quantmod – Quantitive Financial Modelling Framework
getSymbols(Symbols, env, reload.Symbols, verbose, warnings, src, symbol.lookup, auto.assign,…) loadSymbols(Symbols, env, reload.Symbols, verbose, warnings, src, symbol.lookup, auto.assign,…)
- Symbols: names of each symbol to be loaded (char)
- 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: sourcing method, ‘yahoo’, ‘Goog’ (char)
- symbol.lookup: retrieve symbol’s sourcing method from external lookup (TRUE)
- auto.assign: should results be loaded to env If FALSE, return results instead.
Quandl::Quandl() Retrieves data from Quandl dataset endpoint and formats
Quandle(code, type, transform, collapse, order, meta , force_irregularity)
type = c(“raw”, “ts”, “zoo”, “xts”, “timeSeries”)
transform = c(“”, “diff”, “rdiff”, “normalize”, “cumul”, “rdiff_from”)
collapse = c(“”, “daily”, “weekly”, “monthly”, “quarterly”, “annual”)
order = c(“desc”, “asc”)
- getDividends
- Symbol
- from
- to
- env
- src
- auto.assign
- auto.update
- verbose
- aplit.adjust
- getFinancials: get financial statements
- getFX: get Exchange rates
- getMetals: daily Metals Prices
- getModelData
- getOptionChain
- getQuote
- getSplits
- getSymbols: Load and manage Data from Multiple Sources
- Symbols = NULL
- env = parent.frame()
- reload.Symbols = FALSE
- verbose = FALSE
- warnings = TRUE
- src = “yahoo”
- symbol.lookup = TRUE
- auto.assign = getOption(‘getSymbols.auto.assign’,TRUE),
- getSymbols.av: Download OHLC Data from Alpha Vantage
- getSymbols.csv
- getSymbols.FRED
- getSymbols.google
- getSymbols.MySQL
- getSymbols.oanda
- getSymbols.rda
- getSymbols.SQLite
- getSymbols.yahoo
- getSymbols.yahooj: Yahoo Japan Finance
- Delt: Calculate precent change
- x1: m x l vector
- x2: m x l vector
- k = 0: change over k-periods, default k = 1 when x2 is NULL
- type: type of difference, log or arthimetic
- Delt(Stock.Open)
- Delt(Stock.Open, type = “arithmetic”)
- Delt(Stock.Open, type = “log”)
- Delt(Stock.Open, Stock.Close, k = 0:2)
- findPeaks: Find Peaks and Valleys In a Series
- x: a time series or vector
- thresh= 0: min peak/valley threshhold
- getDividents
- Symbol
- from
- to
- env
- src
- Lag
- adjustOHLC
- has.OHLC
- OHLC.Transformations
- quantmod.OHLC
- attachSymbols
- buildData
- buildModel
https://cran.r-project.org/web/packages/quantmod/quantmod.pdf
Charting in quantmod
- chartSeries: Create Financial Charts
- x: an OHLC object
- type = c(“auto”, “candlesticks”, “matchsticks”, “bars”,”line”)
- subset = “201705/”: xts style date subsetting argument
- show.grid = TRUE: display price grid lines
- name = NULL: name of chart
- time.scale = NULL
- log.scale = FALSE
- TA = ‘addVo()’: vector/s of technical indicators and params or char strings
- TAsep=’;’: TA delimiter for TA strings
- line.type = “l”:
- bar.type = “ohlc”: barchart ohlc or hlc
- theme = chartTheme(“black”)
- layout = NA: if NULL bypass internal layout
- major.ticks=’auto’: where should major ticks be drawn
- minor.ticks=TRUE: should minor ticks be drawn
- yrange=NULL: override y-scale
- plot=TRUE: should plot be drawn
- up.col = “green”: up bar/candle color
- dn.col = “red”: down bar/candle color
- color.vol = TRUE: color code volume?
- multi.col = FALSE: 4 color candle pattern
- reChart: takes any nr of arguments from original chart and redraws with updated param
- chartTheme: Create a Chart Theme
- theme = “black”: name of base theme
- fg.colforeground color
- bg.colbackground color
- grid.colgrid color
- borderborder color
- minor.tickminor tickmark color
- major.tickmajor tickmark color
- up.colup bar/candle color
- dn.coldown bar/candle color
- up.up.colup after up bar/candle color
- up.dn.colup after down bar/candle color
- dn.dn.coldown after down bar/candle color
- dn.up.coldown after up bar/candle color
- up.borderup bar/candle border color
- dn.borderdown bar/candle border color
- up.up.borderup after up bar/candle border color
- up.dn.borderup after down bar/candle border color
- dn.dn.borderdown after down bar/candle border color
- dn.up.borderdown after up bar/candle border color
- chart_Series: Experimental Charting Version 2
- Experimental functions for new version, Interface, behavior, func
- name
- type
- subset
- TA
- pars
- theme
- clev = 0: color level
- chob-class: A Chart Object Class
- chobTA-class: A Technical Analysis Chart Object
- addTA
- data to bo plotted
- addADX: Add Directional Movement Index
- n = 14: periods to use for DX calculation
- maType = “EMA”: moving average type
- wilder = TRUE: should Wells Wilder EMA be used?
- addBBands: Add Bollinger Bands to Chart
- n = 20: nr of moving average periods
- sd = 2: nr of sd
- maType = “SMA”: type of moving average
- draw = ‘bands’: bands, precent ot width
- on = -1: which figure are of chart to apply to
- addCCI: Add Commodity Channel Index
- n = 20: periods to use DX calc
- maType
- c = 0.015: constant to apply to the mean deviation
- addExpiry: Add Contract Expiration Bars to Chart
- type = “options”: options or futures expiration
- lty = “dotted”: type of lines to draw
- addMA: Add Moving Average to Chart
- addSMA
- addEMA
- addWMA
- addDEMA
- addVWMA
- addZLEMA
- n = 10: periods to average over
- wilder: logical; use wilder?
- wts = 1: vector of weights
- ratio: smoothing/decay ratio
- on = 1: apply to which figure
- with.col = Cl: using which column Cl, Op, Lo…
- overlay = TRUE: dray as overlay
- col = “brown” color of MA
- addMACD: Add Moving Average Covergence Divergence to Chart
- fast = 12: fast period
- slow = 25: slow period
- signal = 9: signal period
- type = “EMA”: type of MA
- historgram = TRUE: include histogram
- col: colors to use for lines
- addROC: Add Rate of Change to Chart
- n = 1
- type = c(“discrete”, “continuous”): compounding type
- col = “red”
- addRSI: Add Relative Strength Index to Chart
- n = 15
- maType: type of MA to use
- wilder
- addSAR: Add Parabolic Stop and Reversal to Chart
- accel = c(0.02, 0.2): accelleration factors
- col
- addSMI: Add Stochastic Momentum Indicator to Chart
- n = 15: periods
- slow = 25
- fast = 2
- signal = 10
- type = “EMA”: MA type to use, recycled as necessary
- addVo: Add volume to Chart
- log.scale = FALSE: use log-scale for volume
- addWPR: Add William’s Percent R to Chart
- n