ;-)

That said, I'll think about how to do that without breaking code (see
my comment above about 'not being broken')

Why it isn't working on "C" is odd.  My thinking is that it has
something to do with C being a function in R.  Trying on MSFT shows it
does indeed work:

> getSymbols("MSFT")
[1] "MSFT"
> head(MSFT)
           MSFT.Open MSFT.High MSFT.Low MSFT.Close MSFT.Volume MSFT.Adjusted
2007-01-03     29.91     30.25    29.40      29.86    76935100         27.17
2007-01-04     29.70     29.97    29.44      29.81    45774500         27.13
2007-01-05     29.63     29.75    29.45      29.64    44607200         26.97
2007-01-08     29.65     30.10    29.53      29.93    50220200         27.24
2007-01-09     30.00     30.18    29.73      29.96    44636600         27.26
2007-01-10     29.80     29.89    29.43      29.66    55017400         26.99
> getSymbols("MSFT", adjust=TRUE)
[1] "MSFT"
> head(MSFT)
           MSFT.Open MSFT.High MSFT.Low MSFT.Close MSFT.Volume MSFT.Adjusted
2007-01-03  27.21858  27.52798 26.75447   27.17308    84542580         27.17
2007-01-04  27.02748  27.27318 26.79087   27.12758    50300764         27.13
2007-01-05  26.96377  27.07298 26.79997   26.97287    49018039         26.97
2007-01-08  26.98197  27.39148 26.87277   27.23678    55186063         27.24
2007-01-09  27.30048  27.46428 27.05478   27.26408    49050346         27.26
2007-01-10  27.11848  27.20038 26.78177   26.99107    60457618         26.99

Thanks for the email, question, and 'documenting' adjust for us.  I'll
look into the C case.

Jeff

> Thanks,
> Andreas
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>



-- 
Jeffrey Ryan
jeffrey.ryan at lemnica.com

www.lemnica.com
www.esotericR.com