[R-SIG-Finance] Mulitple FI Sources

varcovar varcovar at live.com
Thu Dec 29 05:54:11 CET 2011


Here is my 2 cents on a way to access the same symbols from multiple sources
and time frames. Instead of using the setSymbolLookup.FI() and
getSymbols.FI() functions, why not creating custom functions based on the
getSymbols() structure to access those data: getSymbols.src1(),
getSymbols.src2(), getSymbols.src3()... 

Basically, data are stored in different folders, with different format and
all the formating job is done inside each function. It eventually looks like
something like that: 

## Define instruments (or load instruments)
currency("USD")
future("GC", "USD", multiplier = 10, tick_size = 0.1)
future_series("GC_G00")
## get Gold Feb 2000 contract daily data from src1
getSymbols.src1("GC_G00")  
## get Gold Feb 2000 contract daily data from high frequency data from src2
getSymbols.src2("GC_G00", start_time = "09:30", end_time = "15:59", period =
"days", k = 1)



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