[Blotter-commits] r811 - pkg/FinancialInstrument/sandbox

[noreply at r-forge.r-project.org]

Author: peter_carl
Date: 2011-10-05 04:35:54 +0200 (Wed, 05 Oct 2011)
New Revision: 811

Added:
   pkg/FinancialInstrument/sandbox/download.goldPrices.R
Log:
- script for downloading historical gold prices from gold.org


Added: pkg/FinancialInstrument/sandbox/download.goldPrices.R
===================================================================
--- pkg/FinancialInstrument/sandbox/download.goldPrices.R	                        (rev 0)
+++ pkg/FinancialInstrument/sandbox/download.goldPrices.R	2011-10-05 02:35:54 UTC (rev 811)
@@ -0,0 +1,83 @@
+# Script for parsing gold price data series from the gold.org website.
+
+# Peter Carl
+
+# DETAILS
+# Parse monthly and daily close prices from the spreadsheet:
+# http://www.gold.org/download/value/stats/statistics/xls/gold_prices.xls
+
+# Load needed packages:
+require(zoo)
+require(gdata)
+require(FinancialInstrument)
+require(quantmod)
+# Set the working directory, where there's a .incoming folder that contains
+# the downloaded spreadsheet.
+filesroot = "~/Data/gold"
+
+# Create and set the working directory if it doesn't exist
+if (!file.exists(filesroot))
+  dir.create(filesroot, mode="0777")
+
+# Create and set the .incoming directory if it doesn't exist
+if (!file.exists(paste(filesroot, "/.incoming", sep="")))
+  dir.create(paste(filesroot, "/.incoming", sep=""), mode="0777")
+setwd(paste(filesroot, "/.incoming", sep=""))
+
+# Remove the old file from .incoming
+if(file.exists("gold_prices.xls"))
+  system(paste("rm gold_prices.xls"))
+
+# Download the xls workbook directly from the web site:
+system("wget http://www.gold.org/download/get/value/stats/statistics/xls/gold_prices.xls")
+
+if(!file.exists("gold_prices.xls"))
+  stop(paste("No spreadsheet exists.  Download the spreadsheet to be processed from www.gold.org/download/value/stats/statistics/xls into ", filesroot, "/.incoming", sep=""))
+  
+x = read.xls("gold_prices.xls", sheet="Monthly_EndofPeriod", pattern="USD")
+# This can be repeated with sheet="Daily_EndofPeriod" and processed similarly
+
+# Remove the first three columns of NAs
+x=x[,-3:-1]
+# Remove repeated data
+x=x[,c(-10,-19,-21,-23,-24)]
+
+# Get the descriptions to add as attributes
+x.attr = x[1,]
+x=x[-1,]
+
+
+# Get attributes and labels
+categoryNames = x.attr
+symbolNames=paste("GOLD", colnames(x), ".M",sep="")
+ISOdates = as.Date(x[,1])
+
+for(i in 2:length(symbolNames)) {
+  # check to make sure directories exist for each symbol
+  dir.create(paste(filesroot, symbolNames[i], sep="/"), showWarnings = FALSE, 
+  recursive = FALSE, mode = "0777")
+}
+
+# Parse the columns into individual price objects
+for( i in 2:dim(x[,-1])[2]){
+  x.xts = as.xts(as.numeric(gsub(",","",x[,2])), order.by=ISOdates)
+  R.xts = Return.calculate(x.xts)
+  x.xts = cbind(x.xts, R.xts)
+  colnames(x.xts)=c("Close", "Returns")
+  xtsAttributes(x.xts) <- list(Description = paste(categoryNames[,i], "Prices"))
+#   assign(symbolNames[i], x.xts)
+  save(x.xts, file=paste(filesroot, symbolNames[i], paste(symbolNames[i], ".rda", sep=""), sep="/"))
+  # Describe the metadata for each index
+  instrument(symbolNames[i], currency="USD", multiplier=1, tick_size=.01, start_date=head(index(x.xts),1), description=paste(categoryNames[,i], "per troy ounce"), data="CR", source="gold.org", assign_i=TRUE)
+}
+
+# Now, whenever you log in you need to register the instruments.  This
+# might be a line you put into .Rprofile so that it happens automatically:
+# require(quantmod) # this requires a development build after revision 560 or so.
+setSymbolLookup.FI(base_dir=filesroot, split_method='common')
+
+# Now you should be able to:
+getSymbols("GOLDUSD.M")
+chartSeries(Cl(GOLDUSD.M), theme="white")
+charts.PerformanceSummary(GOLDUSD.M["2004::","Returns"], ylog=TRUE, wealth.index=TRUE, main = "Gold Monthly Returns")
+tail(GOLDUSD.M)
\ No newline at end of file


Property changes on: pkg/FinancialInstrument/sandbox/download.goldPrices.R
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Added: svn:keywords
   + Revision Id Date Author