| Title: | Rmetrics - Importing Economic and Financial Data |
|---|---|
| Description: | Provides a collection of utility functions to download and manage data sets from the Internet or from other sources. |
| Authors: | Diethelm Wuertz [aut] (original code), Tobias Setz [aut], Yohan Chalabi [aut], Georgi N. Boshnakov [cre, aut] |
| Maintainer: | Georgi N. Boshnakov <[email protected]> |
| License: | GPL (>= 2) |
| Version: | 4041.88 |
| Built: | 2024-10-29 06:17:15 UTC |
| Source: | https://github.com/r-forge/rmetrics |
The Rmetrics "fImport" package is a collection of utility functions to download and manage data sets from the Internet or from other sources.
The major content of this package is to provide download functions for financial market data from the Internet. For this we have implemented the web text browsers "Lynx", "Links", and "W3M" for an easy and straightforward download of data from the Internet.
Furthermore helpful utility functions are included to split numerical
data matrices, to split date character vectors, and to split strings
from downloads. This allows to create in a very easy way
timeSeries objects.
Examples are provided for downloading data from the Federal Reserve data base in St. Louis web portal.
The data part contains instruments listings from the American Stock Exchange, from the FED H15 Report, from the NASDAQ Stock Market, from the New York Stock Exchange, of OANDAs Foreign Exchange Rates, of STOXX Indices, and from the Swiss Stock Exchange.
For the download of spread sheets from the Internet we refer to the
functions gdata::read.xls and xlsx::read.xlsx for the
contributed R packages gdata and xlsx respectively.
The package makes functions available to download financial market data from the internet. Currently functions are available for the follwing web sites. The functions are:
fredSeries downloads data from research.stlouisfed.org
The economic and financial time series data are extractes as objects
of class "timeSeries".
The package comes with the following tailored readers and web downloaders:
read.lines a synonym function call to readLines
read.links uses the links browser to read from a web page
read.lynx uses the lynx browser to read from a web page
read.w3m uses the w3m browser to read from a web page
This section provides functions to split numerical data matrices, to split date character vectors, and to split strings from downloads:
dataSplit splits a data matrix from a downloaded file
charvecSplit splits a charvec vector from a downloaded file
stringSplit splits a string vector from a downloaded file
The fImport Rmetrics package is written for educational
support in teaching "Computational Finance and Financial Engineering"
and licensed under the GPL.
The class fWEBDATA represents a download from the internet.
Objects can be created by calls of the import or series functions.
call:Object of class "call":
the call of the applied function.
data:Object of class "data.frame":
the data as downloaded formatted as a data.frame.
param:Object of class "character":
a character vector whose elements contain the values of selected
parameters of the argument list.
title:Object of class "character":
a character string with the name of the download. This can be
overwritten specifying a user defined input argument.
description:Object of class " character":
a character string with an optional user defined description.
By default just the current date and user when the test was
applied will be returned.
signature(object = "fWEBDATA"):
prints an object of class 'fWEBDATA'.
The import and series functions like fredImport and
fredSeries are typical examples which show how to
implement download functions as simple timeSeries objects
or as more complicate fWEBDATA S4 objects. Inspect the
R code and feel free to create your own download functions and
objects.
Diethelm Wuertz, Yohan Chalabi, and Andrew Ellis, (2010); Financial Market Data for R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich, www.rmetrics.org.
Imports financial time series data from fred.stlouisfed.org.
fredSeries(symbols, from = NULL, to = Sys.timeDate(), nDaysBack = 366, ...) fredImport(query, file = "tempfile", source = NULL, frequency = "daily", from = NULL, to = Sys.timeDate(), nDaysBack = NULL, save = FALSE, sep = ";", try = TRUE)fredSeries(symbols, from = NULL, to = Sys.timeDate(), nDaysBack = 366, ...) fredImport(query, file = "tempfile", source = NULL, frequency = "daily", from = NULL, to = Sys.timeDate(), nDaysBack = NULL, save = FALSE, sep = ";", try = TRUE)
file |
a character string with filename, usually having extension ".csv", where to save the downloaded data. |
frequency |
a character string, one of "auto", "quarterly", "monthly", or "daily", defining the frequency of the data records. Note, the import function tries autodetect the frequency of the time series to be dowwnloaded. This may fail, in such case specify the frequency explicitely. |
from |
the date from when to extract the time series. |
nDaysBack |
the number of days back. |
query |
a character string, denoting the location of the data at the web site. |
save |
a logical value, if set to TRUE the downloaded data file will
be stored under the path and file name specified by the
string |
sep |
a charcter value specifying the column separator. |
source |
a character string setting the URL of the source.
If |
symbols |
a character string with the symbols to be downloaded. |
to |
the end date of the data download, by default the current date. |
try |
a logical value, if set to TRUE the Internet access will be checked. |
... |
optional arguments to be passed. |
The function fredImport returns an S4 object of class
fWEBDATA with the following slots:
@call |
the function call. |
@data |
the data as downloaded formatted as a data.frame. |
@param |
a character vector whose elements contain the values of selected parameters of the argument list. |
@title |
a character string with the name of the download. This can be overwritten specifying a user defined input argument. |
@description |
a character string with an optional user defined description. By default just the current date when the test was applied will be returned. |
The function fredSeries returns an S4 object of class
timeSeries or alternatively an object specified by the function
argument returnClass.
Internet Download Functions:
IMPORTANT NOTE: If the service provider changes the data file format it may become necessary to modify and update the functions.
Feel free to inspect the code of the functions and to create your own download function from other Internet web sites and Portals.
Diethelm Wuertz for the Rmetrics R-port.
Diethelm Wuertz, Yohan Chalabi, and Andrew Ellis, (2010); Financial Market Data for R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich, www.rmetrics.org.
a <- fredImport("DEXSZUS") head(a@data) # a@data is a data frame b <- fredSeries("DEXSZUS") head(b) # timeSeries objecta <- fredImport("DEXSZUS") head(a@data) # a@data is a data frame b <- fredSeries("DEXSZUS") head(b) # timeSeries object
CSV files with provider listings of symbols, descriptions ands related information.
The listings include those from:
| amexListing | Listing from the American Stock Exchange |
| h15Listing | Listing from the FED H15 Report |
| nasdaqListing | Listing from the NASDAQ Stock Market |
| nyseListing | Listing from the New York Stock Exchange |
| oandaListing | Listing of OANDAs Foreign Exchange Rates |
| stoxxListing | Listing of STOXX Indices |
| swxListing | Listing from the Swiss Stock Exchange |
All files are given in CSV Excel spreadsheet format. The delimiter is a semicolon.
Diethelm Wuertz, Yohan Chalabi, and Andrew Ellis, (2010); Financial Market Data for R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich, www.rmetrics.org.
data(package = "fImport") head(h15Listing) head(nyseListing)data(package = "fImport") head(h15Listing) head(nyseListing)
Reads from a text file line by line. Wrapper to readLines() function.
read.lines(con=stdin(), n=-1, ok=TRUE, warn=FALSE, encoding="unknown")read.lines(con=stdin(), n=-1, ok=TRUE, warn=FALSE, encoding="unknown")
con |
a connection object or a character string. |
n |
an integer, the (maximal) number of lines to read. Negative values indicate that one should read up to the end of input on the connection. |
ok |
a logical, is it OK to reach the end of the connection before n > 0 lines are read? If not, an error will be generated. |
warn |
a logical, warn if a text file is missing a final EOL.
The default is FALSE, note different from function
|
encoding |
a character string, the encoding to be assumed for input strings. |
the downloaded text. Same output as readLines() function.
Diethelm Wuertz, Yohan Chalabi, and Andrew Ellis, (2010); Financial Market Data for R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich, www.rmetrics.org.
Uses the Links Text Browser to read a web page.
read.links(url, intern = TRUE, bin = NULL, pipe = FALSE, ...)read.links(url, intern = TRUE, bin = NULL, pipe = FALSE, ...)
url |
a character string specifying the URL of the web page. |
intern |
a logical which indicates whether to make the output of the command an R object. |
bin |
a string with the path of your lynx binary or NULL if lynx binary is available in the operating system path. |
pipe |
a logical which indicates whether the result should be returned
as a |
... |
optional arguments passed to links binary. |
the downloaded text
Diethelm Wuertz, Yohan Chalabi, and Andrew Ellis, (2010); Financial Market Data for R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich, www.rmetrics.org.
Alternative text browser functions are the Rmetrics functions
read.lynx and read.w3m.
To download xls and xlsx spread sheets use the
functions gdata::read.xls and xlsx::read.xlsx
from the contributed packages gdata and xlsx,
respectively.
To download text files line by line use the Rmetrics function
read.lines which wraps the function readLines
from R's base evironment.
To postprocess downloaded files use the Rmetrics functions
indexGrep, dataSplit,
charvecSplit, and stringSplit.
Uses the Lynx Browser to read a web page.
read.lynx(url, intern = TRUE, bin = NULL, pipe = FALSE, ...)read.lynx(url, intern = TRUE, bin = NULL, pipe = FALSE, ...)
url |
a character string specifying the URL of the web page. |
intern |
a logical which indicates whether to make the output of the command an R object. |
bin |
a string with the path of your lynx binary or NULL if lynx binary is available in the operating system path. |
pipe |
a logical which indicates whether the result should be returned
as a |
... |
optional arguments passed to lynx binary. For example
|
the downloaded text
Diethelm Wuertz, Yohan Chalabi, and Andrew Ellis, (2010); Financial Market Data for R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich, www.rmetrics.org.
Alternative text browser functions are the Rmetrics functions
read.links and read.w3m.
To download xls and xlsx spread sheets use the
functions gdata::read.xls and xlsx::read.xlsx
from the contributed packages gdata and xlsx,
respectively.
To download text files line by line use the Rmetrics function
read.lines which wraps the function readLines
from R's base evironment.
To postprocess downloaded files use the Rmetrics functions
indexGrep, dataSplit,
charvecSplit, and stringSplit.
Uses the w3m Browser to read a web page.
read.w3m(url, intern = TRUE, bin = NULL, pipe = FALSE, ...)read.w3m(url, intern = TRUE, bin = NULL, pipe = FALSE, ...)
url |
a character string specifying the URL of the web page. |
intern |
a logical which indicates whether to make the output of the command an R object. |
bin |
a string with the path of your w3m binary or NULL if w3m binary is available in the operating system path. |
pipe |
a logical which indicates whether the result should be returned
as a |
... |
optional arguments passed to w3m binary. For a list of options, see the w3m manual page. |
the downloaded text
Diethelm Wuertz, Yohan Chalabi, and Andrew Ellis, (2010); Financial Market Data for R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich, www.rmetrics.org.
Alternative text browser functions are the Rmetrics functions
read.links and read.lynx.
To download xls and xlsx spread sheets use the
functions gdata::read.xls and xlsx::read.xlsx
from the contributed packages gdata and xlsx,
respectively.
To download text files line by line use the Rmetrics function
read.lines which wraps the function readLines
from R's base evironment.
To postprocess downloaded files use the Rmetrics functions
indexGrep, dataSplit,
charvecSplit, and stringSplit.
Show methods for WEBDATA downloads.
Generic function.
Print function for objects of class "fWEBDATA".
Diethelm Wuertz, Yohan Chalabi, and Andrew Ellis, (2010); Financial Market Data for R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich, www.rmetrics.org.
Two helpful utilities for assembling URL's.
composeURL(..., prefix="http://") indexGrep(pattern, x, ...)composeURL(..., prefix="http://") indexGrep(pattern, x, ...)
... |
for |
prefix |
a character string specifying the prefix of the URL. |
pattern |
a character string containing a regular expression to be matched in the given character vector. |
x |
a character vector where matches are sought. |
Diethelm Wuertz, Yohan Chalabi, and Andrew Ellis, (2010); Financial Market Data for R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich, www.rmetrics.org.
Helpful dataset and charvec splitting utilities.
dataSplit(x, split=" ", col=-1) charvecSplit(x, split=" ", col=1, format="%F") stringSplit(x, split=" ", col=NULL)dataSplit(x, split=" ", col=-1) charvecSplit(x, split=" ", col=1, format="%F") stringSplit(x, split=" ", col=NULL)
x |
character vector to be splitted. |
split |
the split character, by default a blank. |
col |
an integer value or vector, the column(s) to be selected. |
format |
the date format of the character vector, by default the ISO-8601 date format. |
Diethelm Wuertz, Yohan Chalabi, and Andrew Ellis, (2010); Financial Market Data for R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich, www.rmetrics.org.