Dear All,
Please, just as the rugarch package is for univariate times series, what is the package for multvariate times series?
Regards
Papa



________________________________
Da: "r-sig-finance-request@r-project.org" <r-sig-finance-request@r-project.org>
A: r-sig-finance@r-project.org
Inviato: Martedė 13 Settembre 2011 12:00
Oggetto: R-SIG-Finance Digest, Vol 88, Issue 12

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Today's Topics:

   1. Re: RBLOOMBERG (R. Michael Weylandt)
   2. Blotter updatePortf function can't find historical    data in
      non global environment (Charlie Friedemann)
   3. Re: Blotter updatePortf function can't find historical data
      in non global environment (Brian G. Peterson)
   4. Re: Blotter updatePortf function can't find historical data
      in non global environment (G See)
   5. Re: Blotter updatePortf function can't find    historical data
      in non global environment (Charlie Friedemann)
   6. Handling reqRealTimeBars of IBrokers api when    connection is
      lost (maheshbp)


----------------------------------------------------------------------

Message: 1
Date: Mon, 12 Sep 2011 10:06:13 -0400
From: "R. Michael Weylandt" <michael.weylandt@gmail.com>
To: krisan haria <krisanharia@gmail.com>
Cc: r-sig-finance@r-project.org
Subject: Re: [R-SIG-Finance] RBLOOMBERG
Message-ID:
    <CAAmySGN5cJtCEoM-4U3ZW=4YH4325UH=4wmATMRkPY1N0D_t4Q@mail.gmail.com>
Content-Type: text/plain

You might try resending this message while actually including the error
message if you want a more substantial reply...

Michael Weylandt

On Mon, Sep 12, 2011 at 4:18 AM, krisan haria <krisanharia@gmail.com> wrote:

> Hi
>
> Basic Question
>
> I havev R .2.13.1. Im trying to use RBLOOMBERG for the first time.
>
> However, I get an error saying the following
>
>
>
> Any diea what is gonig wrong. To be clear this is the first time Im trying
> this.
>
>        [[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

    [[alternative HTML version deleted]]



------------------------------

Message: 2
Date: Mon, 12 Sep 2011 19:22:16 -0400
From: Charlie Friedemann <cfriedem@gmail.com>
To: r-sig-finance@r-project.org
Subject: [R-SIG-Finance] Blotter updatePortf function can't find
    historical    data in non global environment
Message-ID: <DB6188A3-1BD2-4B40-86AD-1D38B3C496FC@gmail.com>
Content-Type: text/plain; charset=US-ASCII; format=flowed; delsp=yes

Greetings,

I've been working with blotter the past couple days, and one thing  
I've noticed is that if one calls updatePortf on a portfolio object,  
it fails:

Error in get(Symbol, envir=as.environment(.GlobalEnv)) : Object 'SPY' 
not found.

I load my daily data in a separate environment using getSymbols, and  
I'm wondering if there is anyway to get blotter to change which  
environment it looks for historical price data in. traceback()  
indicates the call to updatePortf uses the getPrice function in  
quantmod and passes the .GlobalEnv to it.

I've tried adding the environment with the price data to the search  
path, however that did not work.

Does anyone know a way around this issue? I'd rather not have to keep  
[[elided Yahoo spam]]



------------------------------

Message: 3
Date: Mon, 12 Sep 2011 18:42:29 -0500
From: "Brian G. Peterson" <brian@braverock.com>
To: Charlie Friedemann <cfriedem@gmail.com>
Cc: r-sig-finance@r-project.org
Subject: Re: [R-SIG-Finance] Blotter updatePortf function can't find
    historical data in non global environment
Message-ID: <1315870949.4192.95.camel@brian-desktop>
Content-Type: text/plain; charset="UTF-8"

passing env='whateverEnvIuse" or env=.wheteverenvIuse doesn't work?

Please provide a reproducible example, per the posting guide.

  - Brian

On Mon, 2011-09-12 at 19:22 -0400, Charlie Friedemann wrote:
> Greetings,
> 
> I've been working with blotter the past couple days, and one thing  
> I've noticed is that if one calls updatePortf on a portfolio object,  
> it fails:
> 
> Error in get(Symbol, envir=as.environment(.GlobalEnv)) : Object 'SPY'  
> not found.
> 
> I load my daily data in a separate environment using getSymbols, and  
> I'm wondering if there is anyway to get blotter to change which  
> environment it looks for historical price data in. traceback()  
> indicates the call to updatePortf uses the getPrice function in  
> quantmod and passes the .GlobalEnv to it.
> 
> I've tried adding the environment with the price data to the search  
> path, however that did not work.
> 
> Does anyone know a way around this issue? I'd rather not have to keep 
[[elided Yahoo spam]]
> 
> _______________________________________________
> R-SIG-Finance@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock



------------------------------

Message: 4
Date: Mon, 12 Sep 2011 18:53:26 -0500
From: G See <gsee000@gmail.com>
To: "Brian G. Peterson" <brian@braverock.com>
Cc: r-sig-finance@r-project.org, Charlie Friedemann
    <cfriedem@gmail.com>
Subject: Re: [R-SIG-Finance] Blotter updatePortf function can't find
    historical data in non global environment
Message-ID:
    <CA+xi=qbeMfpu7sKyeL6p=09UYqYu1O2cMp_2ebmb0ZpomjQjPw@mail.gmail.com>
Content-Type: text/plain

the internal function .updatePosPL has these lines in it:

if(is.null(Prices)){
prices=getPrice(get(Symbol, envir=as.environment(.GlobalEnv)),...=...)
} else {
        prices=Prices
}

So, as it is written, you cannot pass an environment to it.  However, you
could utilize the "Prices" argument in your call to updatePortf which would
then pass those Prices into .updatePosPL

It would not be diffucult for us to add an "env" argument to both functions.

-Garrett



On Mon, Sep 12, 2011 at 6:42 PM, Brian G. Peterson <brian@braverock.com>wrote:

> passing env='whateverEnvIuse" or env=.wheteverenvIuse doesn't work?
>
> Please provide a reproducible example, per the posting guide.
>
>  - Brian
>
> On Mon, 2011-09-12 at 19:22 -0400, Charlie Friedemann wrote:
> > Greetings,
> >
> > I've been working with blotter the past couple days, and one thing
> > I've noticed is that if one calls updatePortf on a portfolio object,
> > it fails:
> >
> > Error in get(Symbol, envir=as.environment(.GlobalEnv)) : Object 'SPY'
> > not found.
> >
> > I load my daily data in a separate environment using getSymbols, and
> > I'm wondering if there is anyway to get blotter to change which
> > environment it looks for historical price data in. traceback()
> > indicates the call to updatePortf uses the getPrice function in
> > quantmod and passes the .GlobalEnv to it.
> >
> > I've tried adding the environment with the price data to the search
> > path, however that did not work.
> >
> > Does anyone know a way around this issue? I'd rather not have to keep
[[elided Yahoo spam]]
> >
> > _______________________________________________
> > R-SIG-Finance@r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R questions
> should go.
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
> _______________________________________________
> R-SIG-Finance@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

    [[alternative HTML version deleted]]



------------------------------

Message: 5
Date: Tue, 13 Sep 2011 00:32:47 -0400
From: Charlie Friedemann <cfriedem@gmail.com>
To: G See <gsee000@gmail.com>
Cc: r-sig-finance@r-project.org, "Brian G. Peterson"
    <brian@braverock.com>
Subject: Re: [R-SIG-Finance] Blotter updatePortf function can't find
    historical data in non global environment
Message-ID: <45456D28-73A1-424A-A86C-EA3E44194132@gmail.com>
Content-Type: text/plain

I can't believe I missed the Prices argument, passing a merged xts  
object of all the prices I cared about via worked like a charm.

I suppose it would be slightly less effort if there was an env  
argument to both functions, so if it's possible that could make it  
[[elided Yahoo spam]]

Charlie

On Sep 12, 2011, at 7:53 PM, G See wrote:

>
> the internal function .updatePosPL has these lines in it:
>
> if(is.null(Prices)){
>     prices=getPrice(get(Symbol,  
> envir=as.environment(.GlobalEnv)),...=...)
> } else {
>         prices=Prices
> }
>
> So, as it is written, you cannot pass an environment to it.  
> However, you could utilize the "Prices" argument in your call to  
> updatePortf which would then pass those Prices into .updatePosPL
>
> It would not be diffucult for us to add an "env" argument to both  
> functions.
>
> -Garrett
>
>
>
> On Mon, Sep 12, 2011 at 6:42 PM, Brian G. Peterson <brian@braverock.com 
> > wrote:
> passing env='whateverEnvIuse" or env=.wheteverenvIuse doesn't work?
>
> Please provide a reproducible example, per the posting guide.
>
>  - Brian
>
> On Mon, 2011-09-12 at 19:22 -0400, Charlie Friedemann wrote:
> > Greetings,
> >
> > I've been working with blotter the past couple days, and one thing
> > I've noticed is that if one calls updatePortf on a portfolio object,
> > it fails:
> >
> > Error in get(Symbol, envir=as.environment(.GlobalEnv)) : Object  
> 'SPY'
> > not found.
> >
> > I load my daily data in a separate environment using getSymbols, and
> > I'm wondering if there is anyway to get blotter to change which
> > environment it looks for historical price data in. traceback()
> > indicates the call to updatePortf uses the getPrice function in
> > quantmod and passes the .GlobalEnv to it.
> >
> > I've tried adding the environment with the price data to the search
> > path, however that did not work.
> >
> > Does anyone know a way around this issue? I'd rather not have to  
> keep
[[elided Yahoo spam]]
> >
> > _______________________________________________
> > R-SIG-Finance@r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R  
> questions should go.
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
> _______________________________________________
> R-SIG-Finance@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R  
> questions should go.
>


    [[alternative HTML version deleted]]



------------------------------

Message: 6
Date: Tue, 13 Sep 2011 02:57:41 -0700 (PDT)
From: maheshbp <maheshbp2006@gmail.com>
To: r-sig-finance@r-project.org
Subject: [R-SIG-Finance] Handling reqRealTimeBars of IBrokers api when
    connection is lost
Message-ID: <1315907861840-3809630.post@n4.nabble.com>
Content-Type: text/plain; charset=us-ascii

Hello All,

I am using reqRealtimeBars with an eWrapper to create 30 min OHLC bars.
ibwrapper<-eWrapper(NULL)
ibwrapper$realtimeBars <-ibrealtimebars
reqRealTimeBars(tws, contractlist,event=ibwrapper)//contract list is a list
of contracts.
> ibrealtimebars
function(curMsg, msg, timestamp, file,...){
id <- as.numeric(msg[2])
xtstest<-.xts(matrix(rep(NA_real_,4), nc = 4),0)
attr(xtstest, "index") <- as.numeric(msg[3])
xtstest[1, 1:4] <- as.numeric(msg[4:7])
ibRdata[[id]]<<-rbind(ibRdata[[id]],xtstest)
}

ibRdata will contain collected real time data (5 sec OHLC) and then rolled
into 30 min OHLC using to.minutes30 function from xts.

My concern is how to handle a situation when connection to IB is lost and
regained after a couple of secs or mins. IB doesn't to push all messages
(back log) since the time the connection was lost. 
Attempts to start 'reqHistoricalData' & 'reqRealTimeBars' at the same time
in order to ensure that ibRdata will be filled with data lost during the 'no
connection' time, results in 'Historical data request pacing violation'  on
both the functions.

Any suggestions on how to back fill real time data in situations when
connection is lost and regained ?

Thanks,
Mahesh

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