R/get_data.R

In bczekanski/project7:

get_data <- function () {
  library(ws.data)
  data(secref)
  data(yearly)
  data(daily.1998)
  data(daily.1999)
  data(daily.2000)
  data(daily.2001)
  data(daily.2002)
  data(daily.2003)
  data(daily.2004)
  data(daily.2005)
  data(daily.2006)
  data(daily.2007)

  all_daily <-
    rbind(
      daily.1998,
      daily.1999,
      daily.2000,
      daily.2001,
      daily.2002,
      daily.2003,
      daily.2004,
      daily.2005,
      daily.2006,
      daily.2007) %>%
    mutate(year = as.numeric(format(v.date,'%Y')))

  daily_yearly <- left_join(all_daily, yearly, by = c("id", "year", "symbol"))

  all_ws.data <- left_join(daily_yearly, secref, by = c("id", "symbol"))

  cleaned_data <- all_ws.data %>%
    group_by(symbol) %>%
    filter(m.ind != "REITS", tret <= .5)

  # Need to filter out the stocks with mins less than $1
  # in order to be fair, must do it w knowledge at the time
  # put filter in late
}