quantmod and getSymbols() have been a core part of the R/Finance ecosystem for over 15 years. We want to change some things, but they would break existing code. We can make these changes in the new ‘rfimport’ package instead.

An updated version of xts is now on CRAN. This release patches a few issues with the features added in version 0.13.0 and addresses a few maintenance issues that popped up recently.

An updated version of quantmod is now on CRAN. It adds functions HL(), is.HL(), and has.HL() to check for ‘high’ and ‘low’ price columns. It also makes accessing Yahoo Finance price, dividend, and split data more robust. getSymbols.FRED() got to and from arguments, like other getSymbols() methods. The remaining changes are bug fixes and maintenace chores.

An updated version of xts is now on CRAN. This release adds several exciting changes: open-ended time-of-day subsetting, smarter conversions to xts from data.frames/data.tables/tibbles; to.period() handles custom endpoint values, print() truncates rows like data.table, and str() provides more informative output. There are also changes to make xts more consistent with zoo, some minor speed improvements, and the usual smattering of bug fixes.

An updated version of xts is now on CRAN. This release is a big one, with lots of changes. Plotting functionality got a lot of attention. Another notable change is that merge.xts() now supports suffixes. Plus the obligatory bug fixes and refinements to make xts more robust.

I follow Quantocracy on Twitter, and I found Rolling mean correlation in the tidyverse by Robot Wealth. They say to let them know if you’d approach it differently. I would, so I thought it would be interesting to replicate the analysis using tools I’m familiar with: xts and TTR.

An updated version of xts reached CRAN on 2020-09-09. Time-of-day subsetting (e.g. x["T10:00/T13:00"]) is 200x faster! (This post includes some notes on some nifty changes in 0.12.0 too, since I didn’t post about 0.12.0 when it was released.)

An updated version of TTR is on CRAN now. This is mainly a bug-fix release. There were several issues in the underlying C code that caused various issues. I’ll spare you the gory details. If you’re really interested, you can find them in the CHANGES file.

A new version of quantmod is on CRAN! One really cool thing about this release is that almost all the changes are contributions from the community.

I pushed an updated microbenchmark to CRAN a couple weeks ago. There were two noteworthy changes, thanks to great contributions from @MichaelChirico and @harvey131.