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lapply over list that has multiple xts objects

5 messages · Jeff Ryan, S, G See

Original
S
# 
I've been going through various examples on how to use lapply when the list
in question has multiple parts but I can't seem to get things working.

I have a function that computes open_close volatility as follows:

close_open <- function (OHLC, n = 10, N = 252, ...) 
{
    Cl1 <- lag(OHLC[, 4])
    OHLC <- try.xts(OHLC, error = as.matrix)
    s2o <- 18.59 * runSD(log(OHLC[, 1]/Cl1), n)
    reclass(s2o, OHLC)
}

I have a list object stocks that has 909 xts OHLC objects:
[1] "list"
[1] 909

I want to compute the open_close volatility for every component in the list
stock by using lapply. I have tinkered with various variants of

lapply(stocks, function(x) open_close(x, n=10, N=252, ...))

I get errors like so:

Error in FUN(X[[1L]], ...) : '...' used in an incorrect context

Any guidance on how I can achieve my goal would be greatly appreciated.
THank you.

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Jeff Ryan
# 
Don't add the ... into your call. 

open_close(x, n=10, N=252) not open_close(x, n=10, N=252, ...))

HTH
Jeff

Jeffrey Ryan    |    Founder    |    jeffrey.ryan at lemnica.com

www.lemnica.com
On Dec 28, 2011, at 5:29 PM, algotr8der <algotr8der at gmail.com> wrote:

            

      
      
      
    

        

      
      
    

  
  


  


      

    

    

      
      

        


  

        

      S
    

    

      
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On 12/28/11 10:06 PM, Jeff Ryan wrote:

            

      
      
      
    

        
Thanks Jeff. That seemed to have fixed that issue. However, now I get
the following:

            

      
      
      
    

        
debugging in: dimnames.xts(x)
debug: {
    .Call("dimnames_zoo", x)
}
Browse[2]>
debug: .Call("dimnames_zoo", x)
Browse[2]> c
Error in dimnames(cd) <- list(as.character(index(x)), colnames(x)) :
  'dimnames' applied to non-array

I tried to debug this but it seems internal to the lapply call. Any
idea? Appreciate the help.

            

      
      
      
    

        

      
      
    

  
  


  


      

    

    

      
      

        


  

        

      S
    

    

      
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Seemed like there was a problem with my data in the list. Some of the list
components were empty - seems like bloomberg populated some of the tickers
with no data. I need to put in error checking to make sure the data is
populated correctly. 

Thank you Jeff for all your help. 

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      G See
    

    

      
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These are the types of things that the list would have been much
better at helping you with if you had provided a reproducible example.
 Of course, in the process of trying to make the reproducible example,
you probably would have found the answer yourself. ;-)

        
On Fri, Dec 30, 2011 at 11:10 AM, algotr8der <algotr8der at gmail.com> wrote: