Description Usage Arguments Value Note Author(s) Examples
get factors throug a SQL qurey from a database
1 | TS.getFactor.db(TS, subfun, ...)
|
TS |
a TS object |
subfun |
a function object,which get the factors of a subset of TS from the database. |
... |
other parametres of subfun |
A TSF object
Note that the subfun must contain subset of TS as the first argument. and the subset must be a subset of TS on a certain "date".
Ruifei.Yin
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | TS <- getTS(getRebDates(as.Date('2011-03-17'),as.Date('2012-04-17')),'EI000300')
subfun <- function(subTS,con_type){ # con_type indicate the consensus type
dt <- subTS[1,"date"]
qr_char <- paste("SELECT stock_code,con_date,con_type,c80
FROM CON_FORECAST_STK a
where a.con_date=",QT(dt),"and year(a.con_date)=a.rpt_date and a.stock_type=1 and con_type=",con_type,"and a.rpt_type=4")
tmpdat <- queryAndClose.odbc(db.cs(),qr_char,as.is=1)
subTS$stock_code <- stockID2tradeCode(subTS$stockID)
re <- merge(subTS,tmpdat,by="stock_code",all.x=TRUE)
re <- re[,c(names(TS),"c80")]
re <- renameCol(re,"c80","factorscore")
return(re)
}
TSF <- TS.getFactor.db(TS,subfun,con_type=1)
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