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View of /pkg/quantstrat/demo/luxor.getSymbols.R

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Revision 1711 - (download) (annotate)
Mon Nov 2 01:37:38 2015 UTC (3 years, 3 months ago) by bodanker
File size: 949 byte(s)
Fix demo/00Index and file permissions

Demo names should not contain the .R extension. Add missing demos.
Ensure all hash-bang (#!) demos have the correct permissions to run.
#!/usr/bin/Rscript --vanilla
#
# Jan Humme (@opentrades) - August 2012, revised April 2013
#
# Tested and found to work correctly using blotter r1457
#
# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
# loading symbol data

Sys.setenv(TZ="UTC")

### packages
#
# quantstrat package will pull in some other packages:
# FinancialInstrument, quantmod, blotter, xts

require(quantstrat)

### FinancialInstrument

currency(c('GBP', 'USD'))

exchange_rate('GBPUSD', tick_size=0.0001)

### quantmod

getSymbols.FI(Symbols='GBPUSD',
	      dir=system.file('extdata',package='quantstrat'),
#	      dir='~/R/OHLC',
	      from=.from, to=.to
)

# ALTERNATIVE WAY TO FETCH SYMBOL DATA
#setSymbolLookup.FI(system.file('extdata',package='quantstrat'), 'GBPUSD')
#getSymbols('GBPUSD', from=.from, to=.to, verbose=FALSE)

### xts

GBPUSD = to.minutes30(GBPUSD)
GBPUSD = align.time(GBPUSD, 1800)


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