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@ivannp
Created May 27, 2014
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#' Saves symbols (from an environment) to a specified directory
#'
#' The files (one per symbol) are saved in \code{dir}. The file name
#' is the symbol itself, and the file extension is RData.
#'
#' @param symbols The symbols
#' @param dir The destination folder (file system directory). It must exist.
#' @param env The environment containing the symbols
#'
#' @examples
#' \dontrun{
#' data = new.env()
#' tickers = spl('SPY,EFA,EWJ,EEM,IYR,RWX,IEF,TLT,DBC,GLD,USO')
#' getSymbols(tickers, src="yahoo", from="1980-01-01", auto.assign=T, env=data)
#' save.symbols(tickers, "~/yahoo_data/", envir=data)
#' }
save.symbols = function(symbols, dir, env=parent.frame())
{
for(each.symbol in symbols) {
# Leading '^' (used for indexes, like ^DJI) is dropped when
# quantmod constructs the variable name
var.name = gsub('^\\^', '', each.symbol)
save(list=var.name, file=paste(dir, '/', each.symbol, ".RData", sep=''), envir=env)
}
}
#' Retrieves symbols from Yahoo using an intermidiate directory as a cache.
#'
#' Loads symbols from a directory. If any of the symbols is not available,
#' a call to \code{getSymbols} is driven to download all symbols. The
#' downloaded symbols are saved to the specified directory before returning
#' them to the used (via the environment parameter).
#'
#' If \code{force} is \code{TRUE}, then the symbols are downloaded regardless.
#'
#' @param symbols The symbols
#' @param dir The destination folder (file system directory). It must exist.
#' @param env The environment used to return the symbols
#' @param force If true, the downloaded is performed
#'
#' @examples
#' \dontrun{
#' data = new.env()
#' tickers = spl('SPY,EFA,EWJ,EEM,IYR,RWX,IEF,TLT,DBC,GLD,USO')
#' get.yahoo.symbols(tickers, "~/yahoo_data/", env=data)
#' }
get.yahoo.symbols = function(symbols, dir, env, force=FALSE) {
# Leading '^' (used for indexes, like ^DJI) is dropped when
# quantmod constructs the variable name
var.names = gsub('^\\^', '', symbols)
done = FALSE
if(!force) {
# Try the local cache first
getSymbols(symbols, src="RData", ext="RData", dir=dir, env=env, auto.assign=TRUE)
# Verify that we got all symbols, in which case we are done
if(!any(is.na(match(var.names, ls(env))))) {
done = TRUE
}
}
if(!done) {
# Either a symbol was not found in the cache, or the caller forced us to download and cache
getSymbols(symbols, env=env, src="yahoo", from="1900-01-01", auto.assign=TRUE)
for(ss in ls(env)) {
# Adjust only for splits
env[[ss]] = adjustOHLC(env[[ss]], use.Adjusted=F, adjust="split", symbol.name=symbols[as.numeric(match(ss, var.names))])
}
# Cache the symbols
save.symbols(symbols, dir=dir, env=env)
}
}
gyss = function(symbols, dir, env, force=FALSE) {
if(missing(dir)) {
dir = default.yahoo.dir
}
symbols = toupper(symbols)
return(get.yahoo.symbols(symbols, dir, env, force))
}
adjust.yahoo.symbols = function(env) {
for(ss in ls(env)) {
env[[ss]] = adjustOHLC(env[[ss]], use.Adjusted=T)
}
}
get.yahoo.symbol = function(symbol, dir, force=FALSE) {
data = new.env()
if(!force) {
# Try the local cache first
ss = getSymbols(symbol, src="RData", ext="RData", dir=dir, env=data, auto.assign=TRUE)
}
if(length(ls(data)) != 1) {
ss = getSymbols(symbol, env=data, src="yahoo", from="1900-01-01", auto.assign=TRUE)
data[[ss]] = adjustOHLC(data[[ss]], use.Adjusted=F, adjust="split", symbol.name=symbol)
# Cache the symbols
save.symbols(symbol, dir=dir, env=data)
}
return(data[[ss]])
}
default.yahoo.dir = "~/yahoo.data/"
gys = function(symbol, dir, force=FALSE) {
if(missing(dir)) {
dir = default.yahoo.dir
}
symbol = toupper(symbol)
return(get.yahoo.symbol(symbol, dir, force))
}
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