OHLC.Transformations: Extract and Transform OHLC Time-Series Columns

Description

Extract (transformed) data from a suitable OHLC object. Column names must contain the complete description - either “Open”, “High”, “Low”, “Close”, “Volume”, or “Adjusted” - though may also contain additional characters. This is the default for objects returned from most getSymbols calls.

In the case of functions consisting of combined Op, Hi, Lo, Cl (e.g. ClCl(x)) the one period transformation will be applied.

For example, to return the Open to Close of a object it is possible to call OpCl(x). If multiple periods are desired a call to the function Delt is necessary.

seriesLo and seriesHi will return the low and high, respectively, of a given series.

seriesAccel, seriesDecel, seriesIncr, and seriesDecr, return a vector of logicals indicating if the series is accellerating, decellerating, increasing, or decreasing. This is managed by diff, which provides NA fill and suitable re-indexing. These are here to make trade rules easier to read.

HLC extracts the High, Low, and Close columns. OHLC extracts the Open, High, Low, and Close columns.

These functions are merely to speed the model specification process. All columns may also be extracted through standard R methods.

Assignment will not work at present.

getPrice will attempt to extract price column(s) from a time series, using sensible defaults. Additionally, the user may provide by symbol and price preference.

Usage

Op(x)
Hi(x)
Lo(x)
Cl(x)
Vo(x)
Ad(x)
seriesHi(x)
seriesLo(x)
seriesIncr(x, thresh=0, diff.=1L)
seriesDecr(x, thresh=0, diff.=1L)
OpCl(x)
ClCl(x)
HiCl(x)
LoCl(x)
LoHi(x)
OpHi(x)
OpLo(x)
OpOp(x)
HLC(x)
OHLC(x)
OHLCV(x)
getPrice(x, symbol=NULL, prefer=NULL, ...)

Arguments

A data object with columns containing data to be extracted.

thresh

noise threshold (seriesIncr/seriesDecr)

diff.

differencing (seriesIncr/seriesDecr)

symbol

text string containing the symbol to extract

prefer

price type preference (see Details)

…

not currently used

Value

Returns an object of the same class as the original series, with the appropriately column names if applicable and/or possible. The only exceptions are for quantmod.OHLC objects which will be returned as zoo objects, and calls to seriesLo and seriesHi which may return a numeric value instead of the original object type.

Details

Internally, the code uses grep to locate the appropriate columns. Therefore it is necessary to use inputs with column names matching the requirements in the description section, though the exact naming convention is not as important.

prefer can be used with getPrice to extract many commonly used financial time series prices descriptions (e.g. open, high, low, close, bid, ask/offer, midpoint, trade, price). If the value of prefer does not match one of the currently supported types, it will be matched against the object column names using grep.

Examples

Run this code

# NOT RUN {
getSymbols('IBM',src='yahoo')
Ad(IBM)
Cl(IBM)
ClCl(IBM)

seriesHi(IBM)
seriesHi(Lo(IBM))

removeSymbols('IBM')
# }