README.md

In algoquant/rutils: Utility Functions for Simplifying Financial Data Management and Modeling

Utility functions for simplifying financial data management and modeling

The rutils package contains functions for:

• extracting names and columns from time series,

• calculating the end points of a time series,

• applying lags to vectors and matrices,

• calculating row differences of vectors and matrices,

• recursively binding a list of objects into time series,

• recursively applying a function to a list of objects,

• plotting time series with custom axis range and background shading.

The rutils package also includes a dataset with OHLC time series data for a portfolio of symbols. The data is contained in an environment called etf_env, which includes:

• sym_bols: a vector of strings with the portfolio symbols,

• individual time series VTI, VEU, etc., containing daily OHLC prices for all the sym_bols,

• price_s: a single xts time series containing daily closing prices for all the sym_bols,

• re_turns: a single xts time series containing daily returns for all the sym_bols.

Each individual xts time series contains the columns: Open prices, High prices, Low prices, Close prices, trading Volume, Adjusted prices.

========

Installation and loading

Install package rutils from github:

install.packages("devtools")
devtools::install_github(repo="algoquant/rutils")
library(rutils)

Install package rutils from source on local drive:

install.packages(pkgs="C:/Develop/R/rutils", repos=NULL, type="source")
# Install package from source on local drive using R CMD
R CMD INSTALL C:\Develop\R\rutils
library(rutils)

Build reference manual for package rutils from .Rd files:

system("R CMD Rd2pdf C:/Develop/R/rutils")
R CMD Rd2pdf C:\Develop\R\rutils

========

Data

The rutils package contains a dataset of daily OHLC time series in xts format, for a portfolio of stock symbols. The time series are contained in an environment called etf_env. The data is set up for lazy loading, so it doesn't require calling data(etf_data) to load it before being able to call it.

# get first six rows of OHLC prices
head(etf_env$VTI)
# plot
chart_Series(x=etf_env$VTI["2009-11"])

========

Examples

Extract the name of an OHLC time series from its first column name:

# get name for VTI
get_name(colnames(rutils::etf_env$VTI)[1])

Calculate a vector of equally spaced end points for a time series:

# calculate end points with initial stub interval
calc_endpoints(etf_env$VTI, inter_val=7, off_set=4)

Extract columns of prices from an OHLC time series:

# get close prices for VTI
get_col(etf_env$VTI)
# get volumes for VTI
get_col(etf_env$VTI, col_name="vol")

Apply a lag to a vector or matrix:

# lag vector by 2 periods
lag_it(1:10, lag=2)
# lag matrix by negative 2 periods
lag_it(matrix(1:10, ncol=2), lag=-2)

Calculate the row differences of a vector or matrix:

# diff vector by 2 periods
diff_it(1:10, lag=2)
# diff matrix by negative 2 periods
diff_it(matrix(1:10, ncol=2), lag=-2)

Calculate the time differences of an xts time series and pad with zeros:

# calculate time differences over lag by 10 periods
rutils::diff_xts(etf_env$VTI, lag=10)

Recursively rbind a list of objects:

# create xts time series
x_ts <- xts(x=rnorm(1000), order.by=(Sys.time()-3600*(1:1000)))
# split time series into daily list
list_xts <- split(x_ts, "days")
# rbind the list back into a time series and compare with the original
identical(x_ts, do_call_rbind(list_xts))

Recursively apply a function to a list of objects:

# create xts time series
x_ts <- xts(x=rnorm(1000), order.by=(Sys.time()-3600*(1:1000)))
# split time series into daily list
list_xts <- split(x_ts, "days")
# rbind the list back into a time series and compare with the original
identical(x_ts, do_call(rbind, list_xts))

Apply a function to a list of objects, merge the outputs into a single object, and assign the object to the output environment:

do_call_assign(
   func_tion=clo_se,
   sym_bols=etf_env$sym_bols,
   out_put="price_s",
   env_in=etf_env, env_out=new_env)

Plot an xts time series with custom y-axis range and with vertical background shading:

chart_xts(etf_env$VTI["2015-11"],
name="VTI in Nov 2015", ylim=c(102, 108),
in_dex=index(etf_env$VTI["2015-11"]) > as.Date("2015-11-18"))

algoquant/rutils documentation built on April 18, 2024, 12:05 a.m.