R Package Releases

CRAN just accepted a bugfix release of quantmod.  The most pertinent changes were to fix getSymbols.oanda (#36) and getOptionChain.yahoo (#92).  It also includes a fix to addTRIX (#72).

Oanda changed their URL format from http to https, and getSymbols.oanda did not follow the redirect.  Yahoo Finance changed the HTML for displaying options data, which broke getOptionChain.yahoo.  The fix downloads JSON instead of scraping HTML, so hopefully it will be less likely to break.  For more information, see the links to the GitHub issues above.

I just sent quantmod_0.4-5 to CRAN, and TTR_0.23-0 has been there for a couple weeks. I’d like to thank Ivan Popivanov for many useful reports and patches to TTR. He provided patches to add HMA() (Hull MA), ALMA(), and ultimateOscillator() functions.

James Toll provided a patch to the volatility() function that uses a zero mean (instead of the sample mean) in close-to-close volatility. The other big change is that moving average functions no longer return objects with column names based on the input object column names. There are many other bug fixes (see the CHANGES file in the package).

I pushed quantmod 0.4-4 to CRAN this weekend.  It adds a getSymbols.yahooj function to pull stock data from Yahoo Finance Japan, and fixes issues in getOptionChain.yahoo and getSymbols.oanda.

Changes to the Yahoo Finance and Oanda websites broke the getOptionChain.yahoo and getSymbols.oanda functions, respectively.  I didn’t use getOptionChain.yahoo much, so I’m not certain I restored all the prior functionality.  Let me know if there’s something I missed. I’d be glad to add a test case for that, or to add a test you’ve written.

An updated version of quantmod has just been released on CRAN.  This is my first submission as the new maintainer.  The major change was removing the dependency on the now-archived Defaults package.  End-users shouldn’t notice a difference, since I basically copied the necessary functionality from Defaults and added it to quantmod.

There are also several bug fixes. A few worth noting are:

• getSplits
• adjustOHLC
• getSymbols (when adjust=TRUE)
• saveSymbols
• newTA
• findValleys

An updated version of TTR is now on CRAN.  The biggest changes to be aware of are that all moving averages attempt to set colnames, CCI() returns an object with colnames, and the initial gap for SAR() is not hard-coded at 0.01.  There are also some much-needed bug fixes - most notably to Yang Zhang volatility, MACD(), SAR(), EMA()/EVWMA(), and adjRatios().

There are some exciting new features, including a rolling single-factor model function (rollSFM(), based on a prototype from James Toll), a runPercentRank() function from Charlie Friedemann, stoch() and WPR() return 0.5 instead of NaN when there’s insufficient price movement, and a faster aroon() function.

An updated version of TTR is now on CRAN.  It contains some much-needed bug fixes (most notably to stockSymbols()), some small changes, and a few new functions.  Note that the change to wilderSum() will affect functions that use it (e.g. ADX()).

Here are the full contents of the CHANGES file:

TTR version 0.21-0
  Changes from version 0.20-2

NEW FEATURES:

• Added variable moving average function, VMA().
• Added Brian Peterson’s price bands function, PBands().
• Added David Varadi’s DVI() indicator, DVI().

CHANGES:

Dirk Eddelbuettel has recently released RQuantLib-0.3.7, which contains the necessary QuantLib builds to allow the CRAN servers to build the Windows binary.

This (thankfully) makes my post on how to build RQuantLib on 32-bit Windows unnecessary for casual users, but may be useful for those who want to develop RQuantLib on Windows.

An updated version of TTR is now on CRAN. It fixes a couple bugs and includes a couple handy tweaks. Here’s the full contents of the CHANGES file:

TTR version 0.20-2
Changes from version 0.20-1

NEW FEATURES:

• Added VWAP() and VWMA() (thanks to Brian Peterson)
• Added v-factor generalization to DEMA() (thanks to John Gavin)

CHANGES:

• Updated volatility() to handle univariate case of calc='close' (thanks to Cedrick Johnson)
• Moved EMA(), SAR(), and wilderSum() from .Fortran() to .Call() and used xts:::naCheck() in lieu of TTR’s NA check mechanism
• RSI() up/down momentum now faster with xts (thanks to Jeff Ryan)
• If ratio is specified in EMA() but n is missing, the traditional value of n is approximated and returned as the first non-NA value (thanks to Jeff Ryan)

BUG FIXES:

I am happy to announce a long-overdue update to the TTR package (version 0.2) is now on CRAN.

This update represents a major milestone, as TTR useRs are no longer restricted to using matrix objects. TTR 0.2 uses xts internally, so all major time series classes are now supported.

NEW FEATURES:

• Added the zig zag indicator: ZigZag()
• Added volatility estimators/indicators: volatility(), with the following calculations
  • Close-to-Close
  • Garman Klass
  • Parkinson
  • Rogers Satchell
• Added Money Flow Index: MFI()
• Added Donchian channel: DonchianChannel()

CHANGES: