Re: [R] pass character vector in instrument field of get.hist.quote function

From: David Winsemius <dwinsemius_at_comcast.net>
Date: Wed, 06 Apr 2011 21:13:53 -0400

On Apr 6, 2011, at 12:06 PM, algotr8der wrote:

> Hi Joshua,
>
> THank you for showing me how to use getSymbols. I am trying to
> follow the
> example you provided. However I am having some difficulty using the
> various
> combination of functions you have used. I tried to execute one step
> at a
> time as follows -
>
> I have a ticker vector that looks like the following:
>
>> tickers
> [1] "SPY" "DIA" "IWM" "SMH" "OIH" "XLY" "XLP" "XLE" "XLI" "XLB"
> "XLK" "XLU"
> "XLV"
> [14] "QQQ"
>> str(tickers)
> chr [1:14] "SPY" "DIA" "IWM" "SMH" "OIH" "XLY" "XLP" "XLE" ...
>
> I wrote a function called myX to use in the lapply call. It has the
> following code:
>
> myX <- function(tickers, start, end) {
> require(quantmod) # this only needs to be called once.
> getSymbols(tickers, from=start, to=end)
> }
>
>
> 1) Call lapply by itself
>
>> lapply(tickers,myX,start="2001-03-01", end="2011-03-11")
>
>> lapply(tickers,myX,start="2001-03-01", end="2011-03-11")
> [[1]]
> [1] "SPY"
>
> [[2]]
> [1] "DIA"
>
only needed to use three for demonstration purposes
>
> [[14]]
> [1] "QQQ"
>
> So this works fine and I can inspect the value of any of the tickers
> i.e.
> SPY.
>
> Now I want to extract the Closing prices.
>
> 2) I did Cl(SPY) and this outputs the data in the Close column as
> expected.
> However, I am not sure how to extract the Closing prices of each of
> the
> elements inside the data structure returned by lapply, which I
> believe is a
> list structure. I want to merge them into one object as you did but
> I cant
> seem to follow.

As pointed out by Joshua Ulrich this was crossposted on SO. Here is the code I posted there:

 > ClosePrices <- do.call(cbind, lapply(tickers, function(x) Cl(get(x))))
 > head(ClosePrices)

            SPY.Close DIA.Close QQQ.Close
2001-03-01    124.60    104.68     48.80
2001-03-02    123.61    104.80     46.70
2001-03-05    124.74    105.57     47.55
2001-03-06    126.08    106.15     49.40
2001-03-07    126.98    107.45     49.42
2001-03-08    127.12    108.61     48.50

-- 

David Winsemius, MD
West Hartford, CT

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Received on Thu 07 Apr 2011 - 01:16:41 GMT

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