Quantitative Financial Modelling Framework

Specify, build, trade, and analyse quantitative financial trading strategies.


News

Changes in 0.4-12 (2017-12-02)

BUG FIXES

  1. chartSeries() now honors show.grid argument. Thanks to Ethan Smith. #200
  2. getQuote.yahoo() uses the new JSON API. #197
  3. getSymbols.yahoo() is more careful about converting UNIX timestamps to character when creating the query URL. #202

Changes in 0.4-11 (2017-10-06)

BUG FIXES

  1. getSymbols.yahoo()
    • Don't try to un-adjust the OHLC for splits and/or dividends. Return data as-is and leave any (un-)adjustments to the end user. #174
    • Add ability to pass curl.options to curl.download(). #177

NEW FEATURES

  1. getSymbols.av() can download data from Alpha Vantage. Thanks to Paul Teetor for the contribution. #176

Changes in 0.4-10 (2017-06-20)

BUG FIXES

  1. getSymbols.yahoo()
    • Avoid cached response from Yahoo Finance proxy. #166
    • Set from argument back to 1900-01-01. #157
  2. getSymbols() no longer warns if called with namespace (i.e. quantmod::getSymbols()). #134
  3. as.zoo.data.frame() now ignores row.date argument if called with order.by. #168

Changes in 0.4-9 (2017-05-29)

BUG FIXES

  1. getSymbols.yahoo() uses the new API. #157
  2. getOptionChain.yahoo() returns NULL when there are no calls/puts instead of list(). #155

NEW FEATURES

  1. getSymbols.yahoo() gains a periodicity argument, for use by tseries::get.hist.quote(). #162

Changes in 0.4-8 (2017-04-19)

BUG FIXES

  1. getSymbols.google():
    • Honor all arguments set via setSymbolLookup().
    • Correctly parse dates in non-English locales.
  2. Fix getSymbols.oanda().
  3. Fix add_TA() when called from a function.
  4. Remove 'its' package references (it was archived).
  5. Update Yahoo Finance URLs to HTTPS to avoid redirect.
  6. Update FRED URL to avoid redirect.

NEW FEATURES

  1. Add split.adjust argument to getDividends().
  2. Add readme, contributing, and issue template files for GitHub.

Changes in 0.4-7 (2016-10-24)

  1. Let jsonlite::fromJSON() manage connections in getOptionChain.yahoo().
  2. Update omegahat URL at CRAN's request.

Changes in 0.4-6 (2016-08-28)

  1. Remove unused unsetSymbolLookup().
  2. Add documentation for getPrice().
  3. Fix subsetting in addTRIX().
  4. Fix getSymbols.oanda() to use https.
  5. Fix getOptionChain.yahoo() to download JSON instead of scrape HTML.

Changes in 0.4-5 (2015-07-24)

  1. Ensure add*MA() functions use Close column by default.
  2. Correct Delt() docs (type argument default value was wrong).
  3. Ensure tempfiles are always removed.
  4. In getSymbols.csv():
    • Fix format argument handling.
    • Ensure date column is character before calling as.Date().
    • Add col.names argument.
  5. Fix dbConnect() call (changed in RMySQL_0.10) in getSymbols.MySQL().
  6. Automatically detect OHLC vs OHLCVA in getSymbols.yahooj().
  7. Handle long vectors in setDefaults().
  8. Fix `getSymbols.FRED() for https.
  9. Fix `getOptionChain.yahoo() for spaces in table headers.
  10. Add importFrom for all non-base packages.

Changes in 0.4-4 (2015-03-08)

  1. Added getSymbols.yahooj() to pull data from Yahoo Finance Japan (Thanks to Wouter Thielen for the contribution. #14).
  2. Fixed getOptionChain.yahoo() to handle the new options page layout. #27
  3. Fixed getSymbols.oanda() to handle the new URL structure and CSV format. #36

Changes in 0.4-3 (2014-12-15)

  1. Change maintainer from Jeffrey Ryan to Joshua Ulrich

  2. Copy required functionality from the (archived) Defaults package into quantmod and remove dependency on Defaults.

  3. Incorporate several bug fixes and patches.

Changes in 0.4-0

  • getSymbols now uses parent.frame() when auto.assign=TRUE. This will cause slightly different behavior than previous versions using .GlobalEnv, but is more functional in design.

  • getSymbols now allows for env=NULL, which will behave as if auto.assign=FALSE is set.

  • Upcoming changes for version 0.5-0 will include deprecating auto assignment from within getSymbols calls. This will instead be moved to the loadSymbols function, to better match get/load behaviors in base R. For the transition, auto.assign will be available to force pre 0.5-0 behaviors, but will be discouraged. The env= arg will be used for multiple symbol assigns.

Changes in 0.3-7

  • addTA now handles logical vectors or logical xtsible objects by drawing bands on chart window

  • addTA can now draw on or under any window via 'on=' arg

  • chartSeries now cleanly handles series without volume automatically

  • addVo has new log.scale option

Changes in 0.3-6

MODIFICATIONS

  • Delt (and functions that call) now defaults to 'arithmetic' (discrete) calculations vs. the previous behavior of 'log' (continuous) calculation. This is more inline with expected behavior

NEW FUNCTIONALITY

  • addTA and newTA allow for dynamic indicator additions with little coding

Changes in 0.3-2

BUG FIXES

  • matched broken TTR calls, aligned arguments between packages

  • 'name' of chart was being evaluated somewhere in the process, resulting in the object becoming a string. Fixed in this release.

MODIFICATIONS

  • continuing the move of time-series functionality to the 'xts' package

  • added new TTR functions to addTA.

  • added underlay charting to main area (BBands) as well as much more advanced shading and labeling.

  • chartSeries converts incoming 'x' argument to xts object for more universal handling. Not fully sorted out - but better than before.

  • new subset argument to allow for xts-style subsetting

NEW FUNCTIONALITY

  • new TTR functions - ATR, CCI, CMF, CMO, DPO, Lines, Momentum, TRIX

Changes in 0.3-1

BUG FIXES

  • new depends - on CRAN and R-Forge package xts for time-series handling internally

  • options.expiry and futures.expiry now use universal %w to check weekdays

  • Rmetrics change resulted in as.timeSeries moving to fSeries. New suggest and assoc. changes

MODIFICATIONS

  • Added ability to plot series with missing values (like those in a 'ts' series) Volume with missing obs. is still broken - to be fixed in 0.3-2

Changes in 0.3-0

BUG FIXES

  • Fixed factor bug in getSymbols.FRED. Thanks to Josh Ulrich

  • Fixed bug in [.quantmod.OHLC method when i/j was missing, also now returns quantmod.OHLC object consistently

MODIFICATIONS

  • Added high frequency data handling - to.minutes, to.hourly, to.daily. Additional work done to accomodate within rest of framework

  • getSymbols downloads now to temp file - instead of directly to memory. Fixed R issue in certain Windows installations

  • getSymbols now returns a character array of symbol names written to environment.

  • getSymbols includes new arg - auto.assign. If set to FALSE will behave like standard R functions and simply return loaded object. Requires user assignment via '<-'

  • Better handling of timeSeries, ts, its within entire package

NEW FUNCTIONALITY

  • chartSeries rewrite. Now manages charting with S4 objects stored quietly in memory. Allowing for dynamic redraws used in applying technical indicators and overlays

  • addTA functions. New charting tools to add technicals to charts dynamically. More on the way

  • listTA, setTA, unsetTA to handle default TA args

  • chartTheme function to customize chart 'look'

  • last/first functions now take character strings to describe in words the subsetting to do. Also negative value support for opposite behavior. Additional keep arg will assign removed data to an attribute keep with the object

  • getSymbols.SQLite support. Still very clunky - though that is SQLite.

  • getFX and getMetals for direct download of those types

  • getQuote downloads Last,Change,Open,High,Low,Volume from Yahoo

  • added documentation and fixed documentation

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("quantmod")

0.4-14 by Joshua M. Ulrich, 2 months ago


http://www.quantmod.com https://github.com/joshuaulrich/quantmod


Report a bug at https://github.com/joshuaulrich/quantmod/issues


Browse source code at https://github.com/cran/quantmod


Authors: Jeffrey A. Ryan [aut, cph] , Joshua M. Ulrich [cre, aut] , Wouter Thielen [ctb] , Paul Teetor [ctb] , Steve Bronder [ctb]


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL-3 license


Imports curl

Depends on xts, zoo, TTR, methods

Suggests DBI, RMySQL, RSQLite, timeSeries, XML, downloader, jsonlite


Imported by ADAPTS, BatchGetSymbols, CloneSeeker, DMwR, DMwR2, HoRM, JFE, Riex, TSEtools, TSmisc, egcm, estudy2, highcharter, lcyanalysis, qrmtools, rtsdata, rtsplot, tawny, tawny.types, tseries, yuimaGUI.

Depended on by FinancialInstrument, acp, fractalrock, stocks, tidyquant, visualR.

Suggested by PerformanceAnalytics, PortfolioAnalytics, RGraphics, RTransferEntropy, SharpeR, TSstudio, dang, echarts4r, loggle, performanceEstimation.

Enhanced by TTR.


See at CRAN