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getSymbols {quantmod}

Load and Manage Data from Multiple Sources
Package: 
quantmod
Version: 
0.4-0

Description

Functions to load and manage Symbols in specified environment. Used by specifyModel to retrieve symbols specified in first step of modelling procedure. Not a true S3 method, but methods for different data sources follow an S3-like naming convention. Additional methods can be added by simply adhering to the convention.

Current src methods available are: yahoo, google, MySQL, FRED, csv, RData, and oanda.

Data is loaded silently without user assignment by default.

Usage

getSymbols(Symbols = NULL, 
           env = parent.frame(),
           reload.Symbols = FALSE,
           verbose = FALSE,
           warnings = TRUE,
           src = "yahoo",
           symbol.lookup = TRUE,
           auto.assign = getOption('getSymbols.auto.assign',TRUE),
           ...)

loadSymbols(Symbols = NULL, 
            env = parent.frame(),
            reload.Symbols = FALSE,
            verbose = FALSE,
            warnings = TRUE,
            src = "yahoo",
            symbol.lookup = TRUE,
            auto.assign = getOption('loadSymbols.auto.assign',TRUE),
            ...)

showSymbols(env=parent.frame())
removeSymbols(Symbols=NULL,env=parent.frame())
saveSymbols(Symbols = NULL,
            file.path=stop("must specify 'file.path'"),
            env = parent.frame())

Arguments

Symbols
a character vector specifying the names of each symbol to be loaded
env
where to create objects. Setting env=NULL is equal to auto.assign=FALSE
reload.Symbols
boolean to reload current symbols in specified environment. (FALSE)
verbose
boolean to turn on status of retrieval. (FALSE)
warnings
boolean to turn on warnings. (TRUE)
src
character string specifying sourcing method. (yahoo)
symbol.lookup
retrieve symbol's sourcing method from external lookup (TRUE)
auto.assign
should results be loaded to env If FALSE, return results instead. As of 0.4-0, this is the same as setting env=NULL. Defaults to TRUE
file.path
character string of file location
...
additional parameters

Details

getSymbols is a wrapper to load data from various sources, local or remote. Data is fetched via one of the available getSymbols methods and either saved in the env specified - the parent.frame() by default -- or returned to the caller. The functionality derives from base::load behavior and semantics, i.e. is assigned automatically to a variable in the specified environment without the user explicitly assigning the returned data to a variable. The assigned variable name is that of the respective Symbols value.

The previous sentence's point warrants repeating - getSymbols is called for its side effects, and by defaultdoes not return the data object loaded. The data is ‘loaded’ silently by the function into the environment specified.

If automatic assignment is not desired, env may be set to NULL, or auto.assign set to FALSE.

The early versions of getSymbols assigned each object into the user's .GlobalEnv by name (pre 2009 up to versions less than 0.4-0). This behavior is now supported by manually setting env=.GlobalEnv. As of version 0.4-0, the environment is set to parent.frame(), which preserved the user workspace when called within another scope.

This behavior is expect to change for getSymbols as of 0.5-0, and all results will instead be explicitly returned to the caller unless a auto.assign is set to TRUE. Many thanks to Kurt Hornik and Achim Zeileis for suggesting this change, and further thanks to Dirk Eddebuettel for encouraging the move to a more functional default by 0.5-0.

Using auto.assign=TRUE, the variable chosen is an R-legal name derived from the symbol being loaded. It is possible, using setSymbolLookup to specify an alternate name if the default is not desired. See that function for details.

If auto.assign=FALSE or env=NULL (as of 0.4-0) the data will be returned from the call, and will require the user to assign the results himself. Note that only one symbol at a time may be requested when auto assignment is disabled.

Most, if not all, documentation and functionality related to model construction and testing in quantmod assumes that auto.assign remains set to TRUE and env is a valid environment object for the calls related to those functions.

Upon completion a list of loaded symbols is stored in the specified environment under the name .getSymbols.

Objects loaded by getSymbols with auto.assign=TRUE can be viewed with showSymbols and removed by a call to removeSymbols. Additional data loading “methods” can be created simply by following the S3-like naming convention where getSymbols.NAME is used for your function NAME. See getSymbols source code.

setDefaults(getSymbols) can be used to specify defaults for getSymbols arguments. setDefaults(getSymbols.MySQL) may be used for arguments specific to getSymbols.MySQL, etc.

The “sourcing” of data is managed internally through a complex lookup procedure. If symbol.lookup is TRUE (the default), a check is made if any symbol has had its source specified by setSymbolLookup.

If not set, the process continues by checking to see if src has been specified by the user in the function call. If not, any src defined with setDefaults(getSymbols,src=) is used.

Finally, if none of the other source rules apply the default getSymbols src method is used (‘yahoo’).

Values

Called for its side-effect with env set to a valid environment and auto.assign=TRUE, getSymbols will load into the specified env one object for each Symbol specified, with class defined by return.class. Presently this may be ts, its, zoo, xts, or timeSeries.

If env=NULL or auto.assign=FALSE an object of type return.class will be returned.

Note

As of version 0.4-0, the default env value is now parent.frame(). In interactive use this should provide the same functionality as the previous version.

While it is possible to load symbols as classes other than zoo, quantmod requires most, if not all, data to be of class zoo or inherited from zoo - e.g. xts. The additional methods are meant mainly to be of use for those using the functionality outside of the quantmod workflow.

See Also

getModelData,specifyModel, setSymbolLookup, getSymbols.csv, getSymbols.RData, getSymbols.oanda, getSymbols.yahoo, getSymbols.google, getSymbols.FRED, getFX, getMetals,

Examples

## Not run:
setSymbolLookup(QQQ='yahoo',SPY='google')
 
# loads QQQQ from yahoo (set with setSymbolLookup)
# loads SPY from MySQL (set with setSymbolLookup)
getSymbols(c('QQQ','SPY'))                
 
# loads Ford market data from yahoo (the formal default)
getSymbols('F')       
 
# loads symbol from MySQL database (set with setDefaults)
getSymbols('DIA', verbose=TRUE, src='MySQL')                 
 
# loads Ford as time series class ts 
getSymbols('F',src='yahoo',return.class='ts') 
 
# load into a new environment
data.env <- new.env()
getSymbols("YHOO", env=data.env)
ls.str(data.env)
 
# constrain to local scope
try(local( {
  getSymbols("AAPL")  # or getSymbols("AAPL", env=environment())
  str(AAPL)
  }))
 
exists("AAPL")  # FALSE
 
# assign into an attached environment
attach(NULL, name="DATA.ENV")
getSymbols("AAPL", env=as.environment("DATA.ENV"))
ls("DATA.ENV")
detach("DATA.ENV")
 
# directly return to caller
str( getSymbols("AAPL", env=NULL) )
str( getSymbols("AAPL", auto.assign=FALSE) )  # same
 
## End(Not run)

Author(s)

Jeffrey A. Ryan

Documentation reproduced from package quantmod, version 0.4-0. License: GPL-3