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77 |
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1 |
2 |
48 |
62 |
63 |
64 |
49 |
61 |
50 |
52 |
53 | Articles
51 |
54 |
60 | All vignettes
55 | 56 | 57 |- How to use BatchGetSymbols 58 |
- 59 |
`, then ``, etc.) that has more than one element. Defaults to 1 (for ``).
76 | getTopLevel: function($scope) {
77 | for (var i = 1; i <= 6; i++) {
78 | var $headings = this.findOrFilter($scope, 'h' + i);
79 | if ($headings.length > 1) {
80 | return i;
81 | }
82 | }
83 |
84 | return 1;
85 | },
86 |
87 | // returns the elements for the top level, and the next below it
88 | getHeadings: function($scope, topLevel) {
89 | var topSelector = 'h' + topLevel;
90 |
91 | var secondaryLevel = topLevel + 1;
92 | var secondarySelector = 'h' + secondaryLevel;
93 |
94 | return this.findOrFilter($scope, topSelector + ',' + secondarySelector);
95 | },
96 |
97 | getNavLevel: function(el) {
98 | return parseInt(el.tagName.charAt(1), 10);
99 | },
100 |
101 | populateNav: function($topContext, topLevel, $headings) {
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103 | var $prevNav;
104 |
105 | var helpers = this;
106 | $headings.each(function(i, el) {
107 | var $newNav = helpers.generateNavItem(el);
108 | var navLevel = helpers.getNavLevel(el);
109 |
110 | // determine the proper $context
111 | if (navLevel === topLevel) {
112 | // use top level
113 | $context = $topContext;
114 | } else if ($prevNav && $context === $topContext) {
115 | // create a new level of the tree and switch to it
116 | $context = helpers.createChildNavList($prevNav);
117 | } // else use the current $context
118 |
119 | $context.append($newNav);
120 |
121 | $prevNav = $newNav;
122 | });
123 | },
124 |
125 | parseOps: function(arg) {
126 | var opts;
127 | if (arg.jquery) {
128 | opts = {
129 | $nav: arg
130 | };
131 | } else {
132 | opts = arg;
133 | }
134 | opts.$scope = opts.$scope || $(document.body);
135 | return opts;
136 | }
137 | },
138 |
139 | // accepts a jQuery object, or an options object
140 | init: function(opts) {
141 | opts = this.helpers.parseOps(opts);
142 |
143 | // ensure that the data attribute is in place for styling
144 | opts.$nav.attr('data-toggle', 'toc');
145 |
146 | var $topContext = this.helpers.createChildNavList(opts.$nav);
147 | var topLevel = this.helpers.getTopLevel(opts.$scope);
148 | var $headings = this.helpers.getHeadings(opts.$scope, topLevel);
149 | this.helpers.populateNav($topContext, topLevel, $headings);
150 | }
151 | };
152 |
153 | $(function() {
154 | $('nav[data-toggle="toc"]').each(function(i, el) {
155 | var $nav = $(el);
156 | Toc.init($nav);
157 | });
158 | });
159 | })();
160 |
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1 | /* Docsearch -------------------------------------------------------------- */
2 | /*
3 | Source: https://github.com/algolia/docsearch/
4 | License: MIT
5 | */
6 |
7 | .algolia-autocomplete {
8 | display: block;
9 | -webkit-box-flex: 1;
10 | -ms-flex: 1;
11 | flex: 1
12 | }
13 |
14 | .algolia-autocomplete .ds-dropdown-menu {
15 | width: 100%;
16 | min-width: none;
17 | max-width: none;
18 | padding: .75rem 0;
19 | background-color: #fff;
20 | background-clip: padding-box;
21 | border: 1px solid rgba(0, 0, 0, .1);
22 | box-shadow: 0 .5rem 1rem rgba(0, 0, 0, .175);
23 | }
24 |
25 | @media (min-width:768px) {
26 | .algolia-autocomplete .ds-dropdown-menu {
27 | width: 175%
28 | }
29 | }
30 |
31 | .algolia-autocomplete .ds-dropdown-menu::before {
32 | display: none
33 | }
34 |
35 | .algolia-autocomplete .ds-dropdown-menu [class^=ds-dataset-] {
36 | padding: 0;
37 | background-color: rgb(255,255,255);
38 | border: 0;
39 | max-height: 80vh;
40 | }
41 |
42 | .algolia-autocomplete .ds-dropdown-menu .ds-suggestions {
43 | margin-top: 0
44 | }
45 |
46 | .algolia-autocomplete .algolia-docsearch-suggestion {
47 | padding: 0;
48 | overflow: visible
49 | }
50 |
51 | .algolia-autocomplete .algolia-docsearch-suggestion--category-header {
52 | padding: .125rem 1rem;
53 | margin-top: 0;
54 | font-size: 1.3em;
55 | font-weight: 500;
56 | color: #00008B;
57 | border-bottom: 0
58 | }
59 |
60 | .algolia-autocomplete .algolia-docsearch-suggestion--wrapper {
61 | float: none;
62 | padding-top: 0
63 | }
64 |
65 | .algolia-autocomplete .algolia-docsearch-suggestion--subcategory-column {
66 | float: none;
67 | width: auto;
68 | padding: 0;
69 | text-align: left
70 | }
71 |
72 | .algolia-autocomplete .algolia-docsearch-suggestion--content {
73 | float: none;
74 | width: auto;
75 | padding: 0
76 | }
77 |
78 | .algolia-autocomplete .algolia-docsearch-suggestion--content::before {
79 | display: none
80 | }
81 |
82 | .algolia-autocomplete .ds-suggestion:not(:first-child) .algolia-docsearch-suggestion--category-header {
83 | padding-top: .75rem;
84 | margin-top: .75rem;
85 | border-top: 1px solid rgba(0, 0, 0, .1)
86 | }
87 |
88 | .algolia-autocomplete .ds-suggestion .algolia-docsearch-suggestion--subcategory-column {
89 | display: block;
90 | padding: .1rem 1rem;
91 | margin-bottom: 0.1;
92 | font-size: 1.0em;
93 | font-weight: 400
94 | /* display: none */
95 | }
96 |
97 | .algolia-autocomplete .algolia-docsearch-suggestion--title {
98 | display: block;
99 | padding: .25rem 1rem;
100 | margin-bottom: 0;
101 | font-size: 0.9em;
102 | font-weight: 400
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104 |
105 | .algolia-autocomplete .algolia-docsearch-suggestion--text {
106 | padding: 0 1rem .5rem;
107 | margin-top: -.25rem;
108 | font-size: 0.8em;
109 | font-weight: 400;
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112 |
113 | .algolia-autocomplete .algolia-docsearch-footer {
114 | width: 110px;
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122 |
123 | .algolia-autocomplete .algolia-docsearch-footer--logo {
124 | background-image: url("data:image/svg+xml;utf8,");
125 | background-repeat: no-repeat;
126 | background-position: 50%;
127 | background-size: 100%;
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129 | text-indent: -9000px;
130 | width: 100%;
131 | height: 100%;
132 | display: block;
133 | transform: translate(-8px);
134 | }
135 |
136 | .algolia-autocomplete .algolia-docsearch-suggestion--highlight {
137 | color: #FF8C00;
138 | background: rgba(232, 189, 54, 0.1)
139 | }
140 |
141 |
142 | .algolia-autocomplete .algolia-docsearch-suggestion--text .algolia-docsearch-suggestion--highlight {
143 | box-shadow: inset 0 -2px 0 0 rgba(105, 105, 105, .5)
144 | }
145 |
146 | .algolia-autocomplete .ds-suggestion.ds-cursor .algolia-docsearch-suggestion--content {
147 | background-color: rgba(192, 192, 192, .15)
148 | }
149 |
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1 | $(function() {
2 |
3 | // register a handler to move the focus to the search bar
4 | // upon pressing shift + "/" (i.e. "?")
5 | $(document).on('keydown', function(e) {
6 | if (e.shiftKey && e.keyCode == 191) {
7 | e.preventDefault();
8 | $("#search-input").focus();
9 | }
10 | });
11 |
12 | $(document).ready(function() {
13 | // do keyword highlighting
14 | /* modified from https://jsfiddle.net/julmot/bL6bb5oo/ */
15 | var mark = function() {
16 |
17 | var referrer = document.URL ;
18 | var paramKey = "q" ;
19 |
20 | if (referrer.indexOf("?") !== -1) {
21 | var qs = referrer.substr(referrer.indexOf('?') + 1);
22 | var qs_noanchor = qs.split('#')[0];
23 | var qsa = qs_noanchor.split('&');
24 | var keyword = "";
25 |
26 | for (var i = 0; i < qsa.length; i++) {
27 | var currentParam = qsa[i].split('=');
28 |
29 | if (currentParam.length !== 2) {
30 | continue;
31 | }
32 |
33 | if (currentParam[0] == paramKey) {
34 | keyword = decodeURIComponent(currentParam[1].replace(/\+/g, "%20"));
35 | }
36 | }
37 |
38 | if (keyword !== "") {
39 | $(".contents").unmark({
40 | done: function() {
41 | $(".contents").mark(keyword);
42 | }
43 | });
44 | }
45 | }
46 | };
47 |
48 | mark();
49 | });
50 | });
51 |
52 | /* Search term highlighting ------------------------------*/
53 |
54 | function matchedWords(hit) {
55 | var words = [];
56 |
57 | var hierarchy = hit._highlightResult.hierarchy;
58 | // loop to fetch from lvl0, lvl1, etc.
59 | for (var idx in hierarchy) {
60 | words = words.concat(hierarchy[idx].matchedWords);
61 | }
62 |
63 | var content = hit._highlightResult.content;
64 | if (content) {
65 | words = words.concat(content.matchedWords);
66 | }
67 |
68 | // return unique words
69 | var words_uniq = [...new Set(words)];
70 | return words_uniq;
71 | }
72 |
73 | function updateHitURL(hit) {
74 |
75 | var words = matchedWords(hit);
76 | var url = "";
77 |
78 | if (hit.anchor) {
79 | url = hit.url_without_anchor + '?q=' + escape(words.join(" ")) + '#' + hit.anchor;
80 | } else {
81 | url = hit.url + '?q=' + escape(words.join(" "));
82 | }
83 |
84 | return url;
85 | }
86 |
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1 |
2 |
3 |
4 |
5 |
6 |
7 |
8 | Downloads and Organizes Financial Data for Multiple Tickers • BatchGetSymbols
9 |
10 |
11 |
12 |
13 |
14 |
15 |
16 |
20 |
21 |
22 |
23 |
24 |
25 |
67 |
68 |
69 |
70 |
71 |
72 |
73 |
74 |
75 | Deprecated!
76 |
77 | Package BatchGetSymbols is soft-deprecated in favor of
78 | yfR. See this Readme.md for my motivation
79 | in writing a new R package. In practice, this means that
80 | BatchGetSymbols is no longer maintained besides the
81 | correction of major bugs. All efforts goes to the development of
82 | yfR.
83 | While BatchGetSymbols will be be available in CRAN in
84 | the near future, my plan is to remove it from CRAN and archive it in
85 | Github once yfR becames more stable.
86 |
87 |
88 | Motivation
89 |
90 | 
91 | BatchGetSymbols is a R package for large-scale download of financial
92 | data from Yahoo Finance. Based on a set of tickers and date ranges, the
93 | package will download and organize the financial data in the tidy/long
94 | format.
95 |
96 |
97 | Warnings
98 |
99 |
100 | Yahoo finance data is far from perfect or reliable, specially for
101 | individual stocks. In my experience, using it for research code with
102 | stock indices is fine and I can match it with other
103 | data sources. But, adjusted stock prices for individual
104 | assets is messy as stock events such as splits or dividends are
105 | not properly registered. I was never able to match it with other data
106 | sources. My advice is to never use the data of individual stocks in
107 | production.
Since version 2.6, the cache system is session-persistent by
109 | default, meaning that whenever you restart your R session, you lose all
110 | your cached data. This is a safety feature for mismatching prices due to
111 | corporate events.
113 |
114 |
115 | Main features:
116 |
117 |
118 | - Organizes data in a tabular/long or wide format, returning prices
119 | and returns (arithmetic or logarithmic)
120 | - A session-persistent cache system was implemented in version 2.0,
121 | meaning that the data is saved locally and only missing portions of the
122 | data are downloaded, if needed.
123 | - All dates are compared to a benchmark ticker such as SP500 and,
124 | whenever an individual asset does not have a sufficient number of dates,
125 | the software drops it from the output. This means you can choose to
126 | ignore tickers with high number of missing dates.
127 | - Allows the choice for the wide format, with tickers as columns
128 | - Users can choose the frequency of the resulting dataset (daily,
129 | weekly, monthly, yearly)
130 | - Option for parallel computing, speeding up the data importation
131 | process
132 |
133 |
134 |
135 | Installation
136 |
137 | # CRAN (official release)
138 | install.packages('BatchGetSymbols')
139 |
140 | # Github (dev version)
141 | devtools::install_github('msperlin/BatchGetSymbols')
142 |
143 |
144 | A simple example
145 |
146 | See vignette.
147 |
148 |
149 |
150 |
151 |
184 |
185 |
186 |
187 |
199 |
200 |
201 |
202 |
203 |
204 |
205 |
206 |
207 |
208 |
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2 |
3 |
13 |
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1 |
2 | Changelog • BatchGetSymbols
6 |
7 |
8 |
9 |
44 |
45 |
46 |
47 |
48 |
49 |
50 | Changelog
51 |
52 |
53 |
54 |
58 |
62 |
63 | Version 2.6.1 (2020-11-27)2020-11-28
64 | - Fixed issue issue
65 | 21, which only happened in Windows.
66 | - changed default cache dir for ticker grabbing function
67 |
68 |
69 | Version 2.6 (2020-11-22)2020-11-22
70 | - The cache system is now session-persistent with
71 |
cache.dir = file.path(tempdir(), 'BGS_Cache'). This solves
72 | the problem with mismatching price series from cached data between
73 | splits or dividends. A new warning is set whenever the user uses
74 | cache.dir different from temp.dir()
75 | - removed dplyr grouping message
76 |
77 |
78 | Version 2.5.9 (2020-11-17)2020-11-17
79 | - removed rownames from output (issue
80 | 18)
81 | - Made sure that, on “weekly” mode, the first day of week is a monday
82 | (issue
83 | 19)
84 | - Added input how.to.aggregate that will allow the user to aggregate
85 | de data by the last or first prices of intervals (issue
86 | 19)
87 |
88 |
92 |
93 | Version 2.5.7 (2020-04-21)2020-04-21
94 | - Fixed bug in sp500 fct
95 | - Fixed bug with repeated rows of data (git issue
96 | 16)
97 |
98 |
99 | Version 2.5.6 (2020-02-25)2020-02-25
100 | - Improved startup message for 2020 book (link to online version)
101 |
102 |
103 | Version 2.5.5 (2019-02-17)2020-02-13
104 | - Fixed bug in cleaning function
105 | - Added startup message for 2020 book
106 |
107 |
111 |
112 | Version 2.5.3 (2019-07-05)2019-08-05
113 | - Added option for keeping function quiet (be.quiet)
114 | - Once again fixed function for grabbing stocks from the SP500
115 | index
116 |
117 |
121 |
125 |
126 | Version 2.5 (2019-04-13)2019-04-15
127 | - Implemented option for parallel computations with
128 | BatchGetSymbols
129 | - Added caching system for index grabing functions (SP500 and
130 | IBOV)
131 |
132 |
133 | Version 2.4 (2019-03-23)2019-03-23
134 | - Fixed bug in function that downloads SP500 data.
135 |
136 |
137 | Version 2.3 (2018-11-25)2018-11-25
138 | - User can now choose to return a full balanced price dataset by
139 | filling NA values or volume == 0 for their closest prices.
140 | - Fixed small bug in cache system when an empty dataframe is
141 | returned
142 | - Fixed bug in function that downloads ibovespa’s composition
143 |
144 |
145 | Version 2.2 (2018-10-10)2018-10-11
146 | - Users can now set frequency of data (daily, weekly, monthly or
147 | yearly)
148 |
149 |
150 | Version 2.1 (2018-05-08)2018-05-08
151 | Small update:
152 | - added startup message with book link
153 |
154 |
155 | Version 2.0 (2018-01-22)2018-01-22
156 | Major update:
157 | - New fct GetIBovStocks for downloading current composition of
158 | Ibovespa
159 | - New fct for changing to wide format
160 | - Now the output includes returns and not only prices
161 | - removed annoying startup message
162 | - implemented clever caching system for financial data
163 | - simplified input dates (no need for Date class any more)
164 |
165 |
166 | Version 1.2 (2017-06-26)2017-06-26
167 | - Fixed issue with GetSP500(). The wikipedia page changed its
168 | code..
169 |
170 |
177 |
181 |
182 |
183 |
186 |
187 |
188 |
189 |
190 |
200 |
201 |
202 |
203 |
204 |
205 |
206 |
207 |
208 |
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1 | /* Sticky footer */
2 |
3 | /**
4 | * Basic idea: https://philipwalton.github.io/solved-by-flexbox/demos/sticky-footer/
5 | * Details: https://github.com/philipwalton/solved-by-flexbox/blob/master/assets/css/components/site.css
6 | *
7 | * .Site -> body > .container
8 | * .Site-content -> body > .container .row
9 | * .footer -> footer
10 | *
11 | * Key idea seems to be to ensure that .container and __all its parents__
12 | * have height set to 100%
13 | *
14 | */
15 |
16 | html, body {
17 | height: 100%;
18 | }
19 |
20 | body {
21 | position: relative;
22 | }
23 |
24 | body > .container {
25 | display: flex;
26 | height: 100%;
27 | flex-direction: column;
28 | }
29 |
30 | body > .container .row {
31 | flex: 1 0 auto;
32 | }
33 |
34 | footer {
35 | margin-top: 45px;
36 | padding: 35px 0 36px;
37 | border-top: 1px solid #e5e5e5;
38 | color: #666;
39 | display: flex;
40 | flex-shrink: 0;
41 | }
42 | footer p {
43 | margin-bottom: 0;
44 | }
45 | footer div {
46 | flex: 1;
47 | }
48 | footer .pkgdown {
49 | text-align: right;
50 | }
51 | footer p {
52 | margin-bottom: 0;
53 | }
54 |
55 | img.icon {
56 | float: right;
57 | }
58 |
59 | /* Ensure in-page images don't run outside their container */
60 | .contents img {
61 | max-width: 100%;
62 | height: auto;
63 | }
64 |
65 | /* Fix bug in bootstrap (only seen in firefox) */
66 | summary {
67 | display: list-item;
68 | }
69 |
70 | /* Typographic tweaking ---------------------------------*/
71 |
72 | .contents .page-header {
73 | margin-top: calc(-60px + 1em);
74 | }
75 |
76 | dd {
77 | margin-left: 3em;
78 | }
79 |
80 | /* Section anchors ---------------------------------*/
81 |
82 | a.anchor {
83 | display: none;
84 | margin-left: 5px;
85 | width: 20px;
86 | height: 20px;
87 |
88 | background-image: url(./link.svg);
89 | background-repeat: no-repeat;
90 | background-size: 20px 20px;
91 | background-position: center center;
92 | }
93 |
94 | h1:hover .anchor,
95 | h2:hover .anchor,
96 | h3:hover .anchor,
97 | h4:hover .anchor,
98 | h5:hover .anchor,
99 | h6:hover .anchor {
100 | display: inline-block;
101 | }
102 |
103 | /* Fixes for fixed navbar --------------------------*/
104 |
105 | .contents h1, .contents h2, .contents h3, .contents h4 {
106 | padding-top: 60px;
107 | margin-top: -40px;
108 | }
109 |
110 | /* Navbar submenu --------------------------*/
111 |
112 | .dropdown-submenu {
113 | position: relative;
114 | }
115 |
116 | .dropdown-submenu>.dropdown-menu {
117 | top: 0;
118 | left: 100%;
119 | margin-top: -6px;
120 | margin-left: -1px;
121 | border-radius: 0 6px 6px 6px;
122 | }
123 |
124 | .dropdown-submenu:hover>.dropdown-menu {
125 | display: block;
126 | }
127 |
128 | .dropdown-submenu>a:after {
129 | display: block;
130 | content: " ";
131 | float: right;
132 | width: 0;
133 | height: 0;
134 | border-color: transparent;
135 | border-style: solid;
136 | border-width: 5px 0 5px 5px;
137 | border-left-color: #cccccc;
138 | margin-top: 5px;
139 | margin-right: -10px;
140 | }
141 |
142 | .dropdown-submenu:hover>a:after {
143 | border-left-color: #ffffff;
144 | }
145 |
146 | .dropdown-submenu.pull-left {
147 | float: none;
148 | }
149 |
150 | .dropdown-submenu.pull-left>.dropdown-menu {
151 | left: -100%;
152 | margin-left: 10px;
153 | border-radius: 6px 0 6px 6px;
154 | }
155 |
156 | /* Sidebar --------------------------*/
157 |
158 | #pkgdown-sidebar {
159 | margin-top: 30px;
160 | position: -webkit-sticky;
161 | position: sticky;
162 | top: 70px;
163 | }
164 |
165 | #pkgdown-sidebar h2 {
166 | font-size: 1.5em;
167 | margin-top: 1em;
168 | }
169 |
170 | #pkgdown-sidebar h2:first-child {
171 | margin-top: 0;
172 | }
173 |
174 | #pkgdown-sidebar .list-unstyled li {
175 | margin-bottom: 0.5em;
176 | }
177 |
178 | /* bootstrap-toc tweaks ------------------------------------------------------*/
179 |
180 | /* All levels of nav */
181 |
182 | nav[data-toggle='toc'] .nav > li > a {
183 | padding: 4px 20px 4px 6px;
184 | font-size: 1.5rem;
185 | font-weight: 400;
186 | color: inherit;
187 | }
188 |
189 | nav[data-toggle='toc'] .nav > li > a:hover,
190 | nav[data-toggle='toc'] .nav > li > a:focus {
191 | padding-left: 5px;
192 | color: inherit;
193 | border-left: 1px solid #878787;
194 | }
195 |
196 | nav[data-toggle='toc'] .nav > .active > a,
197 | nav[data-toggle='toc'] .nav > .active:hover > a,
198 | nav[data-toggle='toc'] .nav > .active:focus > a {
199 | padding-left: 5px;
200 | font-size: 1.5rem;
201 | font-weight: 400;
202 | color: inherit;
203 | border-left: 2px solid #878787;
204 | }
205 |
206 | /* Nav: second level (shown on .active) */
207 |
208 | nav[data-toggle='toc'] .nav .nav {
209 | display: none; /* Hide by default, but at >768px, show it */
210 | padding-bottom: 10px;
211 | }
212 |
213 | nav[data-toggle='toc'] .nav .nav > li > a {
214 | padding-left: 16px;
215 | font-size: 1.35rem;
216 | }
217 |
218 | nav[data-toggle='toc'] .nav .nav > li > a:hover,
219 | nav[data-toggle='toc'] .nav .nav > li > a:focus {
220 | padding-left: 15px;
221 | }
222 |
223 | nav[data-toggle='toc'] .nav .nav > .active > a,
224 | nav[data-toggle='toc'] .nav .nav > .active:hover > a,
225 | nav[data-toggle='toc'] .nav .nav > .active:focus > a {
226 | padding-left: 15px;
227 | font-weight: 500;
228 | font-size: 1.35rem;
229 | }
230 |
231 | /* orcid ------------------------------------------------------------------- */
232 |
233 | .orcid {
234 | font-size: 16px;
235 | color: #A6CE39;
236 | /* margins are required by official ORCID trademark and display guidelines */
237 | margin-left:4px;
238 | margin-right:4px;
239 | vertical-align: middle;
240 | }
241 |
242 | /* Reference index & topics ----------------------------------------------- */
243 |
244 | .ref-index th {font-weight: normal;}
245 |
246 | .ref-index td {vertical-align: top; min-width: 100px}
247 | .ref-index .icon {width: 40px;}
248 | .ref-index .alias {width: 40%;}
249 | .ref-index-icons .alias {width: calc(40% - 40px);}
250 | .ref-index .title {width: 60%;}
251 |
252 | .ref-arguments th {text-align: right; padding-right: 10px;}
253 | .ref-arguments th, .ref-arguments td {vertical-align: top; min-width: 100px}
254 | .ref-arguments .name {width: 20%;}
255 | .ref-arguments .desc {width: 80%;}
256 |
257 | /* Nice scrolling for wide elements --------------------------------------- */
258 |
259 | table {
260 | display: block;
261 | overflow: auto;
262 | }
263 |
264 | /* Syntax highlighting ---------------------------------------------------- */
265 |
266 | pre, code, pre code {
267 | background-color: #f8f8f8;
268 | color: #333;
269 | }
270 | pre, pre code {
271 | white-space: pre-wrap;
272 | word-break: break-all;
273 | overflow-wrap: break-word;
274 | }
275 |
276 | pre {
277 | border: 1px solid #eee;
278 | }
279 |
280 | pre .img, pre .r-plt {
281 | margin: 5px 0;
282 | }
283 |
284 | pre .img img, pre .r-plt img {
285 | background-color: #fff;
286 | }
287 |
288 | code a, pre a {
289 | color: #375f84;
290 | }
291 |
292 | a.sourceLine:hover {
293 | text-decoration: none;
294 | }
295 |
296 | .fl {color: #1514b5;}
297 | .fu {color: #000000;} /* function */
298 | .ch,.st {color: #036a07;} /* string */
299 | .kw {color: #264D66;} /* keyword */
300 | .co {color: #888888;} /* comment */
301 |
302 | .error {font-weight: bolder;}
303 | .warning {font-weight: bolder;}
304 |
305 | /* Clipboard --------------------------*/
306 |
307 | .hasCopyButton {
308 | position: relative;
309 | }
310 |
311 | .btn-copy-ex {
312 | position: absolute;
313 | right: 0;
314 | top: 0;
315 | visibility: hidden;
316 | }
317 |
318 | .hasCopyButton:hover button.btn-copy-ex {
319 | visibility: visible;
320 | }
321 |
322 | /* headroom.js ------------------------ */
323 |
324 | .headroom {
325 | will-change: transform;
326 | transition: transform 200ms linear;
327 | }
328 | .headroom--pinned {
329 | transform: translateY(0%);
330 | }
331 | .headroom--unpinned {
332 | transform: translateY(-100%);
333 | }
334 |
335 | /* mark.js ----------------------------*/
336 |
337 | mark {
338 | background-color: rgba(255, 255, 51, 0.5);
339 | border-bottom: 2px solid rgba(255, 153, 51, 0.3);
340 | padding: 1px;
341 | }
342 |
343 | /* vertical spacing after htmlwidgets */
344 | .html-widget {
345 | margin-bottom: 10px;
346 | }
347 |
348 | /* fontawesome ------------------------ */
349 |
350 | .fab {
351 | font-family: "Font Awesome 5 Brands" !important;
352 | }
353 |
354 | /* don't display links in code chunks when printing */
355 | /* source: https://stackoverflow.com/a/10781533 */
356 | @media print {
357 | code a:link:after, code a:visited:after {
358 | content: "";
359 | }
360 | }
361 |
362 | /* Section anchors ---------------------------------
363 | Added in pandoc 2.11: https://github.com/jgm/pandoc-templates/commit/9904bf71
364 | */
365 |
366 | div.csl-bib-body { }
367 | div.csl-entry {
368 | clear: both;
369 | }
370 | .hanging-indent div.csl-entry {
371 | margin-left:2em;
372 | text-indent:-2em;
373 | }
374 | div.csl-left-margin {
375 | min-width:2em;
376 | float:left;
377 | }
378 | div.csl-right-inline {
379 | margin-left:2em;
380 | padding-left:1em;
381 | }
382 | div.csl-indent {
383 | margin-left: 2em;
384 | }
385 |
--------------------------------------------------------------------------------
/docs/pkgdown.js:
--------------------------------------------------------------------------------
1 | /* http://gregfranko.com/blog/jquery-best-practices/ */
2 | (function($) {
3 | $(function() {
4 |
5 | $('.navbar-fixed-top').headroom();
6 |
7 | $('body').css('padding-top', $('.navbar').height() + 10);
8 | $(window).resize(function(){
9 | $('body').css('padding-top', $('.navbar').height() + 10);
10 | });
11 |
12 | $('[data-toggle="tooltip"]').tooltip();
13 |
14 | var cur_path = paths(location.pathname);
15 | var links = $("#navbar ul li a");
16 | var max_length = -1;
17 | var pos = -1;
18 | for (var i = 0; i < links.length; i++) {
19 | if (links[i].getAttribute("href") === "#")
20 | continue;
21 | // Ignore external links
22 | if (links[i].host !== location.host)
23 | continue;
24 |
25 | var nav_path = paths(links[i].pathname);
26 |
27 | var length = prefix_length(nav_path, cur_path);
28 | if (length > max_length) {
29 | max_length = length;
30 | pos = i;
31 | }
32 | }
33 |
34 | // Add class to parent
`).
76 | getTopLevel: function($scope) {
77 | for (var i = 1; i <= 6; i++) {
78 | var $headings = this.findOrFilter($scope, 'h' + i);
79 | if ($headings.length > 1) {
80 | return i;
81 | }
82 | }
83 |
84 | return 1;
85 | },
86 |
87 | // returns the elements for the top level, and the next below it
88 | getHeadings: function($scope, topLevel) {
89 | var topSelector = 'h' + topLevel;
90 |
91 | var secondaryLevel = topLevel + 1;
92 | var secondarySelector = 'h' + secondaryLevel;
93 |
94 | return this.findOrFilter($scope, topSelector + ',' + secondarySelector);
95 | },
96 |
97 | getNavLevel: function(el) {
98 | return parseInt(el.tagName.charAt(1), 10);
99 | },
100 |
101 | populateNav: function($topContext, topLevel, $headings) {
102 | var $context = $topContext;
103 | var $prevNav;
104 |
105 | var helpers = this;
106 | $headings.each(function(i, el) {
107 | var $newNav = helpers.generateNavItem(el);
108 | var navLevel = helpers.getNavLevel(el);
109 |
110 | // determine the proper $context
111 | if (navLevel === topLevel) {
112 | // use top level
113 | $context = $topContext;
114 | } else if ($prevNav && $context === $topContext) {
115 | // create a new level of the tree and switch to it
116 | $context = helpers.createChildNavList($prevNav);
117 | } // else use the current $context
118 |
119 | $context.append($newNav);
120 |
121 | $prevNav = $newNav;
122 | });
123 | },
124 |
125 | parseOps: function(arg) {
126 | var opts;
127 | if (arg.jquery) {
128 | opts = {
129 | $nav: arg
130 | };
131 | } else {
132 | opts = arg;
133 | }
134 | opts.$scope = opts.$scope || $(document.body);
135 | return opts;
136 | }
137 | },
138 |
139 | // accepts a jQuery object, or an options object
140 | init: function(opts) {
141 | opts = this.helpers.parseOps(opts);
142 |
143 | // ensure that the data attribute is in place for styling
144 | opts.$nav.attr('data-toggle', 'toc');
145 |
146 | var $topContext = this.helpers.createChildNavList(opts.$nav);
147 | var topLevel = this.helpers.getTopLevel(opts.$scope);
148 | var $headings = this.helpers.getHeadings(opts.$scope, topLevel);
149 | this.helpers.populateNav($topContext, topLevel, $headings);
150 | }
151 | };
152 |
153 | $(function() {
154 | $('nav[data-toggle="toc"]').each(function(i, el) {
155 | var $nav = $(el);
156 | Toc.init($nav);
157 | });
158 | });
159 | })();
160 |
--------------------------------------------------------------------------------
/docs/docsearch.css:
--------------------------------------------------------------------------------
1 | /* Docsearch -------------------------------------------------------------- */
2 | /*
3 | Source: https://github.com/algolia/docsearch/
4 | License: MIT
5 | */
6 |
7 | .algolia-autocomplete {
8 | display: block;
9 | -webkit-box-flex: 1;
10 | -ms-flex: 1;
11 | flex: 1
12 | }
13 |
14 | .algolia-autocomplete .ds-dropdown-menu {
15 | width: 100%;
16 | min-width: none;
17 | max-width: none;
18 | padding: .75rem 0;
19 | background-color: #fff;
20 | background-clip: padding-box;
21 | border: 1px solid rgba(0, 0, 0, .1);
22 | box-shadow: 0 .5rem 1rem rgba(0, 0, 0, .175);
23 | }
24 |
25 | @media (min-width:768px) {
26 | .algolia-autocomplete .ds-dropdown-menu {
27 | width: 175%
28 | }
29 | }
30 |
31 | .algolia-autocomplete .ds-dropdown-menu::before {
32 | display: none
33 | }
34 |
35 | .algolia-autocomplete .ds-dropdown-menu [class^=ds-dataset-] {
36 | padding: 0;
37 | background-color: rgb(255,255,255);
38 | border: 0;
39 | max-height: 80vh;
40 | }
41 |
42 | .algolia-autocomplete .ds-dropdown-menu .ds-suggestions {
43 | margin-top: 0
44 | }
45 |
46 | .algolia-autocomplete .algolia-docsearch-suggestion {
47 | padding: 0;
48 | overflow: visible
49 | }
50 |
51 | .algolia-autocomplete .algolia-docsearch-suggestion--category-header {
52 | padding: .125rem 1rem;
53 | margin-top: 0;
54 | font-size: 1.3em;
55 | font-weight: 500;
56 | color: #00008B;
57 | border-bottom: 0
58 | }
59 |
60 | .algolia-autocomplete .algolia-docsearch-suggestion--wrapper {
61 | float: none;
62 | padding-top: 0
63 | }
64 |
65 | .algolia-autocomplete .algolia-docsearch-suggestion--subcategory-column {
66 | float: none;
67 | width: auto;
68 | padding: 0;
69 | text-align: left
70 | }
71 |
72 | .algolia-autocomplete .algolia-docsearch-suggestion--content {
73 | float: none;
74 | width: auto;
75 | padding: 0
76 | }
77 |
78 | .algolia-autocomplete .algolia-docsearch-suggestion--content::before {
79 | display: none
80 | }
81 |
82 | .algolia-autocomplete .ds-suggestion:not(:first-child) .algolia-docsearch-suggestion--category-header {
83 | padding-top: .75rem;
84 | margin-top: .75rem;
85 | border-top: 1px solid rgba(0, 0, 0, .1)
86 | }
87 |
88 | .algolia-autocomplete .ds-suggestion .algolia-docsearch-suggestion--subcategory-column {
89 | display: block;
90 | padding: .1rem 1rem;
91 | margin-bottom: 0.1;
92 | font-size: 1.0em;
93 | font-weight: 400
94 | /* display: none */
95 | }
96 |
97 | .algolia-autocomplete .algolia-docsearch-suggestion--title {
98 | display: block;
99 | padding: .25rem 1rem;
100 | margin-bottom: 0;
101 | font-size: 0.9em;
102 | font-weight: 400
103 | }
104 |
105 | .algolia-autocomplete .algolia-docsearch-suggestion--text {
106 | padding: 0 1rem .5rem;
107 | margin-top: -.25rem;
108 | font-size: 0.8em;
109 | font-weight: 400;
110 | line-height: 1.25
111 | }
112 |
113 | .algolia-autocomplete .algolia-docsearch-footer {
114 | width: 110px;
115 | height: 20px;
116 | z-index: 3;
117 | margin-top: 10.66667px;
118 | float: right;
119 | font-size: 0;
120 | line-height: 0;
121 | }
122 |
123 | .algolia-autocomplete .algolia-docsearch-footer--logo {
124 | background-image: url("data:image/svg+xml;utf8,");
125 | background-repeat: no-repeat;
126 | background-position: 50%;
127 | background-size: 100%;
128 | overflow: hidden;
129 | text-indent: -9000px;
130 | width: 100%;
131 | height: 100%;
132 | display: block;
133 | transform: translate(-8px);
134 | }
135 |
136 | .algolia-autocomplete .algolia-docsearch-suggestion--highlight {
137 | color: #FF8C00;
138 | background: rgba(232, 189, 54, 0.1)
139 | }
140 |
141 |
142 | .algolia-autocomplete .algolia-docsearch-suggestion--text .algolia-docsearch-suggestion--highlight {
143 | box-shadow: inset 0 -2px 0 0 rgba(105, 105, 105, .5)
144 | }
145 |
146 | .algolia-autocomplete .ds-suggestion.ds-cursor .algolia-docsearch-suggestion--content {
147 | background-color: rgba(192, 192, 192, .15)
148 | }
149 |
--------------------------------------------------------------------------------
/docs/docsearch.js:
--------------------------------------------------------------------------------
1 | $(function() {
2 |
3 | // register a handler to move the focus to the search bar
4 | // upon pressing shift + "/" (i.e. "?")
5 | $(document).on('keydown', function(e) {
6 | if (e.shiftKey && e.keyCode == 191) {
7 | e.preventDefault();
8 | $("#search-input").focus();
9 | }
10 | });
11 |
12 | $(document).ready(function() {
13 | // do keyword highlighting
14 | /* modified from https://jsfiddle.net/julmot/bL6bb5oo/ */
15 | var mark = function() {
16 |
17 | var referrer = document.URL ;
18 | var paramKey = "q" ;
19 |
20 | if (referrer.indexOf("?") !== -1) {
21 | var qs = referrer.substr(referrer.indexOf('?') + 1);
22 | var qs_noanchor = qs.split('#')[0];
23 | var qsa = qs_noanchor.split('&');
24 | var keyword = "";
25 |
26 | for (var i = 0; i < qsa.length; i++) {
27 | var currentParam = qsa[i].split('=');
28 |
29 | if (currentParam.length !== 2) {
30 | continue;
31 | }
32 |
33 | if (currentParam[0] == paramKey) {
34 | keyword = decodeURIComponent(currentParam[1].replace(/\+/g, "%20"));
35 | }
36 | }
37 |
38 | if (keyword !== "") {
39 | $(".contents").unmark({
40 | done: function() {
41 | $(".contents").mark(keyword);
42 | }
43 | });
44 | }
45 | }
46 | };
47 |
48 | mark();
49 | });
50 | });
51 |
52 | /* Search term highlighting ------------------------------*/
53 |
54 | function matchedWords(hit) {
55 | var words = [];
56 |
57 | var hierarchy = hit._highlightResult.hierarchy;
58 | // loop to fetch from lvl0, lvl1, etc.
59 | for (var idx in hierarchy) {
60 | words = words.concat(hierarchy[idx].matchedWords);
61 | }
62 |
63 | var content = hit._highlightResult.content;
64 | if (content) {
65 | words = words.concat(content.matchedWords);
66 | }
67 |
68 | // return unique words
69 | var words_uniq = [...new Set(words)];
70 | return words_uniq;
71 | }
72 |
73 | function updateHitURL(hit) {
74 |
75 | var words = matchedWords(hit);
76 | var url = "";
77 |
78 | if (hit.anchor) {
79 | url = hit.url_without_anchor + '?q=' + escape(words.join(" ")) + '#' + hit.anchor;
80 | } else {
81 | url = hit.url + '?q=' + escape(words.join(" "));
82 | }
83 |
84 | return url;
85 | }
86 |
--------------------------------------------------------------------------------
/docs/index.html:
--------------------------------------------------------------------------------
1 |
2 |
3 |
4 |
5 |
6 |
7 |
8 | Downloads and Organizes Financial Data for Multiple Tickers • BatchGetSymbols
9 |
10 |
11 |
12 |
13 |
14 |
15 |
16 |
20 |
21 |
22 |
23 |
24 |
25 |
67 |
68 |
69 |
70 |
71 |
72 |
73 |
74 |
75 | Deprecated!
76 |
77 | Package BatchGetSymbols is soft-deprecated in favor of
78 | yfR. See this Readme.md for my motivation
79 | in writing a new R package. In practice, this means that
80 | BatchGetSymbols is no longer maintained besides the
81 | correction of major bugs. All efforts goes to the development of
82 | yfR.
83 | While BatchGetSymbols will be be available in CRAN in
84 | the near future, my plan is to remove it from CRAN and archive it in
85 | Github once yfR becames more stable.
86 |
87 |
88 | Motivation
89 |
90 |
91 | BatchGetSymbols is a R package for large-scale download of financial
92 | data from Yahoo Finance. Based on a set of tickers and date ranges, the
93 | package will download and organize the financial data in the tidy/long
94 | format.
95 |
96 |
97 | Warnings
98 |
99 |
100 | Yahoo finance data is far from perfect or reliable, specially for
101 | individual stocks. In my experience, using it for research code with
102 | stock indices is fine and I can match it with other
103 | data sources. But, adjusted stock prices for individual
104 | assets is messy as stock events such as splits or dividends are
105 | not properly registered. I was never able to match it with other data
106 | sources. My advice is to never use the data of individual stocks in
107 | production.
Since version 2.6, the cache system is session-persistent by
109 | default, meaning that whenever you restart your R session, you lose all
110 | your cached data. This is a safety feature for mismatching prices due to
111 | corporate events.
113 |
114 |
115 | Main features:
116 |
117 |
118 | - Organizes data in a tabular/long or wide format, returning prices
119 | and returns (arithmetic or logarithmic)
120 | - A session-persistent cache system was implemented in version 2.0,
121 | meaning that the data is saved locally and only missing portions of the
122 | data are downloaded, if needed.
123 | - All dates are compared to a benchmark ticker such as SP500 and,
124 | whenever an individual asset does not have a sufficient number of dates,
125 | the software drops it from the output. This means you can choose to
126 | ignore tickers with high number of missing dates.
127 | - Allows the choice for the wide format, with tickers as columns
128 | - Users can choose the frequency of the resulting dataset (daily,
129 | weekly, monthly, yearly)
130 | - Option for parallel computing, speeding up the data importation
131 | process
132 |
133 |
134 |
135 | Installation
136 |
137 | # CRAN (official release)
138 | install.packages('BatchGetSymbols')
139 |
140 | # Github (dev version)
141 | devtools::install_github('msperlin/BatchGetSymbols')
142 |
143 |
144 | A simple example
145 |
146 | See vignette.
147 |
148 |
149 |
150 |
151 |
184 |
185 |
186 |
187 |
199 |
200 |
201 |
202 |
203 |
204 |
205 |
206 |
207 |
208 |
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/docs/link.svg:
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1 |
2 |
3 |
13 |
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/docs/news/index.html:
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1 |
2 | Changelog • BatchGetSymbols
6 |
7 |
8 |
9 |
44 |
45 |
46 |
47 |
48 |
49 |
50 | Changelog
51 |
52 |
53 |
54 |
58 |
62 |
63 | Version 2.6.1 (2020-11-27)2020-11-28
64 | - Fixed issue issue
65 | 21, which only happened in Windows.
66 | - changed default cache dir for ticker grabbing function
67 |
68 |
69 | Version 2.6 (2020-11-22)2020-11-22
70 | - The cache system is now session-persistent with
71 |
cache.dir = file.path(tempdir(), 'BGS_Cache'). This solves
72 | the problem with mismatching price series from cached data between
73 | splits or dividends. A new warning is set whenever the user uses
74 | cache.dir different from temp.dir()
75 | - removed dplyr grouping message
76 |
77 |
78 | Version 2.5.9 (2020-11-17)2020-11-17
79 | - removed rownames from output (issue
80 | 18)
81 | - Made sure that, on “weekly” mode, the first day of week is a monday
82 | (issue
83 | 19)
84 | - Added input how.to.aggregate that will allow the user to aggregate
85 | de data by the last or first prices of intervals (issue
86 | 19)
87 |
88 |
92 |
93 | Version 2.5.7 (2020-04-21)2020-04-21
94 | - Fixed bug in sp500 fct
95 | - Fixed bug with repeated rows of data (git issue
96 | 16)
97 |
98 |
99 | Version 2.5.6 (2020-02-25)2020-02-25
100 | - Improved startup message for 2020 book (link to online version)
101 |
102 |
103 | Version 2.5.5 (2019-02-17)2020-02-13
104 | - Fixed bug in cleaning function
105 | - Added startup message for 2020 book
106 |
107 |
111 |
112 | Version 2.5.3 (2019-07-05)2019-08-05
113 | - Added option for keeping function quiet (be.quiet)
114 | - Once again fixed function for grabbing stocks from the SP500
115 | index
116 |
117 |
121 |
125 |
126 | Version 2.5 (2019-04-13)2019-04-15
127 | - Implemented option for parallel computations with
128 | BatchGetSymbols
129 | - Added caching system for index grabing functions (SP500 and
130 | IBOV)
131 |
132 |
133 | Version 2.4 (2019-03-23)2019-03-23
134 | - Fixed bug in function that downloads SP500 data.
135 |
136 |
137 | Version 2.3 (2018-11-25)2018-11-25
138 | - User can now choose to return a full balanced price dataset by
139 | filling NA values or volume == 0 for their closest prices.
140 | - Fixed small bug in cache system when an empty dataframe is
141 | returned
142 | - Fixed bug in function that downloads ibovespa’s composition
143 |
144 |
145 | Version 2.2 (2018-10-10)2018-10-11
146 | - Users can now set frequency of data (daily, weekly, monthly or
147 | yearly)
148 |
149 |
150 | Version 2.1 (2018-05-08)2018-05-08
151 | Small update:
152 | - added startup message with book link
153 |
154 |
155 | Version 2.0 (2018-01-22)2018-01-22
156 | Major update:
157 | - New fct GetIBovStocks for downloading current composition of
158 | Ibovespa
159 | - New fct for changing to wide format
160 | - Now the output includes returns and not only prices
161 | - removed annoying startup message
162 | - implemented clever caching system for financial data
163 | - simplified input dates (no need for Date class any more)
164 |
165 |
166 | Version 1.2 (2017-06-26)2017-06-26
167 | - Fixed issue with GetSP500(). The wikipedia page changed its
168 | code..
169 |
170 |
177 |
181 |
182 |
183 |
186 |
187 |
188 |
189 |
190 |
200 |
201 |
202 |
203 |
204 |
205 |
206 |
207 |
208 |
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/docs/pkgdown.css:
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1 | /* Sticky footer */
2 |
3 | /**
4 | * Basic idea: https://philipwalton.github.io/solved-by-flexbox/demos/sticky-footer/
5 | * Details: https://github.com/philipwalton/solved-by-flexbox/blob/master/assets/css/components/site.css
6 | *
7 | * .Site -> body > .container
8 | * .Site-content -> body > .container .row
9 | * .footer -> footer
10 | *
11 | * Key idea seems to be to ensure that .container and __all its parents__
12 | * have height set to 100%
13 | *
14 | */
15 |
16 | html, body {
17 | height: 100%;
18 | }
19 |
20 | body {
21 | position: relative;
22 | }
23 |
24 | body > .container {
25 | display: flex;
26 | height: 100%;
27 | flex-direction: column;
28 | }
29 |
30 | body > .container .row {
31 | flex: 1 0 auto;
32 | }
33 |
34 | footer {
35 | margin-top: 45px;
36 | padding: 35px 0 36px;
37 | border-top: 1px solid #e5e5e5;
38 | color: #666;
39 | display: flex;
40 | flex-shrink: 0;
41 | }
42 | footer p {
43 | margin-bottom: 0;
44 | }
45 | footer div {
46 | flex: 1;
47 | }
48 | footer .pkgdown {
49 | text-align: right;
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103 | /* Fixes for fixed navbar --------------------------*/
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204 | }
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207 |
208 | nav[data-toggle='toc'] .nav .nav {
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211 | }
212 |
213 | nav[data-toggle='toc'] .nav .nav > li > a {
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221 | }
222 |
223 | nav[data-toggle='toc'] .nav .nav > .active > a,
224 | nav[data-toggle='toc'] .nav .nav > .active:hover > a,
225 | nav[data-toggle='toc'] .nav .nav > .active:focus > a {
226 | padding-left: 15px;
227 | font-weight: 500;
228 | font-size: 1.35rem;
229 | }
230 |
231 | /* orcid ------------------------------------------------------------------- */
232 |
233 | .orcid {
234 | font-size: 16px;
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237 | margin-left:4px;
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240 | }
241 |
242 | /* Reference index & topics ----------------------------------------------- */
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244 | .ref-index th {font-weight: normal;}
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250 | .ref-index .title {width: 60%;}
251 |
252 | .ref-arguments th {text-align: right; padding-right: 10px;}
253 | .ref-arguments th, .ref-arguments td {vertical-align: top; min-width: 100px}
254 | .ref-arguments .name {width: 20%;}
255 | .ref-arguments .desc {width: 80%;}
256 |
257 | /* Nice scrolling for wide elements --------------------------------------- */
258 |
259 | table {
260 | display: block;
261 | overflow: auto;
262 | }
263 |
264 | /* Syntax highlighting ---------------------------------------------------- */
265 |
266 | pre, code, pre code {
267 | background-color: #f8f8f8;
268 | color: #333;
269 | }
270 | pre, pre code {
271 | white-space: pre-wrap;
272 | word-break: break-all;
273 | overflow-wrap: break-word;
274 | }
275 |
276 | pre {
277 | border: 1px solid #eee;
278 | }
279 |
280 | pre .img, pre .r-plt {
281 | margin: 5px 0;
282 | }
283 |
284 | pre .img img, pre .r-plt img {
285 | background-color: #fff;
286 | }
287 |
288 | code a, pre a {
289 | color: #375f84;
290 | }
291 |
292 | a.sourceLine:hover {
293 | text-decoration: none;
294 | }
295 |
296 | .fl {color: #1514b5;}
297 | .fu {color: #000000;} /* function */
298 | .ch,.st {color: #036a07;} /* string */
299 | .kw {color: #264D66;} /* keyword */
300 | .co {color: #888888;} /* comment */
301 |
302 | .error {font-weight: bolder;}
303 | .warning {font-weight: bolder;}
304 |
305 | /* Clipboard --------------------------*/
306 |
307 | .hasCopyButton {
308 | position: relative;
309 | }
310 |
311 | .btn-copy-ex {
312 | position: absolute;
313 | right: 0;
314 | top: 0;
315 | visibility: hidden;
316 | }
317 |
318 | .hasCopyButton:hover button.btn-copy-ex {
319 | visibility: visible;
320 | }
321 |
322 | /* headroom.js ------------------------ */
323 |
324 | .headroom {
325 | will-change: transform;
326 | transition: transform 200ms linear;
327 | }
328 | .headroom--pinned {
329 | transform: translateY(0%);
330 | }
331 | .headroom--unpinned {
332 | transform: translateY(-100%);
333 | }
334 |
335 | /* mark.js ----------------------------*/
336 |
337 | mark {
338 | background-color: rgba(255, 255, 51, 0.5);
339 | border-bottom: 2px solid rgba(255, 153, 51, 0.3);
340 | padding: 1px;
341 | }
342 |
343 | /* vertical spacing after htmlwidgets */
344 | .html-widget {
345 | margin-bottom: 10px;
346 | }
347 |
348 | /* fontawesome ------------------------ */
349 |
350 | .fab {
351 | font-family: "Font Awesome 5 Brands" !important;
352 | }
353 |
354 | /* don't display links in code chunks when printing */
355 | /* source: https://stackoverflow.com/a/10781533 */
356 | @media print {
357 | code a:link:after, code a:visited:after {
358 | content: "";
359 | }
360 | }
361 |
362 | /* Section anchors ---------------------------------
363 | Added in pandoc 2.11: https://github.com/jgm/pandoc-templates/commit/9904bf71
364 | */
365 |
366 | div.csl-bib-body { }
367 | div.csl-entry {
368 | clear: both;
369 | }
370 | .hanging-indent div.csl-entry {
371 | margin-left:2em;
372 | text-indent:-2em;
373 | }
374 | div.csl-left-margin {
375 | min-width:2em;
376 | float:left;
377 | }
378 | div.csl-right-inline {
379 | margin-left:2em;
380 | padding-left:1em;
381 | }
382 | div.csl-indent {
383 | margin-left: 2em;
384 | }
385 |
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/docs/pkgdown.js:
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1 | /* http://gregfranko.com/blog/jquery-best-practices/ */
2 | (function($) {
3 | $(function() {
4 |
5 | $('.navbar-fixed-top').headroom();
6 |
7 | $('body').css('padding-top', $('.navbar').height() + 10);
8 | $(window).resize(function(){
9 | $('body').css('padding-top', $('.navbar').height() + 10);
10 | });
11 |
12 | $('[data-toggle="tooltip"]').tooltip();
13 |
14 | var cur_path = paths(location.pathname);
15 | var links = $("#navbar ul li a");
16 | var max_length = -1;
17 | var pos = -1;
18 | for (var i = 0; i < links.length; i++) {
19 | if (links[i].getAttribute("href") === "#")
20 | continue;
21 | // Ignore external links
22 | if (links[i].host !== location.host)
23 | continue;
24 |
25 | var nav_path = paths(links[i].pathname);
26 |
27 | var length = prefix_length(nav_path, cur_path);
28 | if (length > max_length) {
29 | max_length = length;
30 | pos = i;
31 | }
32 | }
33 |
34 | // Add class to parent
72 |
185 |
186 |
187 |
199 |
73 |
74 |
150 |
151 |
184 |
75 |
87 | Deprecated! 76 |
77 |Package BatchGetSymbols is soft-deprecated in favor of
78 | yfR. See this Readme.md for my motivation
79 | in writing a new R package. In practice, this means that
80 | BatchGetSymbols is no longer maintained besides the
81 | correction of major bugs. All efforts goes to the development of
82 | yfR.
While BatchGetSymbols will be be available in CRAN in
84 | the near future, my plan is to remove it from CRAN and archive it in
85 | Github once yfR becames more stable.
88 |
96 | Motivation 89 |
90 |BatchGetSymbols is a R package for large-scale download of financial 92 | data from Yahoo Finance. Based on a set of tickers and date ranges, the 93 | package will download and organize the financial data in the tidy/long 94 | format.
95 |
97 |
114 | Warnings 98 |
99 |-
100 |
Yahoo finance data is far from perfect or reliable, specially for 101 | individual stocks. In my experience, using it for research code with 102 | stock indices is fine and I can match it with other 103 | data sources. But, adjusted stock prices for individual 104 | assets is messy as stock events such as splits or dividends are 105 | not properly registered. I was never able to match it with other data 106 | sources. My advice is to never use the data of individual stocks in 107 | production.
108 | Since version 2.6, the cache system is session-persistent by 109 | default, meaning that whenever you restart your R session, you lose all 110 | your cached data. This is a safety feature for mismatching prices due to 111 | corporate events.
112 |
115 |
134 | Main features: 116 |
117 |-
118 |
- Organizes data in a tabular/long or wide format, returning prices 119 | and returns (arithmetic or logarithmic) 120 |
- A session-persistent cache system was implemented in version 2.0, 121 | meaning that the data is saved locally and only missing portions of the 122 | data are downloaded, if needed. 123 |
- All dates are compared to a benchmark ticker such as SP500 and, 124 | whenever an individual asset does not have a sufficient number of dates, 125 | the software drops it from the output. This means you can choose to 126 | ignore tickers with high number of missing dates. 127 |
- Allows the choice for the wide format, with tickers as columns 128 |
- Users can choose the frequency of the resulting dataset (daily, 129 | weekly, monthly, yearly) 130 |
- Option for parallel computing, speeding up the data importation 131 | process 132 |
135 |
143 | Installation 136 |
137 |# CRAN (official release)
138 | install.packages('BatchGetSymbols')
139 |
140 | # Github (dev version)
141 | devtools::install_github('msperlin/BatchGetSymbols')
144 |
148 |
149 | A simple example 145 |
146 |See vignette.
147 |
48 |
188 |
189 |
190 |
49 |
182 |
183 |
186 |
187 |
50 |
53 |
54 |
58 |
62 | Changelog
51 | 52 |
63 |
68 | Version 2.6.1 (2020-11-27)2020-11-28
64 |- Fixed issue issue 65 | 21, which only happened in Windows. 66 |
- changed default cache dir for ticker grabbing function 67 |
69 |
77 | Version 2.6 (2020-11-22)2020-11-22
70 |- The cache system is now session-persistent with
71 |
cache.dir = file.path(tempdir(), 'BGS_Cache'). This solves 72 | the problem with mismatching price series from cached data between 73 | splits or dividends. A new warning is set whenever the user uses 74 | cache.dir different from temp.dir()
75 | - removed dplyr grouping message 76 |
78 |
88 |
92 | Version 2.5.9 (2020-11-17)2020-11-17
79 |- removed rownames from output (issue 80 | 18) 81 |
- Made sure that, on “weekly” mode, the first day of week is a monday 82 | (issue 83 | 19) 84 |
- Added input how.to.aggregate that will allow the user to aggregate 85 | de data by the last or first prices of intervals (issue 86 | 19) 87 |
93 |
98 | Version 2.5.7 (2020-04-21)2020-04-21
94 |- Fixed bug in sp500 fct 95 |
- Fixed bug with repeated rows of data (git issue 96 | 16) 97 |
99 |
102 | Version 2.5.6 (2020-02-25)2020-02-25
100 |- Improved startup message for 2020 book (link to online version) 101 |
103 |
107 |
111 | Version 2.5.5 (2019-02-17)2020-02-13
104 |- Fixed bug in cleaning function 105 |
- Added startup message for 2020 book 106 |
112 |
117 |
121 |
125 | Version 2.5.3 (2019-07-05)2019-08-05
113 |- Added option for keeping function quiet (be.quiet) 114 |
- Once again fixed function for grabbing stocks from the SP500 115 | index 116 |
126 |
132 | Version 2.5 (2019-04-13)2019-04-15
127 |- Implemented option for parallel computations with 128 | BatchGetSymbols 129 |
- Added caching system for index grabing functions (SP500 and 130 | IBOV) 131 |
133 |
136 | Version 2.4 (2019-03-23)2019-03-23
134 |- Fixed bug in function that downloads SP500 data. 135 |
137 |
144 | Version 2.3 (2018-11-25)2018-11-25
138 |- User can now choose to return a full balanced price dataset by 139 | filling NA values or volume == 0 for their closest prices. 140 |
- Fixed small bug in cache system when an empty dataframe is 141 | returned 142 |
- Fixed bug in function that downloads ibovespa’s composition 143 |
145 |
149 | Version 2.2 (2018-10-10)2018-10-11
146 |- Users can now set frequency of data (daily, weekly, monthly or 147 | yearly) 148 |
150 |
154 | Version 2.1 (2018-05-08)2018-05-08
151 |Small update:
152 |- added startup message with book link 153 |
155 |
165 | Version 2.0 (2018-01-22)2018-01-22
156 |Major update:
157 |- New fct GetIBovStocks for downloading current composition of 158 | Ibovespa 159 |
- New fct for changing to wide format 160 |
- Now the output includes returns and not only prices 161 |
- removed annoying startup message 162 |
- implemented clever caching system for financial data 163 |
- simplified input dates (no need for Date class any more) 164 |
166 |
170 |
177 |
181 | Version 1.2 (2017-06-26)2017-06-26
167 |- Fixed issue with GetSP500(). The wikipedia page changed its 168 | code.. 169 |
9 |
44 |
45 |
46 |
47 |
103 |
104 |
105 |
106 |
107 |
108 |
109 |
110 |
111 |
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/docs/reference/GetIbovStocks.html:
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1 |
2 |
48 |
91 |
92 |
93 |
49 |
87 |
90 |
50 |
53 |
54 |
55 | Function to download the current components of the FTSE100 index from Wikipedia
51 | 52 |GetFTSE100Stocks.Rd
56 |
58 |
59 | This function scrapes the stocks that constitute the FTSE100 index from the wikipedia page at <https://en.wikipedia.org/wiki/FTSE_100_Index#List_of_FTSE_100_companies>.
57 |
60 |
64 |
65 |
66 |
67 |
73 | Arguments
68 |- do.cache 69 |
Use cache system? (default = TRUE)
70 | - cache.folder 71 |
Where to save cache files? (default = file.path(tempdir(), 'BGS_Cache') )
72 |
74 |
77 |
78 | Value
75 |A dataframe that includes a column with the list of tickers of companies that belong to the FTSE100 index
76 |
79 |
85 |
86 | Examples
80 |if (FALSE) {
81 | df.FTSE100 <- GetFTSE100Stocks()
82 | print(df.FTSE100$tickers)
83 | }
84 |
9 |
44 |
45 |
46 |
47 |
106 |
107 |
108 |
109 |
110 |
111 |
112 |
113 |
114 |
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/docs/reference/GetSP500Stocks.html:
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1 |
2 |
48 |
94 |
95 |
96 |
49 |
90 |
93 |
50 |
53 |
54 |
55 | Function to download the current components of the Ibovespa index from Bovespa website
51 | 52 |GetIbovStocks.Rd
56 |
58 |
59 | This function scrapes the stocks that constitute the Ibovespa index from the wikipedia page at http://bvmf.bmfbovespa.com.br/indices/ResumoCarteiraTeorica.aspx?Indice=IBOV&idioma=pt-br.
57 |
60 |
65 |
66 |
67 |
68 |
76 | Arguments
69 |- do.cache 70 |
Use cache system? (default = TRUE)
71 | - cache.folder 72 |
Where to save cache files? (default = file.path(tempdir(), 'BGS_Cache') )
73 | - max.tries 74 |
Maximum number of attempts to download the data
75 |
77 |
80 |
81 | Value
78 |A dataframe that includes a column with the list of tickers of companies that belong to the Ibovespa index
79 |
82 |
88 |
89 | Examples
83 |if (FALSE) {
84 | df.ibov <- GetIbovStocks()
85 | print(df.ibov$tickers)
86 | }
87 |
9 |
44 |
45 |
46 |
47 |
103 |
104 |
105 |
106 |
107 |
108 |
109 |
110 |
111 |
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/docs/reference/Rplot001.png:
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https://raw.githubusercontent.com/msperlin/BatchGetSymbols/689c84c0fe5177d50afbe6473a7aa1abbf53c29e/docs/reference/Rplot001.png
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/docs/reference/calc.ret.html:
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1 |
2 |
48 |
91 |
92 |
93 |
49 |
87 |
90 |
50 |
53 |
54 |
55 | Function to download the current components of the SP500 index from Wikipedia
51 | 52 |GetSP500Stocks.Rd
56 |
58 |
59 | This function scrapes the stocks that constitute the SP500 index from the wikipedia page at https://en.wikipedia.org/wiki/List_of_S
57 |
60 |
64 |
65 |
66 |
67 |
73 | Arguments
68 |- do.cache 69 |
Use cache system? (default = TRUE)
70 | - cache.folder 71 |
Where to save cache files? (default = file.path(tempdir(), 'BGS_Cache') )
72 |
74 |
77 |
78 | Value
75 |A dataframe that includes a column with the list of tickers of companies that belong to the SP500 index
76 |
79 |
85 |
86 | Examples
80 |if (FALSE) {
81 | df.SP500 <- GetSP500Stocks()
82 | print(df.SP500$tickers)
83 | }
84 |
9 |
44 |
45 |
46 |
47 |
100 |
101 |
102 |
103 |
104 |
105 |
106 |
107 |
108 |
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/docs/reference/df.fill.na.html:
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1 |
2 |
48 |
88 |
89 |
90 |
49 |
84 |
87 |
50 |
53 |
54 |
55 | Function to calculate returns from a price and ticker vector
51 | 52 |calc.ret.Rd
56 |
58 |
59 |
62 |
63 | Created so that a return column is added to a dataframe with prices in the long (tidy) format.
57 |
64 |
72 | Arguments
65 |- P 66 |
Price vector
67 | - tickers 68 |
Ticker of symbols (usefull if working with long dataframe)
69 | - type.return 70 |
Type of price return to calculate: 'arit' (default) - aritmetic, 'log' - log returns.
71 |
73 |
76 |
77 | Value
74 |A vector of returns
75 |
78 |
82 |
83 | Examples
79 |P <- c(1,2,3)
80 | R <- calc.ret(P)
81 |
9 |
44 |
45 |
46 |
47 |
100 |
101 |
102 |
103 |
104 |
105 |
106 |
107 |
108 |
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/docs/reference/fix.ticker.name.html:
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1 |
2 |
48 |
88 |
89 |
90 |
49 |
84 |
87 |
50 |
53 |
54 |
55 | Replaces NA values in dataframe for closest price
51 | 52 |df.fill.na.Rd
56 |
58 |
59 | Helper function for BatchGetSymbols. Replaces NA values and returns fixed dataframe.
57 |
60 |
61 |
62 |
63 | df.fill.na(df.in)
64 |
68 | Arguments
65 |- df.in 66 |
DAtaframe to be fixed
67 |
69 |
72 |
73 | Value
70 |A fixed dataframe.
71 |
74 |
82 |
83 | Examples
75 |
76 | df <- data.frame(price.adjusted = c(NA, 10, 11, NA, 12, 12.5, NA ), volume = c(1,10, 0, 2, 0, 1, 5))
77 |
78 | df.fixed.na <- df.fill.na(df)
79 | #> NULL
80 |
81 |
9 |
44 |
45 |
46 |
47 |
98 |
99 |
100 |
101 |
102 |
103 |
104 |
105 |
106 |
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1 |
2 |
48 |
86 |
87 |
88 |
49 |
82 |
85 |
50 |
53 |
54 |
55 | Fix name of ticker
51 | 52 |fix.ticker.name.Rd
56 |
58 |
59 | Removes bad symbols from names of tickers. This is useful for naming files with cache system.
57 |
60 |
61 |
62 |
63 | fix.ticker.name(ticker.in)
64 |
68 | Arguments
65 |- ticker.in 66 |
A bad ticker name
67 |
69 |
72 |
73 | Value
70 |A good ticker name
71 |
74 |
80 |
81 | Examples
75 |bad.ticker <- '^GSPC'
76 | good.ticker <- fix.ticker.name(bad.ticker)
77 | good.ticker
78 | #> [1] "GSPC"
79 |
9 |
44 |
45 |
46 |
47 |
104 |
105 |
106 |
107 |
108 |
109 |
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111 |
112 |
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1 |
2 |
48 |
92 |
93 |
94 |
49 |
88 |
91 |
50 |
53 |
54 |
55 | Get clean data from yahoo/google
51 | 52 |get.clean.data.Rd
56 |
58 |
59 | Get clean data from yahoo/google
57 |
60 |
61 |
62 |
63 | get.clean.data(tickers, src = "yahoo", first.date, last.date)
64 |
75 | Arguments
65 |- tickers 66 |
A vector of tickers. If not sure whether the ticker is available, check the websites of google and yahoo finance. The source for downloading 67 | the data can either be Google or Yahoo. The function automatically selects the source webpage based on the input ticker.
68 | - src 69 |
Source of data (yahoo or google)
70 | - first.date 71 |
The first date to download data (date or char as YYYY-MM-DD)
72 | - last.date 73 |
The last date to download data (date or char as YYYY-MM-DD)
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87 | Value
77 |A dataframe with the cleaned data
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53 | Reference
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54 | All functions55 | 56 | |
57 | |
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| 58 | 59 | | 60 |Function to download financial data |
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| 62 | 63 | | 64 |Function to download the current components of the FTSE100 index from Wikipedia |
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| 66 | 67 | | 68 |Function to download the current components of the Ibovespa index from Bovespa website |
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| 70 | 71 | | 72 |Function to download the current components of the SP500 index from Wikipedia |
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| 74 | 75 | | 76 |Function to calculate returns from a price and ticker vector |
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| 78 | 79 | | 80 |Replaces NA values in dataframe for closest price |
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| 82 | 83 | | 84 |Fix name of ticker |
85 |
| 86 | 87 | | 88 |Get clean data from yahoo/google |
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| 90 | 91 | | 92 |An improved version of function |
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| 94 | 95 | | 96 |Transforms a dataframe in the long format to a list of dataframes in the wide format |
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51 | An improved version of function
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56 | An improved version of function getSymbols from quantmod
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53 | myGetSymbols.Rd
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60 |
61 | This is a helper function to BatchGetSymbols and it should normaly not be called directly. The purpose of this function is to download financial data based on a ticker and a time period.
58 | The main difference from getSymbols is that it imports the data as a dataframe with proper named columns and saves data locally with the caching system.
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103 | Arguments
79 |- ticker 80 |
A single ticker to download data
81 | - i.ticker 82 |
A index for the stock that is downloading (for cat() purposes)
83 | - length.tickers 84 |
total number of stocks being downloaded (also for cat() purposes)
85 | - src 86 |
The source of the data ('google' or'yahoo')
87 | - first.date 88 |
The first date to download data (date or char as YYYY-MM-DD)
89 | - last.date 90 |
The last date to download data (date or char as YYYY-MM-DD)
91 | - do.cache 92 |
Use cache system? (default = TRUE)
93 | - cache.folder 94 |
Where to save cache files? (default = file.path(tempdir(), 'BGS_Cache') )
95 | - df.bench 96 |
Data for bechmark ticker
97 | - be.quiet 98 |
Logical for printing statements (default = FALSE)
99 | - thresh.bad.data 100 |
A percentage threshold for defining bad data. The dates of the benchmark ticker are compared to each asset. If the percentage of non-missing dates 101 | with respect to the benchmark ticker is lower than thresh.bad.data, the function will ignore the asset (default = 0.75)
102 |
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107 | Value
105 |A dataframe with the financial data
106 |
108 |
110 |
111 |
112 |
126 | See also
109 |getSymbols for the base function