In yunching/tidymas: A collection of RMD utilities

knitr::opts_chunk$set(echo = TRUE)
library(tidyverse)
library(magrittr)
library(lubridate)
library(DT)
library(Rblpapi)

blpConnect()

getData <- function(ticker){
  Rblpapi::bdh(ticker, c("PX_LAST"), start.date = Sys.Date()-365)
}

getBarData <- function(ticker){
  #Get 3 days worth of data, starting at 9am
  my_data <- getBars(ticker, startTime = ymd(Sys.Date() - 3) + hm("8, 0"), endTime = ymd(Sys.Date()) + hm("8, 0"))  
  my_data %<>% 
    select(date = times, PX_LAST =  close) %>%
    filter(PX_LAST != 0) %>%
    as_tibble()

  my_data
}

chart_subtitle <- function(data){
  paste("Last done: ", format(data$PX_LAST[length(data$PX_LAST)], big.mark = ","),
        " Change: ", format(round(data$PX_LAST[length(data$PX_LAST)] - data$PX_LAST[length(data$PX_LAST) - 1], 3), big.mark = ","),
        " Low: ", format(min(data$PX_LAST), big.mark = ","),
        " High: ", format(max(data$PX_LAST), big.mark = ",")
        )
}

ggNTS <- function(ticker, title = ticker){
  #Get normal (non-intraday) time series
  data <- getData(ticker = ticker)

  ggplot2::ggplot(data, ggplot2::aes(x = date, y = PX_LAST)) +
    ggplot2::geom_line(colour = "navyblue") +
    ggplot2::labs(title = title, subtitle = chart_subtitle(data = data), y = "Price", x = "Date")

}

ggITS <- function(ticker, title = ticker){
  #Get intraday time series
  data <- getBarData(ticker = ticker)

  ggplot2::ggplot(data, ggplot2::aes(x = date, y = PX_LAST)) +
    ggplot2::geom_line(colour = "navyblue") +
    ggplot2::labs(title = title, subtitle = chart_subtitle(data = data), y = "Price", x = "Date")

}

ggTS <- function(ticker, title = ticker){
  #normal_chart <- ggNTS(ticker, title = title)
  ggNTS(ticker, title = title)
  #intraday_chart <- ggITS(ticker, title = title)

  #gridExtra::grid.arrange(normal_chart, intraday_chart,
                          # layout_matrix = matrix(c(1, 1, 2), ncol = 3))
}

get_country_rates <- function(country_code, country_name){
  tenors <- c("2Y", "5Y", "10Y", "30Y")
  bbg_ticker_list <- paste0("CT", country_code, tenors, " Corp")
  yields <- bdp(bbg_ticker_list, fields = "YLD_YTM_MID")
  rownames(yields) <- tenors
  colnames(yields) <- country_name

  yields
}

Rates

eur_yields <- cbind(get_country_rates("DEM", "Germany"),
                    get_country_rates("GBP", "United Kingdom"),
                    get_country_rates("FRF", "France"),
                    get_country_rates("ESP", "Spain"),
                    get_country_rates("ITL", "Italy"),
                    get_country_rates("PTE", "Portugal")
                    ) %>% 
  format(digits = 3, big.mark = ",")

key_tenors <- c("2Y", "5Y", "10Y", "30Y")
#Change factor order to change order in chart
country_factors <- rev(c("Germany", "France", "United Kingdom", "Spain",  "Italy", "Portugal"))

eur_yields %>% 
  rownames_to_column("Tenor") %>% 
  gather("Country", "Yield", -Tenor) %>% 
  select(Country, Tenor, Yield) %>% 
  mutate(Country = factor(Country, levels = country_factors), Tenor = factor(Tenor, levels = key_tenors), Yield = as.numeric(Yield)) %>% 
  ggplot(aes(x = Tenor, y = Country, fill = Yield)) + geom_tile() + geom_text(aes(label = Yield)) + 
  scale_fill_gradient2(low = "red", mid = "white", high = "green")

ggTS("GTDEM10Y Govt", title = "German Govt 10Y")
ggTS("DEYC2Y10 Index", title = "German Sell 2Y Buy 10Y")
ggTS("DEYC1030 Index", title = "German Sell 10Y Buy 30Y")
ggTS("GTGBP10Y Govt", title = "UK Govt 10Y")

FX

ggTS("EURUSD Curncy")
ggTS("GBPUSD Curncy")
ggTS("GBPEUR Curncy")
ggTS("DXY Index", title = "US Dollar Index")
ggTS("USDJPY Curncy")

Equities

All charts are price return (instead of total returns).

ggTS("SPX Index")
ggTS("INDU Index", title = "Dow Jones Industrial Average")
ggTS("CCMP Index", title = "NASDAQ Composite Index")
ggTS("SX5E Index", title = "EuroStoxx 50")
ggTS("E300 Index", title = "EuroFirst 300")
ggTS("UKX Index", title = "FTSE 100")
ggTS("ASX Index", title = "FTSE All-Share")
ggTS("NKY Index", title = "Nikkei 225")
ggTS("HSI Index")

Commodities

ggTS("XAU Curncy", title = "Spot Gold")
ggTS("CO1 Comdty", title = "Brent generic 1st contract")
ggTS("HG1 Comdty", title = "Copper generic 1st contract")
ggTS("LN1 Comdty", title = "Nickel generic 1st contract")
ggTS("XBTUSD COIN Curncy", title = "BitCoin")