[Blotter-commits] r812 - pkg/FinancialInstrument/sandbox

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

Author: gsee
Date: 2011-10-05 18:18:36 +0200 (Wed, 05 Oct 2011)
New Revision: 812

Added:
   pkg/FinancialInstrument/sandbox/define.index.components.yahoo.R
Log:
 define a stock index and its components using yahoo.

Added: pkg/FinancialInstrument/sandbox/define.index.components.yahoo.R
===================================================================
--- pkg/FinancialInstrument/sandbox/define.index.components.yahoo.R	                        (rev 0)
+++ pkg/FinancialInstrument/sandbox/define.index.components.yahoo.R	2011-10-05 16:18:36 UTC (rev 812)
@@ -0,0 +1,38 @@
+
+#' Define an Index and it's components using yahoo
+#'
+#' Get the components of an index and define instruments
+#' @param Symbol character yahoo ticker symbol for a stock index (e.g. "^DJI" or "^GDAX")
+#' @param currency
+#' @return called for side-effect, but it will return a list with 2 components:
+#' \item{synthetic}{name of the \code{\link{synthetic}} instrument that was defined to hold the metadata of the index.} 
+#' \item{stock}{name of the component \code{\link{stock}}s that were defined}
+#' @note Depends on XML package
+#' @author Garrett See
+#' @examples
+#' \dontrun{
+#' define_components.yahoo('^STOXX50E', 'EUR')
+#' define_components.yahoo('^DJI', 'USD')
+#' }
+define_components.yahoo <- function(Symbol, currency) {
+    require(FinancialInstrument)
+    require(XML)
+    ccy <- currency(currency) #make sure it's defined
+    x <- readHTMLTable(paste("http://finance.yahoo.com/q/cp?s=",Symbol,"+Components", sep=""))
+    mdata <- x[which.max(sapply(x, NROW))][[1]][,1:2]
+    new.Symbol <- synthetic(Symbol, ccy, members=paste(mdata[,1]), src=list(src='yahoo',name=Symbol), identifiers=list(yahoo=Symbol))
+    if (!identical(integer(0), grep("There is no Components data", mdata[,1]))) stop("No Components Data Available for ", Symbol)
+    for (i in 1:NROW(mdata)) {
+        stock(paste(mdata[i,1]), currency=ccy, Name=paste(mdata[i,2]), member.of=new.Symbol)
+    }
+    list(synthetic=new.Symbol, stock=paste(mdata[,1]))
+}
+
+#define_components.yahoo('^STOXX50E','EUR')
+#Symbol <- '^STOXX50E'
+#instr <- getInstrument("^STOXX50E")
+#instr
+#memb5 <- getInstrument(instr$members[5])
+#memb5
+#getInstrument(memb5$member.of)
+