[R-SIG-Finance] Mulitple FI Sources

[Brian G. Peterson]

On Wed, 2011-12-28 at 20:54 -0800, varcovar wrote:
> 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)

You can also call getSymbols.FI  or getSymbols.rda or getSymbols.csv
with the 'dir' argument.  This may avoid writing custom functions.

-- 
Brian