get_data: Tools for Getting and Working with Data

In qrmtools: Tools for Quantitative Risk Management

Tools for Getting and Working with Data

Description

Download (and possibly) merge data from freely available databases.

Usage

get_data(x, from = NULL, to = NULL,
         src = c("yahoo", "quandl", "oanda", "FRED", "google"),
         FUN = NULL, verbose = TRUE, warn = TRUE, ...)

Arguments

x	vector of ticker symbols (e.g. "^GSPC" if src = "yahoo" or "EUR/USD" if src = "oanda").
from	start date as a Date object or character string (in international date format "yyyy-mm-dd"); if NULL, the earliest date with available data is picked.
to	end date as a Date object or character string (in international date format "yyyy-mm-dd"); if NULL, the last date with available data is picked.
src	character string specifying the data source (e.g. "yahoo" for stocks or "oanda" for FX data); see getSymbols() and Quandl().
FUN	function to be applied to the data before being returned. This can be the identity: if the data could not be retrieved (and is thus replaced by NA); the given FUN: if FUN has been provided; a useful default: if FUN = NULL; the default uses the adjusted close price Ad() if src = "yahoo", the close price Cl() if src = "google" and the identity otherwise.
verbose	logical indicating whether progress monitoring should be done.
warn	logical indicating whether a warning is given showing the error message when fetching x fails.
...	additional arguments passed to the underlying getSymbols() from quantmod or Quandl() from Quandl (if src = "quandl").

Details

FUN is typically one of quantmod's Op, Hi, Lo, Cl, Vo, Ad or one of the combined functions OpCl, ClCl, HiCl, LoCl, LoHi, OpHi, OpLo, OpOp.

Value

xts object containing the data with column name(s) adjusted to be the ticker symbol (in case lengths match; otherwise the column names are not adjusted); NA if data is not available.

Author(s)

Marius Hofert

Examples

## Not run: 
## Note: This needs a working internet connection
## Get stock and volatility data (for all available trading days)
dat <- get_data(c("^GSPC", "^VIX")) # note: this needs a working internet connection
## Plot them (Alternative: plot.xts() from xtsExtra)
library(zoo)
plot.zoo(dat, screens = 1, main = "", xlab = "Trading day", ylab = "Value")

## End(Not run)

qrmtools documentation built on May 29, 2024, 9:35 a.m.