處理與 R 名稱衝突或無效的商品代號

在 R 匯入與管理金融資料

Joshua Ulrich

Quantitative Analyst & quantmod Co-Author and Maintainer

語法上合法的名稱

合法名稱可含字母、數字、.、_
必須以字母開頭，或以 . 開頭且後面不是數字
不可為保留字
非合法範例：
- .4times、_one、for

存取非語法名稱的物件（1）

getSymbols() 會讓部分名稱變為合法
- S&P 500 指數："^GSPC"

getSymbols("^GSPC")

"GSPC"

head(GSPC, 3)

           GSPC.Open GSPC.High GSPC.Low GSPC.Close GSPC.Volume GSPC.Adjusted
2007-01-03   1418.03   1429.42  1407.86    1416.60  3429160000       1416.60
2007-01-04   1416.60   1421.84  1408.43    1418.34  3004460000       1418.34
2007-01-05   1418.34   1418.34  1405.75    1409.71  2919400000       1409.71

存取非語法名稱的物件（2）

有些股票代號不是合法名稱
- Shanghai Stock Exchange Composite Index："000001.SS"

getSymbols("000001.SS", auto.assign = TRUE)

"000001.SS"

str(000001.SS)

Error: unexpected symbol in "str(000001.SS)"

head(`000001.SS`, n = 3)

            000001.SS.Open   000001.SS.High     000001.SS.Low
2007-01-04         2715.72          2715.72           2715.72
2007-01-05         2641.33          2641.33           2641.33
2007-01-08         2707.20          2707.20           2707.20
           000001.SS.Close 000001.SS.Volume 000001.SS.Adjusted
2007-01-04         2715.72                0            2715.72
2007-01-05         2641.33                0            2641.33
2007-01-08         2707.20                0            2707.20

head(get("000001.SS"), n = 3)

            000001.SS.Open   000001.SS.High     000001.SS.Low
2007-01-04         2715.72          2715.72           2715.72
2007-01-05         2641.33          2641.33           2641.33
2007-01-08         2707.20          2707.20           2707.20
           000001.SS.Close 000001.SS.Volume 000001.SS.Adjusted
2007-01-04         2715.72                0            2715.72
2007-01-05         2641.33                0            2641.33
2007-01-08         2707.20                0            2707.20

為單一商品建立合法名稱

將 getSymbols() 的輸出指派給合法名稱
將欄名轉為合法名稱

sse <- getSymbols("000001.SS", auto.assign = FALSE)

colnames(sse) <- paste("SSE", 
                         c("Open", "High", "Low", "Close",    
                           "Volume", "Adjusted"), sep = ".")
head(sse, n = 2)

            SSE.Open    SSE.High     SSE.Low
2007-01-04   2715.72     2715.72     2715.72
2007-01-05   2641.33     2641.33     2641.33
           SSE.Close  SSE.Volume  SSE.Adjusted
2007-01-04   2715.72           0       2715.72
2007-01-05   2641.33           0       2641.33

使用 setSymbolLookup() 建立代號到 R 物件的對應

setSymbolLookup(SSE = list(name = "000001.SS"),
                  FORD = list(name = "F"))

getSymbols(c("SSE", "FORD"))

"SSE"  "FORD"

head(SSE, n = 2)

               SSE.Open  SSE.High  SSE.Low  SSE.Close  SSE.Volume  SSE.Adjusted
2007-01-04      2715.72   2715.72  2715.72    2715.72           0       2715.72
2007-01-05      2641.33   2641.33  2641.33    2641.33           0       2641.33

head(FORD, n = 2)

           FORD.Open  FORD.High FORD.Low  FORD.Close  FORD.Volume  FORD.Adjusted
2007-01-03      7.56     7.67       7.44       7.51      78652200       6.150263
2007-01-04      7.56     7.72       7.43       7.70      63454900       6.305862

一起來練習吧！

在 R 匯入與管理金融資料