Extract and Transform OHLC Time-Series Columns
Extract (transformed) data from a suitable OHLC object.
Column names must contain the
complete description - either “Open”, “High”,
“Low”, “Close”,
“Volume”, or “Adjusted” - though may
also contain additional characters. This is the default for objects
returned from most getSymbols calls.
In the case of functions consisting of combined
Op, Hi, Lo, Cl (e.g. ClCl(x)) the one period
transformation will be applied.
For example, to return the Open to Close of a
object it is
possible to call OpCl(x). If multiple periods
are desired a call to the function Delt is
necessary.
seriesLo and seriesHi will return the
low and high, respectively, of a given series.
seriesAccel, seriesDecel, seriesIncr,
and seriesDecr, return a vector of logicals
indicating if the series is accellerating, decellerating,
increasing, or decreasing. This is managed by diff,
which provides NA fill and suitable re-indexing. These
are here to make trade rules easier to read.
HLC extracts the High, Low, and Close columns.
OHLC extracts the Open, High, Low, and Close columns.
These functions are merely to speed the model specification process. All columns may also be extracted through standard R methods.
Assignment will not work at present.
getPrice will attempt to extract price column(s) from a time series,
using sensible defaults. Additionally, the user may provide by symbol and price
preference.
Op(x) Hi(x) Lo(x) Cl(x) Vo(x) Ad(x) seriesHi(x) seriesLo(x) seriesIncr(x, thresh=0, diff.=1L) seriesDecr(x, thresh=0, diff.=1L) OpCl(x) ClCl(x) HiCl(x) LoCl(x) LoHi(x) OpHi(x) OpLo(x) OpOp(x) HLC(x) OHLC(x) OHLCV(x) getPrice(x, symbol=NULL, prefer=NULL, ...)
x |
A data object with columns containing data to be extracted. |
thresh |
noise threshold (seriesIncr/seriesDecr) |
diff. |
differencing (seriesIncr/seriesDecr) |
symbol |
text string containing the symbol to extract |
prefer |
price type preference (see Details) |
... |
not currently used |
Internally, the code uses grep to locate the appropriate columns. Therefore it is necessary to use inputs with column names matching the requirements in the description section, though the exact naming convention is not as important.
prefer can be used with getPrice to extract many commonly used
financial time series prices descriptions (e.g. open, high, low, close, bid,
ask/offer, midpoint, trade, price). If the value of prefer does not
match one of the currently supported types, it will be matched against the
object column names using grep.
Returns an object of the same class as the original
series, with the appropriately column names
if applicable and/or possible. The only exceptions are for quantmod.OHLC
objects which will be returned as zoo objects, and calls to
seriesLo and seriesHi which may return a numeric
value instead of the original object type.
Jeffrey A. Ryan
## Not run:
getSymbols('IBM',src='yahoo')
Ad(IBM)
Cl(IBM)
ClCl(IBM)
seriesHi(IBM)
seriesHi(Lo(IBM))
removeSymbols('IBM')
## End(Not run)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.