[R-SIG-Finance] GetSymbols & Weekend Data

[G See]

BTW, this syntax is probably preferable:

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

On Tue, Apr 3, 2012 at 3:42 PM, G See <gsee000 at gmail.com> wrote:
> 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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