loadIndices = function(idxNames = "SPTR"){
# require(RODBC)
# require(data.table)
# require(xts)
# require(PerformanceAnalytics)
idxFilter = "("
for (n in idxNames){
if (idxFilter == "("){
idxFilter = paste0(idxFilter, "'", n, "'")
} else {
idxFilter = paste0(idxFilter, ", '", n, "'")
}
}
idxFilter = paste0(idxFilter, ")")
cn = RODBC::odbcDriverConnect("driver={SQL Server}; server=HAT-SQL-01; database=Hatteras_Sandbox_Tools; trusted_connection=true")
sql = paste0("SELECT CAST(v.DateReported AS date) 'DateReported', v.Ticker, v.PX_LAST FROM v_Index_Px_Daily AS v WHERE v.Ticker IN ", idxFilter)
indices = data.table::dcast(data.table::data.table(RODBC::sqlQuery(cn, sql)), formula = DateReported ~ Ticker, fun.aggregate = mean, value.var = "PX_LAST")
indices$DateReported = as.Date.factor(indices$DateReported)
RODBC::odbcClose(cn)
return(data.table::as.xts.data.table(indices)[, idxNames])
}
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