Quantmod save tickers to files in a loop or lapply

问题

I am stuck with a minor quantmod problem; if anyone can suggest a tweak to my code, I’d really appreciate that. I don’t know progamming as such; maybe that’s why I miss the obvious. The problem is arising because getSymbols takes a string as input (e.g. "YHOO"), but returns just YHOO (without quotes) as the xts object which holds the data. Also, for market indices, Yahoo includes a caret in the string for the code (e.g. "^GSPC"), but quantmod returns plain GSPC as the data object.

I am trying to download and save to individual binary files the data of multiple tickers. This is so as to create a work environment which can function from data stored on disk, instead of requiring internet access necessarily.

I tried writing the function:

buildhist <- function(x,start,end) {
  getSymbols(x, from=start, to=end, adjust=TRUE)   
  save(get(x), file= paste(x, "hist.rda", sep="_"), ascii = FALSE)  
}

Then use

require(quantmod)
tckr <- c("YHOO","XLB")
lapply(tckr,buildhist,start="1995-01-01",end="2011-11-30")

But, it errors out at the save command (saying "object ‘get(x)’ not found"). If I don’t use get(x), the save command will only save the ticker name as string, so I can’t use that. No other version such as save(noquote(x), file=paste(x, "hist.rda", sep="_"), ascii=FALSE) works either.

What command should I use so that the ticker data will be saved using the same object name as it is originally returned by quantmod? In my code above I haven’t even tried to tackle the other problem – that of stripping the caret sign from the name if it exists. Any pointers to that would be much appreciated too.

回答1:

UPDATE: The solution below doesn't solve the OP's problem (see comments). See the edit after the jump.

The default of auto.assign=TRUE is supposed to make things easier when using getSymbols interactively. Set auto.assign=FALSE when using getSymbols in a function; it will make things much easier.

buildhist <- function(x,start,end) {
  y <- getSymbols(x, from=start, to=end, adjust=TRUE, auto.assign=FALSE)
  save(y, file= paste(x, "hist.rda", sep="_"), ascii = FALSE)  
}

You can remove punctuation characters (including the caret) via gsub. See ?gsub and ?regex for details.

X <- gsub("[[:punct:]]","",x)  # remove all punctuation
X <- gsub("\\^","",x)          # remove just the carat

I didn't test my initial answer. This solution should work.

buildhist <- function(x,start,end) {
  getSymbols(x, from=start, to=end, adjust=TRUE)
  X <- toupper(gsub("\\^","",x))  # what getSymbols.yahoo does
  save(list=X, file= paste(X, "hist.rda", sep="_"), ascii = FALSE)  
}

require(quantmod)
tckr <- c("^GSPC","YHOO","XLB")
lapply(tckr,buildhist,start="1995-01-01",end="2011-11-30")

If you're only using daily data on a small number of symbols, you may be able to load them all to one environment and just save the environment. That could save you a lot of trouble. Then you could load the environment to a new session, attach it, and have all the data at your fingers.

myEnv <- new.env()
getSymbols(paste(tckr,sep=";"), start="1995-01-01", end="2011-11-30",
  env=myEnv, adjust=TRUE)
save(myEnv, file="myTickerData.rda")

回答2:

Can you verify your getSymbols call succeeded by doing something like summary(YHOO) ? You definitely do not want to write (save(get(x)) because there is no object named "get(x)".

I suspect your problem is related to proper use of lapply . This works:

foo <- 5
oof <- 4
bar<-c("foo","oof")
lapply(lapply(bar,get),sqrt)

(where of course you'd be using buildhist not sqrt)

回答3:

In below, SymbolList is a vector that has the symbols. i.e.

SymbolList <- c("IBM","GOOG","YHOO")

Get the historical data for these using getSymbols

getSymbols(SymbolList)

define a function and use the do.call,

fun <- function(i) {return(adjustOHLC(get(SymbolList[i]),adjust = "split", use.Adjusted=TRUE))}
mydata <- do.call(merge, lapply(1:length(SymbolList), fun))

this will give you the data merged, couple other things you could use, i.e. if you want only the closing values and adjust for the splits.

 fun <- function(i) {return(Cl(adjustOHLC(get(SymbolList[i]),adjust = "split", use.Adjusted=TRUE)))}

you may want to cast into a data frame as well.

mydata<-as.data.frame(mydata)

from there you could write this to a csv file.

来源：https://stackoverflow.com/questions/8562197/quantmod-save-tickers-to-files-in-a-loop-or-lapply

标签

quantmod