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