[R-SIG-Finance] GetSymbols & Weekend Data

[G See]

Hi Mark,

Try
getSymbols.FI("USCHF", dir = "~/Hour" , days_to_omit=NULL)

see ?getSymbols.FI for more.

HTH,
Garrett

On Tue, Apr 3, 2012 at 3:39 PM, Mark Harrison <harrisonmark1 at gmail.com> wrote:
> Running into an issue when trying to use hourly FX data from
> Interactive Brokers with getSymbols.  I have R all setup with
> iBrokers, Quantmod, FI, etc so that I can run a script to grab hourly
> FX data and save it to a file.
>
> The problem is that I see the weekend data in my dataset from IB and
> when I save my data to file I see a data file for the weekend day -
> e.g. 4/1/2012 - but when I retrieve the data using getSymbols the
> weekend data is ignored.
>
> Is ignoring weekend data just a design issue in getSymbols and if so
> how do I get around it or is there another way I can load multiple rda
> files into one object.  I have tried to figure out a different way to
> load the data but am not finding any answers in the help archives or R
> books I have.
>
> Any help would be appreciated.
>
> Thanks,
> Mark
>
>
>
> My info and code examples are below:
>
> # Session Info
>
> R version 2.14.0 (2011-10-31)
> Platform: x86_64-pc-mingw32/x64 (64-bit)
>
> locale:
> [1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United
> States.1252
> [3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C
> [5] LC_TIME=English_United States.1252
>
> attached base packages:
> [1] datasets  grDevices utils     graphics  stats     methods   base
>
> other attached packages:
>  [1] blotter_0.8.4              fTrading_2110.77
> fBasics_2110.79
>  [4] MASS_7.3-16                timeSeries_2140.93
> timeDate_2150.95
>  [7] twsInstrument_1.3-1        IBrokers_0.9-3             qmao_1.1.6
> [10] FinancialInstrument_0.10.9 quantmod_0.3-17            TTR_0.21-0
> [13] Defaults_1.1-1             xts_0.8-4                  zoo_1.7-7
>
> loaded via a namespace (and not attached):
> [1] grid_2.14.0      lattice_0.20-3   quantstrat_0.6.1 tools_2.14.0
>
>
> # Hourly Data straight from IB for USDCHF
> 2012-03-30 14:00:00     0.902875     0.902950    0.902375      0.902725
> 2012-03-30 15:00:00     0.902725     0.902825    0.902225      0.902525
> 2012-04-01 16:15:00     0.901075     0.901275    0.900900      0.901175
> 2012-04-01 17:00:00     0.901175     0.901400    0.900375      0.900575
> 2012-04-01 18:00:00     0.900575     0.901475    0.900550      0.901400
>
> # Save above data to disk
> saveSymbols.days("USCHF", base_dir="~/Hour", extension='rda')
>
> # Load data from disk
> getSymbols.FI("USCHF", dir = "~/Hour"  )
>
> # Hourly Date retrieved from disk - note the data goes from 3/30 to
> 4/2 skipping 4/1
> 2012-03-30 14:00:00     0.902875     0.902950    0.902375      0.902725
> 2012-03-30 15:00:00     0.902725     0.902825    0.902225      0.902525
> 2012-04-02 00:00:00     0.902650     0.902875    0.901975      0.902875
> 2012-04-02 01:00:00     0.902875     0.903125    0.901600      0.902350
>
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