[R-SIG-Finance] GetSymbols & Weekend Data

[Mark Harrison]

Thanks Garrett..I will try that.

On Tue, Apr 3, 2012 at 3:46 PM, G See <gsee000 at gmail.com> wrote:
> 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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