Setting per-instrument default arguments

Importing and Managing Financial Data in R

Joshua Ulrich

Quantitative Analyst & quantmod Co-Author and Maintainer

Use setSymbolLookup() to set data source

setSymbolLookup(AAPL = "google")

aapl <- getSymbols("AAPL", auto.assign = FALSE)
str(aapl)  # note the 'src' attribute

An ‘xts’ object on 2007-01-03/2017-02-22 containing:
  Data: num [1:2552, 1:5] 12.3 12 12.2 12.3 12.3 ...
 - attr(*, "dimnames")=List of 2
  ..$ : NULL
  ..$ : chr [1:5] "AAPL.Open" "AAPL.High" "AAPL.Low" "AAPL.Close" ...
  Indexed by objects of class: [Date] TZ: UTC
  xts Attributes:  
List of 2
 $ src    : chr "google"
 $ updated: POSIXct[1:1], format: "2017-02-23 14:16:55"

Use setSymbolLookup() to set other arguments

setSymbolLookup(MSFT = list(src = "google", from = "2016-01-01"))

msft <- getSymbols("MSFT", auto.assign = FALSE)
str(msft)  # note the 'src' attribute and first date

An ‘xts’ object on 2016-01-04/2017-02-27 containing:
  Data: num [1:290, 1:5] 54.3 54.9 54.3 52.7 52.4 ...
 - attr(*, "dimnames")=List of 2
  ..$ : NULL
  ..$ : chr [1:5] "MSFT.Open" "MSFT.High" "MSFT.Low" "MSFT.Close" ...
  Indexed by objects of class: [Date] TZ: UTC
  xts Attributes:  
List of 2
 $ src    : chr "google"
 $ updated: POSIXct[1:1], format: "2017-02-23 14:20:21"

Save and restore defaults (1)

# Set default
setSymbolLookup(AAPL = "google")

# Verify the default changed
getSymbolLookup()

$AAPL
$AAPL$src
"google"

# Save lookup
saveSymbolLookup("symbol_lookup.rda")

# Remove lookup
setSymbolLookup(AAPL = NULL)

Save and restore defaults (2)

# Verify the default is removed
getSymbolLookup()

named list()

# Load lookup
loadSymbolLookup("symbol_lookup.rda")

# Verify the default is restored
getSymbolLookup()

$AAPL
$AAPL$src
"google"

Let's practice!

Importing and Managing Financial Data in R