yahoo.r
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| require(R6) | |
| require(quantmod) | |
| # Db interface | |
| YahooDb = R6Class("YahooDb", | |
| public = list( | |
| initialize = function(path="yahoo.sqlite") { | |
| private$path = path | |
| }, | |
| get.symbol = function(symbol, force=F) { | |
| require(RSQLite) | |
| driver = SQLite() | |
| connection = dbConnect(driver, dbname=private$path) | |
| symbol = toupper(symbol) | |
| # Leading '^' (used for indexes, like ^DJI) is dropped when | |
| # quantmod constructs the variable name | |
| db.symbol = gsub('^\\^', '', symbol) | |
| if(!force) { | |
| # Try the database first | |
| rs = dbGetQuery( | |
| connection, | |
| paste( | |
| " select date, open, high, low, close, volume, adjusted from bars ", | |
| " where symbol = '", db.symbol, "'", | |
| " order by date", | |
| sep="")) | |
| if(NROW(rs) == 0) { | |
| rs = NULL | |
| } else { | |
| ss = xts(rs[,2:NCOL(rs)], as.Date(rs[,1])) | |
| colnames(ss) = private$col.names | |
| } | |
| } else { | |
| rs = NULL | |
| } | |
| if(NROW(rs) == 0) { | |
| ss = getSymbols(symbol, from="1900-01-01", auto.assign=F) | |
| ss = adjustOHLC(ss, use.Adjusted=F, adjust="split", symbol.name=symbol) | |
| colnames(ss) = private$col.names | |
| df = cbind(data.frame(symbol=db.symbol), as.character(index(ss)), data.frame(ss)) | |
| colnames(df) = c("symbol","date",private$col.names) | |
| dbBegin(connection) | |
| query = paste("delete from bars where symbol='", symbol, "'", sep="") | |
| dbSendQuery(connection, query) | |
| query = paste(" insert or replace into bars (symbol,date,open,high,low,close,volume,adjusted) ", | |
| " values(@symbol,@date,@open,@high,@low,@close,@volume,@adjusted)", | |
| sep="") | |
| RSQLite::dbGetPreparedQuery(connection, query, bind.data=df) | |
| if(db.symbol != symbol) { | |
| # If the database symbol (GSPC) is different than the yahoo symbol (^GSPC), | |
| # write the mapping. | |
| query = paste(" insert or ignore into map (symbol,yahoo_symbol) ", | |
| " values(@symbol,@yahoo_symbol)", | |
| sep="") | |
| RSQLite::dbGetPreparedQuery(connection, query, bind.data=data.frame(symbol=db.symbol,yahoo_symbol=symbol)) | |
| } | |
| dbCommit(connection) | |
| } | |
| dbDisconnect(connection) | |
| return(ss) | |
| }, | |
| get.symbols = function(symbols, env, force=F) { | |
| require(RSQLite) | |
| driver = SQLite() | |
| connection = dbConnect(driver, dbname=private$path) | |
| symbols = toupper(symbols) | |
| # Leading '^' (used for indexes, like ^DJI) is dropped when | |
| # quantmod constructs the variable name | |
| db.names = gsub('^\\^', '', symbols) | |
| done = FALSE | |
| if(!force) { | |
| # Try the local cache first | |
| for(ss in db.names) { | |
| rs = dbGetQuery( | |
| connection, | |
| paste( | |
| " select date, open, high, low, close, volume, adjusted from bars ", | |
| " where symbol = '",ss, "'", | |
| " order by date", | |
| sep="")) | |
| if(NROW(rs) == 0) { | |
| rs = NULL | |
| } else { | |
| env[[ss]] = xts(rs[,2:NCOL(rs)], as.Date(rs[,1])) | |
| colnames(env[[ss]]) = private$col.names | |
| } | |
| } | |
| # Verify that we got all symbols, in which case we are done | |
| if(!any(is.na(match(db.names, ls(env))))) { | |
| done = TRUE | |
| } | |
| } | |
| if(!done) { | |
| # Either a symbol was not found in the cache, or the caller forced us to download and cache | |
| getSymbols(symbols, env=env, src="yahoo", from="1900-01-01", auto.assign=TRUE) | |
| dbBegin(connection) | |
| for(ss in ls(env)) { | |
| # Adjust only for splits | |
| env[[ss]] = adjustOHLC(env[[ss]], use.Adjusted=F, adjust="split", symbol.name=symbols[as.numeric(match(ss, db.names))]) | |
| colnames(env[[ss]]) = private$col.names | |
| # Store into the database | |
| df = cbind(data.frame(symbol=ss), as.character(index(env[[ss]])), data.frame(env[[ss]])) | |
| colnames(df) = c("symbol","date",private$col.names) | |
| query = paste("delete from bars where symbol='", ss, "'", sep="") | |
| dbSendQuery(connection, query) | |
| query = paste(" insert or replace into bars (symbol,date,open,high,low,close,volume,adjusted) ", | |
| " values(@symbol,@date,@open,@high,@low,@close,@volume,@adjusted)", | |
| sep="") | |
| RSQLite::dbGetPreparedQuery(connection, query, bind.data=df) | |
| } | |
| # Write all mappings | |
| for(ii in 1:NROW(symbols)) { | |
| if(db.names[ii] != symbols[ii]) { | |
| # If the database symbol (GSPC) is different than the yahoo symbol (^GSPC), | |
| # write the mapping. | |
| query = paste(" insert or ignore into map (symbol,yahoo_symbol) ", | |
| " values(@symbol,@yahoo_symbol)", | |
| sep="") | |
| RSQLite::dbGetPreparedQuery( | |
| connection, | |
| query, | |
| bind.data=data.frame(symbol=db.names[ii],yahoo_symbol=symbols[ii])) | |
| } | |
| } | |
| dbCommit(connection) | |
| } | |
| dbDisconnect(connection) | |
| }, | |
| # Shortcuts | |
| g = function(symbol, force=F) { | |
| return(self$get.symbol(symbol, force)) | |
| }, | |
| gs = function(symbols, env, force=F) { | |
| return(self$get.symbols(symbols, env, force)) | |
| }, | |
| store.symbol = function(symbol, data) { | |
| require(RSQLite) | |
| driver = SQLite() | |
| connection = dbConnect(driver, dbname=private$path) | |
| df = cbind(data.frame(symbol=symbol), index(data), data.frame(data)) | |
| colnames(df) = c("symbol","date",private$col.names) | |
| dbBegin(connection) | |
| query = paste("delete from bars where symbol='", symbol, "'", sep="") | |
| dbSendQuery(connection, query) | |
| query = paste(" insert or replace into bars (symbol,date,open,high,low,close,volume,adjusted) ", | |
| " values(@symbol,@date,@open,@high,@low,@close,@volume,@adjusted)", | |
| sep="") | |
| RSQLite::dbGetPreparedQuery(connection, query, bind.data=df) | |
| dbCommit(connection) | |
| dbDisconnect(connection) | |
| }, | |
| init = function() { | |
| require(RSQLite) | |
| driver = SQLite() | |
| connection = dbConnect(driver, dbname=private$path) | |
| query = paste(" create table if not exists bars ( ", | |
| " symbol varchar(30) not null, ", | |
| " date datetime not null, ", | |
| " open real not null, ", | |
| " high real not null, ", | |
| " low real not null, ", | |
| " close real not null, ", | |
| " volume integer not null, ", | |
| " adjusted real not null) ", | |
| sep="") | |
| dbGetQuery(connection, query) | |
| query = paste(" create unique index if not exists bars_unique ", | |
| " on bars(symbol,date) ", | |
| sep="") | |
| dbGetQuery(connection, query) | |
| query = paste(" create table if not exists map ( ", | |
| " symbol varchar(30) not null, ", | |
| " yahoo_symbol varchar(30) not null) ", | |
| sep="") | |
| dbGetQuery(connection, query) | |
| query = paste(" create unique index if not exists map_unique ", | |
| " on map(symbol) ", | |
| sep="") | |
| dbGetQuery(connection, query) | |
| dbDisconnect(connection) | |
| } | |
| ), | |
| private = list( | |
| path = "yahoo.sqlite", | |
| col.names = c("open","high","low","close","volume","adjusted") | |
| ) | |
| ) |
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I had to add "self$init()" to
initialize = function(path="yahoo.sqlite") {
private$path = path
self$init()
to get this code to work.