adjustIntraday.yahoo: Adjust intraday data for dividends and splits
In qmao: Quantmod Add-on

Description Usage Arguments Details Value Note Author(s) See Also

Alpha code! Subject to change in the near future! A daily adjustment ratio is calculated using dividend data that is downloaded from yahoo. The ratio is then applied to the data on an intraday basis.

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  adjustIntraday.yahoo(Symbols, adjustVolume = TRUE,
    env = .GlobalEnv, auto.assign = FALSE, store.to = env,
    verbose = TRUE)

`Symbols`	character name of xts object
`adjustVolume`	if `TRUE` (default) Volume will be divided by the adjustment ratio
`env`	the environment where `x` is stored
`auto.assign`	assign the adjusted data in the environment named `store.to`?
`store.to`	environment in which to store the adjusted data (if `auto.assign=TRUE`)
`verbose`	cat progress info to screen?

If the instrument object does not have dividend data in a slot named “div”, the data will be downloaded and put there. Data should be in an xts object. If there is a Volume column, it will be divided by the adjustmet ratio; all other columns will be multiplied by it.

if auto.assign=TRUE (default) the name of the xts object is returned. Otherwise, the adjusted xts object is returned. The Volume column (if there is one) will be moved to become the last column

Currently, adjustBAM will adjust OHLC or BAM data using addition/subtraction of cash flows. Also, it requires that there be a pre-calculated column with Adjusted prices. On the other hand, adjustIntraday.yahoo will multiply the data by an adjustment ratio. Currently, the adjustment ratio does not account for splits. adjustIntraday.yahoo does not require a pre-calculated Adjusted column. I plan to make these functions more similar, and to make the names of the functions more meaningful/representative of what they actually do.

gsee

qmao:::adjustBAM

qmao documentation built on May 2, 2019, 4:54 p.m.