[R-SIG-Finance] Mulitple FI Sources

[G See]

forgot to copy the list

---------- Forwarded message ----------
From: G See <gsee000 at gmail.com>
Date: Thu, Dec 29, 2011 at 5:33 PM
Subject: Re: [R-SIG-Finance] Mulitple FI Sources
To: Mark Harrison <harrisonmark1 at gmail.com>


Mark,

You did not tell us which version of FinancialInstrument you are
using, but my guess is that it is out of date.

Also, you defined your exchange_rate backwards.  Please see
?exchange_rate ... or the e-mail I sent you on Dec 17th ;-)

Now, I'll let you know upfront that setSymbolLookup.FI doesn't really
work.  (more specifically, setSymbolLookup doesn't work well when you
pass it a list).  It sort of works, but once you've used it, the
defaults you set cannot be overridden without another call to
setSymbolLookup.FI.  Luckly, you don't really need setSymbolLookup.FI.

Before we get to that, getSymbols.FI requires a single base_dir for a
given Symbol.  If you want to end up with a single xts object with
data from 2 different base directories, then you'll have to load the
data from each base directory separately, then rbind or merge the data
together.

If you're simply asking how to have different instruments have
different directories, one solution may be to update to the latest
version of FinancialInstrument.  You can make multiple calls to
setSymbolLookup.FI and use the "Symbols" argument to set different
directories for different Symbols, or you can use the "src" argument
of an "instrument" call or in an "instrument_attr" call.  (I'll
demonstrate below.)

But, as I already mentioned, I'd avoid doing that because
setSymbolLookup does not really work when it is given a list.  So,
instead I'd simply use setSymbolLookup to specify that "FI" is the
src, and call setDefaults on getSymbols.FI.  Here's some code to show
why.

> # Create 2 directories
> dir.create("tmpA")
> dir.create("tmpB")
> # make/save 2 different versions of data
> XXX <- xts(1:10, Sys.time()-10:1*60)
> saveSymbols.days("XXX", "tmpA")
> XXX <- xts(20:11, Sys.time()-10:1*60)
> saveSymbols.days("XXX", "tmpB")
> # Define the stock. If you use "src" arg, 'setSymbolLookup'
> # will be called.  Don't specify "dir"
> stock("XXX", currency("USD"),
+       src=list(src="FI", extension='rda'))
[1] "XXX"
> getSymbols("XXX", dir='tmpA', auto.assign=FALSE)
                   [,1]
2011-12-29 17:10:37    1
2011-12-29 17:11:37    2
2011-12-29 17:12:37    3
2011-12-29 17:13:37    4
2011-12-29 17:14:37    5
2011-12-29 17:15:37    6
2011-12-29 17:16:37    7
2011-12-29 17:17:37    8
2011-12-29 17:18:37    9
2011-12-29 17:19:37   10
> getSymbols("XXX", dir='tmpB', auto.assign=FALSE)
                   [,1]
2011-12-29 17:10:37   20
2011-12-29 17:11:37   19
2011-12-29 17:12:37   18
2011-12-29 17:13:37   17
2011-12-29 17:14:37   16
2011-12-29 17:15:37   15
2011-12-29 17:16:37   14
2011-12-29 17:17:37   13
2011-12-29 17:18:37   12
2011-12-29 17:19:37   11

> # Since we didn't set the global default for "dir",
> # it works.  But,
> # If you specify "dir" with setSymbolLookup,
> # it will be used even if you provide a local arg
> setSymbolLookup.FI("tmpA", Symbols='XXX')
> getSymbols("XXX", auto.assign=FALSE)
                   [,1]
2011-12-29 17:10:37    1
2011-12-29 17:11:37    2
2011-12-29 17:12:37    3
2011-12-29 17:13:37    4
2011-12-29 17:14:37    5
2011-12-29 17:15:37    6
2011-12-29 17:16:37    7
2011-12-29 17:17:37    8
2011-12-29 17:18:37    9
2011-12-29 17:19:37   10

> getSymbols("XXX", dir='tmpB', auto.assign=FALSE) #dir arg is ignored!!!
                   [,1]
2011-12-29 17:10:37    1
2011-12-29 17:11:37    2
2011-12-29 17:12:37    3
2011-12-29 17:13:37    4
2011-12-29 17:14:37    5
2011-12-29 17:15:37    6
2011-12-29 17:16:37    7
2011-12-29 17:17:37    8
2011-12-29 17:18:37    9
2011-12-29 17:19:37   10

> # have to re-setSymbolLookup either with setSymbolLookup.FI,
> # or instrument_attr as below
> instrument_attr("XXX", "src", list(src='FI', dir='tmpB'))
> getSymbols("XXX", auto.assign=FALSE)
                   [,1]
2011-12-29 17:10:37   20
2011-12-29 17:11:37   19
2011-12-29 17:12:37   18
2011-12-29 17:13:37   17
2011-12-29 17:14:37   16
2011-12-29 17:15:37   15
2011-12-29 17:16:37   14
2011-12-29 17:17:37   13
2011-12-29 17:18:37   12
2011-12-29 17:19:37   11

> # You're better off NOT providing a list to "src", and
> # instead using setDefaults on getSymbols.FI
> rm_instruments("XXX")
> stock("XXX", currency("USD"), src='FI')
[1] "XXX"
> setDefaults('getSymbols.FI', dir='tmpB', extension='rda')
> setSymbolLookup(XXX='FI')
> getSymbols("XXX", auto.assign=FALSE)
                   [,1]
2011-12-29 17:10:37   20
2011-12-29 17:11:37   19
2011-12-29 17:12:37   18
2011-12-29 17:13:37   17
2011-12-29 17:14:37   16
2011-12-29 17:15:37   15
2011-12-29 17:16:37   14
2011-12-29 17:17:37   13
2011-12-29 17:18:37   12
2011-12-29 17:19:37   11

> getSymbols("XXX", dir='tmpA', auto.assign=FALSE)
                   [,1]
2011-12-29 17:10:37    1
2011-12-29 17:11:37    2
2011-12-29 17:12:37    3
2011-12-29 17:13:37    4
2011-12-29 17:14:37    5
2011-12-29 17:15:37    6
2011-12-29 17:16:37    7
2011-12-29 17:17:37    8
2011-12-29 17:18:37    9
2011-12-29 17:19:37   10

> # Clean up
unlink("tmpA", recursive=TRUE)
unlink("tmpB", recursive=TRUE)

HTH,
Garrett

On Wed, Dec 28, 2011 at 2:37 PM, Mark Harrison <harrisonmark1 at gmail.com> wrote:
> I am using R and RStudio versions 2.13.1 and 0.94.106 respectively.
> I am using Financial Instrument and everything is working for a single data
> source.  I have my Rprofile file setup to load packages, define my
> instruments, and set my symbol lookup souce.
>
> # packages to load at startup
> library(quantmod)
> library(fTrading)
>
> # currencies defined
>
> currency("USD")
> currency("GBP")
>
> # now exchange rates
>
> # British Pound Rates
> exchange_rate("GBPUSD","GBP","USD")
>
> # Set symbol lookups
> setSymbolLookup.FI("HistFX", storage_method="rda")
>
> Once I start R or RStudio everything loads and I can run the following and
> everything works:
> getSymbols.FI("GBPUSD")
>
> This all works for a single data source but I have multiple data sources or
> data sets that I would like to access and would like to put everything in
> my RProfile but I have yet to figure out how to make it work.
>
> For example, I have a series of historical data files that I got from a
> vendor who is not my broker.  So I want to keep my historical data files
> separate in one directory 'HistFX' and any data I get from my broker in a
> separate folder called 'Broker' for example.
>
> So the directories might look like:
>
> C:\Documents\HistFX\GBPUSD
> C:\Documents\Broker\GBPUSD
>
> I tried adding multiple lines to my RProfile with for each source but it
> looks like the last line read in is the 'live' one.  I even tried adding
> 'src=' to try and distinguish one from the other
> setSymbolLookup.FI("HistFX", storage_method="rda")
> setSymbolLookup.FI("Broker", storage_method="rda")
>
> setSymbolLookup.FI("HistFX", storage_method="rda", src="hist")
> setSymbolLookup.FI("Broker", storage_method="rda", src='broker")
>
> I realize the simplest solution would be to just add a setSymbolLookup.FI
> command to any script I use pointing to the data I want to use - i.e.
> historical or broker - but like I said I was trying to do this in the
> RProfile.
>
> Any help would be appreciated.
>
>        [[alternative HTML version deleted]]
>
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