R

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

I just pushed a new release of quantmod to CRAN! getSymbols() no longer stops if there’s a problem with a ticker symbol. And getQuote() can now import quotes from Tiingo.

xts version 0.11-2 was published to CRAN yesterday. This is quick a bug-fix release.

xts version 0.11-1 was published to CRAN this morning. xts provides data structure and functions to work with time-indexed data.  This release contains some awesome features that will transparently make your xts code even faster!

This year marks the 10th anniversary of the R/Finance Conference! As in prior years, we expect more than 250 attendees from around the world. R users from industry, academia, and government will joining 50+ presenters covering all areas of finance with R. The conference will take place on June 1st and 2nd, at UIC in Chicago. You can find registration informationon the conference website, or you can go directly to the Cvent registration page.

First, the bad news: Google Finance no longer provides data for historical prices or financial statements, so we say goodbye to getSymbols.google() and getFinancials.google(). (#221) They are now defunct as of quantmod 0.4-13. Now, the good news: Thanks to Steve Bronder, getSymbols() can now import data from Tiingo! (#220) This feature is part of quantmod 0.4-13, which is now on CRAN. Windows and Mac binaries should be built in a day or two.

This xts release contains mostly bugfixes, but there are a few noteworthy features. Some of these features were added in version 0.10-1, but I forgot to blog about it. Anyway, in no particular order: endpoints() gained sub-second accuracy on Windows (#202)! na.locf.xts() now honors x and xout arguments by dispatching to the next method (#215). Thanks to Morten Grum for the report. na.locf.xts() and na.omit.xts() now support character xts objects. Thanks to Ken Williams and Samo Pahor for the reports (#42).

R/Finance 2018: Applied Finance with R June 1 and 2, 2018 University of Illinois at Chicago Call For Papers The tenth annual R/Finance conference for applied finance using R will be held June 1 and 2, 2018 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.

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.