Re: [R] R Finance

From: Bo Zhou <bozhou1981_at_hotmail.com>
Date: Fri, 14 Mar 2008 04:46:29 +0000

Just like David said, I doubt you can get the symbology databased for free (distribution license/fee reasons). (Or if you know any please let me know :-)

I'm sure nobody would like to prepare this mapping manually. This is what I would try:

  1. Get today's open or close price from Bloomberg for your symbol pool. This is should be cheap enough.
  2. Find a large list of Yahoo symbols' current open/close prices.
  3. Then write some code to match them based on the prices.

Well this will not magically give all you want but it's a good start and I'm sure it will give you a big chunk of what you needed.

Cheers,

Bo

> Date: Thu, 13 Mar 2008 08:18:47 -0500
> From: davidr_at_rhotrading.com
> To: ruborland_at_gmail.com; r-help_at_r-project.org
> Subject: Re: [R] R Finance
>
> I guess I would create a mapping table to convert between the symbols
> from Bloomberg and from Yahoo.
> You should be able to just create it once and add to it as new symbols
> appear on your screens. Most of the symbols should be the same so you
> could omit those. If it all has to be automated, you could use
> RBloomberg to get the tickers from the ISINs in one call, but there may
> still be other transformations needed, such as "XYZ/A" to "XYZA" or
> whatever.
> HTH,
>
> David L. Reiner, PhD
> Head Quant
> Rho Trading Securities, LLC
>
>
> -----Original Message-----
> From: r-help-bounces_at_r-project.org [mailto:r-help-bounces_at_r-project.org]
> On Behalf Of Ruby
> Sent: Thursday, March 13, 2008 6:44 AM
> To: r-help_at_r-project.org
> Subject: [R] R Finance
>
> Hi,
>
> I am an R novice working with financial data. I am developing a
> portfolio strategy evaluation technique to back-test the performance
> of our screens; checking how the screened stock would've performed
> over the period in question.
>
> I am using quantmod in R to download the historical data from yahoo
> and then analyzing it using PerformanceAnalytics. My problem is that,
> as our screens are done using Bloomberg, my list of screened stocks
> only has Bloomberg tickers and ISINs. Does anybody know of a method
> which could convert ISINs to yahoo tickers/symbols?? Or a method of
> accessing yahoo historical data from an ISIN (instead of a symbol
> call)? I would prefer not to use RBloomberg to download the data as
> the data calls would be extensive in testing.
>
> Thank you!!
>
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