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Mulitple FI Sources

5 messages · Mark Harrison, Brian G. Peterson, varcovar

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With a little work, you could get things working for different symbols
to come from different data sources.  Others have been able to make this
work, though I haven't done it.  We've talked about exposing
functionality to make it easier to specify data source *by symbol* by
looking at data source properties stored with each instrument.

However, we've never contemplated having different data sources for the
same symbol.  

Patches Welcome.

Regards,

   - Brian
On Wed, 2011-12-28 at 14:37 -0600, Mark Harrison wrote:

  
    
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Here is my 2 cents on a way to access the same symbols from multiple sources
and time frames. Instead of using the setSymbolLookup.FI() and
getSymbols.FI() functions, why not creating custom functions based on the
getSymbols() structure to access those data: getSymbols.src1(),
getSymbols.src2(), getSymbols.src3()... 

Basically, data are stored in different folders, with different format and
all the formating job is done inside each function. It eventually looks like
something like that: 

## Define instruments (or load instruments)
currency("USD")
future("GC", "USD", multiplier = 10, tick_size = 0.1)
future_series("GC_G00")
## get Gold Feb 2000 contract daily data from src1
getSymbols.src1("GC_G00")  
## get Gold Feb 2000 contract daily data from high frequency data from src2
getSymbols.src2("GC_G00", start_time = "09:30", end_time = "15:59", period =
"days", k = 1)



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On Wed, 2011-12-28 at 20:54 -0800, varcovar wrote:
You can also call getSymbols.FI  or getSymbols.rda or getSymbols.csv
with the 'dir' argument.  This may avoid writing custom functions.
#
Hi Brian, 

Thanks for the tips. I actually tried that first, but one of my data sources
provides tick data and I wanted the conversion to a lower frequency to be
done inside the function - I don't know how to do it without writing a
custom function. 

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