fImport, yahooSeries, aggregation
Not using Rmetrics, but quantmod (and xts):
library(quantmod)
getSymbols("^FTSE",from="2006-01-01", to="2007-12-31")
to.monthly(FTSE, indexAt='lastof')
FTSE.Open FTSE.High FTSE.Low FTSE.Close FTSE.Volume FTSE.Adjusted
2006-01-31 5618.8 5796.1 5618.8 5760.3 39158470800 5760.3
2006-02-28 5760.3 5893.3 5681.9 5791.5 37360441800 5791.5
2006-03-31 5791.5 6047.0 5783.9 5964.6 44156358400 5964.6
2006-04-30 5964.6 6137.1 5964.6 6023.1 30775737400 6023.1
2006-05-31 6023.1 6133.5 5510.5 5723.8 40051488800 5723.8
2006-06-30 5723.8 5865.7 5467.4 5833.4 36016490600 5833.4
2006-07-31 5833.4 5982.5 5654.6 5928.3 28208522700 5928.3
2006-08-31 5928.3 5949.8 5752.6 5906.1 29781298600 5906.1
2006-09-30 5906.1 6002.9 5774.5 5960.8 31844286400 5960.8
2006-10-31 5960.8 6244.6 5897.3 6129.2 34756902700 6129.2
2006-11-30 6129.2 6256.8 6011.8 6048.8 35409311600 6048.8
2006-12-31 6048.8 6271.4 5985.2 6220.8 25404342600 6220.8
2007-01-31 6220.8 6335.1 6130.2 6203.1 36903881300 6203.1
2007-02-28 6203.1 6451.4 6166.2 6171.5 33113524500 6171.5
2007-03-31 6171.5 6355.3 5989.6 6308.0 40662588400 6308.0
2007-04-30 6308.0 6516.2 6293.9 6449.2 31552434700 6449.2
2007-05-31 6449.2 6675.0 6395.5 6621.4 40045491500 6621.4
2007-06-30 6621.4 6751.3 6451.4 6607.9 39617754000 6607.9
2007-07-31 6607.9 6754.1 6186.2 6360.1 38493756200 6360.1
2007-08-31 6360.1 6406.3 5821.7 6303.3 38476546500 6303.3
2007-09-30 6303.3 6512.4 6123.1 6466.8 35732251000 6466.8
2007-10-31 6466.8 6751.7 6413.4 6721.6 41485100800 6721.6
2007-11-30 6721.6 6723.7 6026.9 6432.5 32531965100 6432.5
2007-12-31 6432.5 6610.9 6251.8 6456.9 19632325600 6456.9
getSymbols by default will load the data into a symbol FTSE
(automatically stripping the ^ from the Yahoo name)
to.monthly will by default index the series by 'yearmon'. The indexAt
arg will align the series to
the 'lastof' the calendar period, the 'firstof' the period, the
'startof' the data in the period (the first tie seen) or the 'endof'
the data...
To get just the Close, you can wrap the whole thing in 'Cl'
Cl(to.monthly(FTSE,indexAt='lastof'))
FTSE.Close
2006-01-31 5760.3
2006-02-28 5791.5
2006-03-31 5964.6
2006-04-30 6023.1
2006-05-31 5723.8
2006-06-30 5833.4
2006-07-31 5928.3
2006-08-31 5906.1
2006-09-30 5960.8
2006-10-31 6129.2
2006-11-30 6048.8
2006-12-31 6220.8
2007-01-31 6203.1
2007-02-28 6171.5
2007-03-31 6308.0
2007-04-30 6449.2
2007-05-31 6621.4
2007-06-30 6607.9
2007-07-31 6360.1
2007-08-31 6303.3
2007-09-30 6466.8
2007-10-31 6721.6
2007-11-30 6432.5
2007-12-31 6456.9
More info about quantmod can be found at http://www.quantmod.com ...
which is expecting an update any day now :)
Jeff
Jeff
On Thu, May 22, 2008 at 9:32 PM, John P. Burkett <burkett at uri.edu> wrote:
In R version 2.6.1 running under Gentoo Linux, the commands
library(fImport)
yahooSeries("^FTSE", from = "2006-01-01", "2007-12-31", quote = "Close",
aggregation = "m")
select the first business day of each month. I would prefer to select the
last business day of each month. Suggestions about how to do so would be
much appreciated.
--
John P. Burkett
Department of Environmental and Natural Resource Economics
and Department of Economics
University of Rhode Island
Kingston, RI 02881-0808
USA
phone (401) 874-9195
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