NEWS.md

In tidyquant: Tidy Quantitative Financial Analysis

tidyquant 1.0.9

New Function:

• tq_fund_holdings(): Retrieves the fund holdings and compositions for a fund and source combination. Example: tq_fund_holdings("SPY", source = "SSGA") #250

Fixes and Improvements:

• Fixes to CRAN's API policy #249:

"Packages which use Internet resources should fail gracefully with an informative message if the resource is not available or has changed (and not give a check warning nor error)."

tidyquant 1.0.8

TQ INDEX AND EXCHANGE:

• tq_index("SP500"): Fixed broken API call (#246)
• tq_exchange("NASDAQ"): Fixed broken API call (#226, #248)

Breaking changes

• tidyquant no longer loads lubridate. (@olivroy, #237)

If you use tidyquant with tidyverse, there is no change for you.

• tidyquant no longer loads many packages on load.

Fixes

• tidyquant startup messages mimics the tidyverse messages for clarity. (@olivroy, #163, #116)
• Remove the dependency on tidyverse (@olivroy, #236)
• tidyquant no longer loads lubridate as tidyverse 2.0 now loads lubridate.
• Changed the size argument to linewidth for ggplot2 3.4.0
• Removed the last tidyr and dplyr deprecated functions.
• Add linewidth to geom_ma()
• Move Quandl, riingo, and alphavantager to Suggests. tidyquant will not explicitly install those, but you can install them from CRAN.
• Fixed CRAN package alias
• FB to META change in FANG
• geom_bbands(), geom_candlestick(), and geom_barchart() no longer emit dropped aesthetics warnings. (@olivroy, #235)

tidyquant 1.0.7

• Moved tidyverse from suggest to imports to pass cran tests

tidyquant 1.0.6

• Fix tq_performance test failure under PerformanceAnalytics 2.0.6 #223
• Fix failed r-devel test identified by CRAN
• Remove deprecated spread_() function
• Move readxl to imports. #222

tidyquant 1.0.5

• FIX: FB to META name change
• IMPROVEMENT: sp_index() to convert symbols from "BRK.B" to "BRK-B" to work with Yahoo Finance

tidyquant 1.0.4

CRAN requested fixes:

• Moved janitor to suggests
• Reduced file size by removing vignettes from CRAN version.

Other changes:

• Removed the package start-up message

tidyquant 1.0.3

Fixes

• tq_exchange(): Switch to new NASDAQ website.

tidyquant 1.0.2

Fixes

• tq_exchange(): Fix issue with NASDAQ changes to website.
• theme_tq(): Fix issues with %+replace%, theme_gray, and rel not found.

tidyquant 1.0.1

Improvements

• tq_get() - Add "dividends" and "splits" get options, which have been fixed in quantmod 0.4-16. Issue 150.

Bug Fixes

• Issue 157 - Error on package load with rstudioapi::getThemeInfo() returns NULL.
• pivot_table - Fix issues with tidyverse functions not being found.

Deprecation

• summarise_by_time() - This function has moved to timetk::summarise_by_time()

tidyquant 1.0.0

This is the "R for Excel Users" release. My aim is to build functionality that helps users coming from an Excel Background (background I came from). It's important to have these users feel at home. I have a full suite of functionality to accomplish your Excel-to-R transition.

-Matt

• Excel Functions

  • Why Excel functions? Designed to help users coming from an Excel Background more easily transition to the tidyverse and "tidy- finance / business analysis" in R.

  • Pivot Table

    • pivot_table() - A tidyverse-style function to perform data summarizations just like the popular Excel Pivot Table. Enables stacking calculations using a tidy-esque syntax: .rows = ~ YEAR(order_date).

  • Reference Functions

    • VLOOKUP() - Performs the classic Excel VLOOKUP. Excel user's: rejoice.

  • Summarising "IFS" Functions

    • Summarising "IFS" Functions - Filtering versions of Excel summarization counterparts. Simply add "cases" that filter if a condition is true. SUM_IFS(), COUNT_IFS(), AVERAGE_IFS()
    • Create your own "IFS" functions - Have and idea for a new "IFS" function that hasn't been made yet? Use CREATE_IFS() to make your own by supplying a summarization function.

  • Statistical, Date, and Financial Math Functions

    • 100+ Excel-based statistical, date, and financial math functions. Names are similar to Excel function names. By default, missing values are ignored (same as in Excel).
    • Summarizations Functions - SUM(), AVERAGE(), COUNT(), and friends.
    • Transformation Functions - CHANGE(), PCT_CHANGE(), LAG(), CUMULATIVE_SUM(), and friends.
    • Date and Date Time Functions
      • Integrated date calculations with lubridate() (e.g. AS_DATE(), YEAR())
      • Holidays and business calendars with timeDate (e.g. HOLIDAY_SEQUENCE(), HOLIDAY_LIST())
      • Excel Date Math functions: NET_WORKDAYS(), EOMONTH()
    • Financial Math Functions - NPV(), IRR(), FV(), PV(), PMT(), RATE()

• NEW tidyverse Functionality

  • summarise_by_time() - This is a new time-based variant of summarise() that allows collapsing the time-series by "day", "week", "month", "quarter", "year", and more.
  • Note: I will evaluate the need for summarise_at_by_time(), summarise_all_by_time(), and summarise_if_by_time() after the release of dplyr v1.0.0.

• NEW API Integrations

  • Tiingo API - A popular Open-Source for stock prices, cryptocurrencies, and intraday feeds from the IEX (Investors Exchange). This can serve as an alternate source of data to Yahoo Finance. Integrated via the riingo package.

• Bug Fixes & Improvements

  • theme_tq() - Fix issues with collisions with dials::margin() and ggplot2::margin(). Similar potential ggplot2 collisions have been fixed.
  • theme_tq() - Increased default top/bottom text margin on facet strips

• Deprecation & Breaking Changes

  • Potential Breaking Change - Single values now return the symbol column (i.e. tq_get("AAPL") returns symbol = "AAPL" for the 1st column).
  • Deprecated Sources: The following sources have been deprecated due to lack of support from the API:
    • Google Finance
    • Morningstar Key Ratios & Financials (Fundamentals) Data
    • Yahoo Dividends and Splits
    • Oanda FX and Metal Prices
  • Deprecated Compound Getters - Stacking multiple get options (tq_get("AAPL", get = c("stock.prices", "stock.prices.japan"))) is no longer available. Solution: Split these up into two calls to tq_get().

tidyquant 0.5.10

• tq_get() - Temporarily adjust tests for tq_get(get = "dividends") and tq_get(get = "splits") until API is stabilizes. Yahoo! Dividends and Splits intermittently returns errors.
• Fix documentation warnings during package build checks. Documentation moved from tq_stocklist to ?tq_index.

tidyquant 0.5.9

• tq_index()
  • Fix issue #144 - tq_index() download issue. Note that "RUSSEL1000", "RUSSELL2000", "RUSSELL3000", and "SP1000" are no longer available due to changes from www.us.spdrs.com.
  • Update Stock Index Fallback.

tidyquant 0.5.8

• tq_index() - Fix naming issue with stock index data downloaded from www.us.spdrs.com.

tidyquant 0.5.7

Stock Index & Exchanges

• tq_exchange() - Fix NASDAQ URL change Issue #138.

Visualizations & Color Palettes

• geom_candlestick and geom_barchart - Issue #112.
• Added color names of theme_tq palettes (palette_light, palette_dark, and palette_green) for easier identification.

Compatibility with tidyr v1.0.0

• Improvements to ensure compatibility with tidyr v1.0.0

[Potential Breaking Change] Move tidyverse to suggests

• This is actually potentially a "breaking change" (although most users will see no difference since you likely load tidyverse in your scripts) - if you do not load tidyverse, then you will now need to do so. Previously tidyquant loaded tidyverse behind the scenes.

tidyquant 0.5.6

• Morningstar Key Ratios: The tq_get() argument get = "key.ratios" has been deprecated due to a change in Morningstar's website. (Help Wanted - Ref. Issue #125)

• Remove dependency on XLConnect. Replace with readxl. Issue #119.

tidyquant 0.5.5

• Bux fix

  • tq_get() get = "financials" now returns a warning and NA as Google Finance no longer provides data. We are actively looking for alternative data sources.

  • tq_get() get = "stock.prices.google" now returns a warning and NA as Google Finance no longer provides data. Use get = "stock.prices" instead to use Yahoo Finance, or use the riingo package to download from Tiingo.

  • Catch duplicate names in col_rename when you are renaming more than 1 column. Duplicate names are not allowed and return an error.

  • Fix duplicate name collision issue when the original name already includes a .. Duplicate names now get a ..1, ..2, etc. as opposed to .1, .2.

tidyquant 0.5.4

• Features:

  • Incorporate alphavantager, a lightweight API to the Alpha Vantage financial data provider.
  • Integrate Rblpapi, R interface to "Bloomberg". You must have a Bloomberg account to use this.
  • Add Google Finance as a source in tq_get(get = "stock.prices.google")

• Important Changes:

  • Remove Key Statistics from tq_get(get = "key.stats"). Yahoo Finance no longer supports the Key Statistics CSV API.
  • Completed deprecation of tidyquant::as_tibble() and tidyquant::as_xts(). Use timetk::tk_tbl() and timetk::tk_xts() instead.
  • tibbletime support was added so that all tidyquant functions play nicely with tbl_time objects.
  • A hard dependency on XLConnect was removed. This should ease the use of the package, especially for Mac users.

• Bug Fixes:

  • Some tests failed with testthat 2.0. They have been updated.

tidyquant 0.5.3

• Fixes for compatibility with purrr v0.2.3.

tidyquant 0.5.2

• Incorporated more robust timetk coercion functions. Deprecated tidyquant::as_xts() and tidyquant::as_tibble(). Use timetk::tk_xts() and timetk::tk_tbl() instead.
• Fixes:
  • tq_index() no longer pulls from marketvolume. Instead, 9 indices are available from SPDR. These indices are more reliable, and include weights for each stock in the index.
  • Fixed 2 tests where the results of tq_get(get = "stock.prices") were 1 or 2 rows off of what the tests expected. This likely has to do with the new yahoo finance API.

tidyquant 0.5.1

• Improvements

  • Added pkgdown integration.

• Fixes:

  • Require new quantmod version 0.4-8 to fix Oanda and Yahoo bugs.
  • Quandl data returned newest to oldest. For consistency with other tq_get() data, it now returns oldest to newest.
  • Oanda only returns 180 days of FX and Metals data now. Updated the tests to account for this. Also added error handling to check for valid date ranges.
  • Fixed bug with tq_portfolio() where weights = NULL would not execute an equal weighting scheme.
  • Added error handling during dollar and percent conversion for get = "key.ratios" and get = "key.stats".

tidyquant 0.5.0

• New Data:

  • Quandl Integration:
    • tq_get(get = "quandl") is a wrapper for Quandl::Quandl() that pulls multiple Quandl Codes in a "tidy" fashion.
    • tq_get(get = "quandl.datatable") is a wrapper for Quandl::Quandl.datable() that pulls Quandl datatables.
    • quandl_api_key() is a wrapper for Quandl::Quandl.api_key().
    • quandl_search is a wrapper for Quandl::Quandl.search().
  • Yahoo Japan Integration: tq_get(get = "stock.prices.japan") is a wrapper for quantmod::getSymbols(src = "yahooj") that enables getting stocks from Yahoo Finance Japan.

• Improvements and Fixes:

  • tq_mutate() and tq_transmute() now accept non-OHLC data through the select argument. They also now work with rollapply.
  • tq_mutate() and tq_transmute() now accept PerformanceAnalytics functions that work to clean and transform asset returns.
  • Deprecated the ohlc_fun argument to instead use select in tq_mutate() and tq_transmute
  • .Deprecated -> .Defunct for tq_transform() and tq_transform_xy(). Use tq_transmute() and tq_transmute_xy(). Move the sign post functions to deprecated.R
  • Remove the previously deprecated argument, transform_fun from tq_transmute(). Use mutate_fun instead.
  • Fix issue with tq_mutate returning rows incorrectly sorted
  • Fix issue with tq_get returning data frames as nested
  • Fix tq_get error to return full error when issues are present.

tidyquant 0.4.0

• New Features:
  • tq_transmute() replaces tq_transform() for consistency with dplyr.
  • tq_performance() which integrates the performance analysis functions of PerformanceAnalytics.
  • tq_portfolio() which enables aggregating portfolios from individual stock returns.
  • tq_tranform(): Added the NA-handling functions from zoo to the list of compatible, which provide a number of useful methods for handling NA values in data sets. Added Return.calculate and Return.excess for calculating returns and returns in excess of the risk-free rate, respectively.
• Documentation:
  • tq_mutate() and tq_transmute() help pages have been combined.
  • Split introduction into four separate vignettes, which improves flow and enables readers to more easily get to needed documentation. Now five docs total covering the primary needs of tidyquant users!
• New data:
  • tq_exchange() gets the stock list for NASDAQ, NYSE, and AMEX exchanges. Use tq_exchange_options() to exchange options.
  • FANG data set
• New visualizations that integrate with ggplot2:
  • palette_() functions used to create scales are exported.
  • theme_tq() creates light, dark, and green themes for tidyquant visualizations.
  • scale_color_tq() and scale_fill_tq() add color/fill scales for the data used in tidyquant visualizations.
• Improvements and Fixes:
  • The transform_fun argument of tq_transmute() has been replaced with mutate_fun for consistency with tq_mutate().
  • Core functions are now generics to allow for extendability.
  • Issue #11: Part 2. Fix multiple stocks that only return 110 lines. Handle stocks that return csv with "We're sorry" message.
  • Issue #11: Part 1. Fix instability with get = key.ratios failing with HTTP 500 error on download. Use httr RETRY in case of failure.
  • Fixed issue with get = "key.ratios" where stocks listed on AMEX exchange were not able to return key ratios.
  • Issue #9: Fix problem with get = "key.stats" where NA's in multiple x (e.g. c("AAPL", "GOOG")) cause call to fail during coercion.
  • Issue #8, Part 2: Enable compound gets (e.g. tq_get("AAPL", get = c("stock.prices", "financials"))).
  • Issue #8, Part 1: Create tq_index() function to return a stock index. tq_get(get = "stock.index") is deprecated and will be removed during the next version after 0.4.0. Use tq_index_options() for index options.
  • Issue #7: Fixed issue with date column inadvertently being coerced to dttm.

tidyquant 0.3.0

• New data:
  • New tq_get option get = "key.stats", which retrieves the current key statistics (55 total) from www.finance.yahoo.com/. These include various current data such as Ask, Bid, Day's High, Day's Low, Last Trade Price, current P/E Ratio, EPS, Current Market Cap, EPS Projected Current Year, EPS Projected Next Year and many more. Example: tq_get("AAPL", get = "key.stats").
• New visualizations that integrate with ggplot2:
  • Chart geoms: Bar charts (geom_barchart) and candlestick charts (geom_candlestick) can be quickly created with the new geoms.
  • Moving Averages: Seven moving averages can be quickly visualized / prototyped using geom_ma. The geom wraps the TTR::SMA functions.
  • Bollinger bands can be visualized with geom_bbands. The same seven moving averages are compatible with the geom.
  • Zooming Into Chart Sections: Two functions (coord_x_date and coord_x_datetime) were added to enable zooming into chart sections using dates with no out-of-bounds data loss (e.g. out-of-bounds data loss with the scale_x_ functions).
• New Vignette: Covers "Charting with tidyquant".
• Fixes:
  • Issue #5: tq_get can now accept character vectors and data frames for the x arg, in addition to a single character input. This streamlines the getting of data for multiple inputs (e.g. stock symbols, stock indexes, etc).
  • Issue #4: Added col_rename arg to tq_mutate and tq_transform, which enables fast and easy renaming during the operation.
  • Issue #3: Integrated dplyr::group_by() with tq_mutate() and tq_transform(). The transform and mutate functions now work properly with grouped data frames.
  • Issue #2: Fixed bug with tq_get(), get = "key.ratios", where key ratios for stocks from the NYSE returned NA.
• Removed support for deprecated arguments: x_fun, .x, and .y in the respective transform and mutate functions.

tidyquant 0.2.0

• New get = "key.ratios" option for tq_get(), which retrieves 10-years of key performance ratios (89 total) from www.morningstar.com. These include various historical measures of financial performance including profitability, growth, cash flow, financial health, efficiency, and valuation ratios. Example: tq_get("AAPL", get = "key.ratios").
• Added zoo rollapply() functions to list of compatible / integrated functions used with tq_transform() and tq_mutate(). See tq_transform_fun_options() for the full list.
• Changed tq_mutate(), tq_transform(), tq_mutate_xy() and tq_transform_xy() arguments to be more obvious:
  • x_fun is now ohlc_fun for tq_mutate() and tq_transform()
  • .x is now x and .y is now y for tq_mutate_xy() and tq_transform_xy()
• Fixed duplication of column names during tq_mutate. Names are now sequentially indexed with duplicate names starting at .1 suffix.

tidyquant 0.1.0

• Initial release of tidyquant, for seamless quantitative financial analysis (xts, quantmod, TTR) package integration with the tidyverse.

tidyquant documentation built on Sept. 11, 2024, 7:29 p.m.