[Blotter-commits] r826 - in pkg/FinancialInstrument: R sandbox

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

Author: gsee
Date: 2011-10-23 20:28:05 +0200 (Sun, 23 Oct 2011)
New Revision: 826

Modified:
   pkg/FinancialInstrument/R/load.instruments.R
   pkg/FinancialInstrument/R/saveSymbols.R
   pkg/FinancialInstrument/sandbox/download.tblox.R
Log:
 - tblox funs in sandbox were not properly unlinking files/directories
 - define_futures.tblox now calls setSymbolLookup (by adding a src field)
 - better error handling in saveSymbols.common/.days


Modified: pkg/FinancialInstrument/R/load.instruments.R
===================================================================
--- pkg/FinancialInstrument/R/load.instruments.R	2011-10-23 01:42:51 UTC (rev 825)
+++ pkg/FinancialInstrument/R/load.instruments.R	2011-10-23 18:28:05 UTC (rev 826)
@@ -231,6 +231,7 @@
 #' @param verbose TRUE/FALSE
 #' @param auto.assign TRUE/FALSE
 #' @seealso 
+#' \code{\link{saveSymbols.days}}
 #' \code{\link{instrument}}
 #' \code{\link{setSymbolLookup.FI}}
 #' \code{\link{load.instruments}}

Modified: pkg/FinancialInstrument/R/saveSymbols.R
===================================================================
--- pkg/FinancialInstrument/R/saveSymbols.R	2011-10-23 01:42:51 UTC (rev 825)
+++ pkg/FinancialInstrument/R/saveSymbols.R	2011-10-23 18:28:05 UTC (rev 826)
@@ -32,7 +32,7 @@
             base_dir <- paste(base_dir,"/",sep="")    
     tmpenv <- new.env()    
     for (symbol in Symbols) {
-        tmp <- try(get(symbol,pos=env))    
+        tmp <- try(get(symbol,pos=env), silent=TRUE)    
         if (!is.null(tmp) && !inherits(tmp,'try-error')) { 
             D <- split(tmp,'days')
             if (!file.exists(paste(base_dir,symbol,sep=""))) dir.create(paste(base_dir,symbol,sep=""))
@@ -43,7 +43,7 @@
                 assign(symbol,D[[i]],envir=tmpenv)
                 save(list=symbol,file=fnames[i],envir=tmpenv)
             }
-        }    
+        } else if (inherits(tmp, 'try-error')) warning(paste(symbol, "could not be found in 'env' and was not saved."))
     }
 }
 
@@ -56,14 +56,14 @@
         base_dir <- paste(base_dir, "/", sep = "")
     tmpenv <- new.env()
     for (symbol in Symbols) {
-        tmp <- try(get(symbol, pos = env))
+        tmp <- try(get(symbol, pos = env), silent=TRUE)
         if (!is.null(tmp) && !inherits(tmp, "try-error")) {
             if (!file.exists(paste(base_dir, symbol, sep = ""))) 
                 dir.create(paste(base_dir, symbol, sep = ""))
             fnames <- paste(base_dir, symbol, "/", symbol, ".rda", sep = "")
             assign(symbol, tmp, envir = tmpenv)
             save(list = symbol, file = fnames, envir = tmpenv)
-        }
+        } else if (inherits(tmp, 'try-error')) warning(paste(symbol, "could not be found in 'env' and was not saved."))
     }
 }
 

Modified: pkg/FinancialInstrument/sandbox/download.tblox.R
===================================================================
--- pkg/FinancialInstrument/sandbox/download.tblox.R	2011-10-23 01:42:51 UTC (rev 825)
+++ pkg/FinancialInstrument/sandbox/download.tblox.R	2011-10-23 18:28:05 UTC (rev 826)
@@ -8,22 +8,28 @@
 #' \code{getSymbols.tblox} will only return the Symbols you ask for.
 get_tblox <- function(env='.GlobalEnv') {
 # a function to download all data for all 40 instruments
+    tmpdir <- tempdir()
+    tblox.tmp <- paste(tmpdir, "tblox", sep="/")
+    if(!file.exists(tblox.tmp)) dir.create(tblox.tmp)
     tmp <- tempfile()
-    download.file("http://www.tradingblox.com/Data/DataOnly.zip",tmp)
-    tblox.tmp <- tempdir()
+    download.file("http://www.tradingblox.com/Data/DataOnly.zip", tmp)
     unzip(tmp,exdir=tblox.tmp)
     def <- read.csv('http://www.tradingblox.com/tradingblox/CSIUA/FuturesInfo.txt',skip=1,header=FALSE)
+    badsym <- NULL    
     for (i in 1:length(def[,1])){
         if (file.exists(paste(tblox.tmp,'Futures',def[i,4],sep='/'))) {
             dat <-read.csv(paste(tblox.tmp,"/Futures/",def[i,4],sep=""),header=FALSE)
-            idx <- as.Date(dat[,1],format='%Y%m%d')
+            idx <- as.Date(dat[,1],format='%Y%m%d', origin='1970-01-01')
             x <- xts(dat[,2:9],order.by=as.Date(paste(dat[,1]),format="%Y%m%d"))
             cn <- c(paste('Adj',c("Open","High","Low","Close"),sep="."),'Volume','OpInt','ExpMth','Unadj.Close')
             colnames(x) <- paste(def[i,1],cn,sep=".")        
             assign(paste(def[i,1]), x, pos=env)
-        }    
+        } else badsym <- c(badsym, paste(def[i,1]))
     }
-    paste(def[,1])
+    unlink(tmp)
+    unlink(tblox.tmp, recursive=TRUE)
+    out <- paste(def[,1])
+    out[!out %in% badsym]
 }
 
 # a getSymbols method to get only the symbols you specify 
@@ -42,9 +48,12 @@
     if (missing(auto.assign)) 
         auto.assign <- TRUE
     if (!auto.assign) stop("must use auto.assign=TRUE for src='tblox'") 
+
+    tmpdir <- tempdir()
+    tblox.tmp <- paste(tmpdir, "tblox", sep="/")
+    if(!file.exists(tblox.tmp)) dir.create(tblox.tmp)
     tmp <- tempfile()
     download.file("http://www.tradingblox.com/Data/DataOnly.zip",tmp)
-    tblox.tmp <- tempdir()
     unzip(tmp,exdir=tblox.tmp)
     def <- read.csv('http://www.tradingblox.com/tradingblox/CSIUA/FuturesInfo.txt',skip=1,header=FALSE)
     if (is.null(Symbols) || is.na(Symbols) || Symbols == "all" || Symbols == "")
@@ -69,6 +78,8 @@
             sym.out <- c(sym.out, paste(def[i,1]))
         }    
     } 
+    unlink(tmp)
+    unlink(tblox.tmp, recursive=TRUE)
     return(sym.out)
 }
 
@@ -104,6 +115,7 @@
                     currency = paste(def[i,8]),
                     multiplier = as.numeric(gsub(",","",def[i,9])),
                     tick_size = as.numeric(tick),
+                    src = 'tblox',
                     defined.by = 'tblox' )
         }
         instr <- getInstrument(primary_id)