I’m pleased to announce that the RQuantLib Windows binaries are now up to 0.4.4! The RQuantLib pre-built Windows binaries have been frozen on CRAN since 0.4.2, but now you can get version 0.4.4 binaries on Dirk’s ghrr drat repo. Installation is as simple as: drat::addRepo("ghrr") # maybe use 'install.packages("drat")' first install.packages("RQuantLib", type="binary") I will be able to create Windows binaries for future RQuantLib versions too, now that I have a Windows QuantLib build (version 1.
Thanks to Paul Teetor, getSymbols() can now import data from Alpha Vantage! This feature is part of the quantmod 0.4-11 release, and provides another another data source to avoid any Yahoo Finance API changes*. Alpha Vantage is a free web service that provides real-time and historical equity data. They provide daily, weekly, and monthly history for both domestic and international markets, with up to 20 years of history. Dividend and split adjusted close prices are available for daily data.
A new, and long overdue, release of xts is now on CRAN! The major change is the completely new plot.xts() written by Michael Weylandt and Ross Bennett, and which is based on Jeff Ryan’s quantmod::chart_Series() code. Do note that the new plot.xts() includes breaking changes to the original (and rather limited) plot.xts(). However, we believe the new functionality more than compensates for the potential one-time inconvenience. And I will no longer have to tell people that I use plot.
A new release of quantmod is now on CRAN! The only change was to address changes to Yahoo! Finance and their effects on getSymbols.yahoo(). GitHub issue #157 contains some details about the fix implementation. Unfortunately, the URL wasn’t the only thing that changed. The actual data available for download changed as well. The most noticeable difference is that the adjusted close column is no longer dividend-adjusted (i.e. it’s only split-adjusted). Also, only the close price is unadjusted; the open, high, and low are split-adjusted.
I assume that you’re reading this because you are one of many people who were affected by the changes to Yahoo Finance data in May (2017). Not only did the URL change, but the actual data changed as well! The most noticeable difference is that the adjusted close column is now only split-adjusted, whereas it used to be split- and dividend-adjusted. Another oddity is that only the close prices is unadjusted (strangely, the open, high, and low are split-adjusted).
I pushed a bug-fix release of quantmod to CRAN last night. The major changes were to getSymbols.FRED() (#141) getSymbols.oanda() (#144) getSymbols.yahoo() (#149) All three providers made breaking changes to their URLs/interfaces. getSymbols.google() also got some love. It now honors all arguments set via setSymbolLookup() (#138), and it correctly parses the date column in non-English locales (#140). There’s a handy new argument to getDividends(): split.adjust. It allows you to request dividends unadjusted for splits (#128).
A quantmod user asked an interesting question on StackOverflow: Looping viewFinancials from quantmod. Basically, they wanted to create a data.frame that contained financial statement data for several companies for several years. I answered their question, and thought others might find the function I wrote useful… hence, this post! I called the function stackFinancials() because it would use getFinancials() and viewFinancials() to pull financial statement data for multiple symbols, and stack them together in long form.
R/Finance 2017: Applied Finance with R May 19 and 20, 2017 University of Illinois at Chicago The ninth annual R/Finance conference for applied finance using R will be held on May 19 and 20, 2017 in Chicago, IL, USA at the University of Illinois at Chicago. The conference will cover topics including portfolio management, time series analysis, advanced risk tools, high-performance computing, market microstructure, and econometrics. All will be discussed within the context of using R as a primary tool for financial risk management, portfolio construction, and trading.
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.
The team at DataCamp announced a new R/Finance course series in a recent email: Subject: Data Mining Tutorial, R/Finance course series, and more! R/Finance - A new course series in the works We are working on a whole new course series on applied finance using R. This new series will cover topics such as time series (David S. Matteson), portfolio analysis (Kris Boudt), the xts and zoo packages (Jeffrey Ryan), and much more.