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Importing Text File in R

This document discusses various methods for importing and managing financial data in R. It describes using the getSymbols() and read.zoo() functions to import stock price data from CSV files. It also covers handling missing values, visualizing data, adjusting for stock splits and dividends, and downloading corporate actions data from Yahoo Finance. The key points are: 1) getSymbols() and read.zoo() can be used to import financial time series data from CSV files into R. 2) Visualization methods and interpolation techniques can help analyze and handle missing values in time series data. 3) Stock price data often needs to be adjusted for corporate actions like splits and dividends to accurately analyze price movements over time.

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Rajkumar35
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© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
89 views

Importing Text File in R

This document discusses various methods for importing and managing financial data in R. It describes using the getSymbols() and read.zoo() functions to import stock price data from CSV files. It also covers handling missing values, visualizing data, adjusting for stock splits and dividends, and downloading corporate actions data from Yahoo Finance. The key points are: 1) getSymbols() and read.zoo() can be used to import financial time series data from CSV files into R. 2) Visualization methods and interpolation techniques can help analyze and handle missing values in time series data. 3) Stock price data often needs to be adjusted for corporate actions like splits and dividends to accurately analyze price movements over time.

Uploaded by

Rajkumar35
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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IMPORTING AND MANAGING FINANCIAL DATA IN R

Importing text files


Importing and Managing Financial Data in R

getSymbols() with CSV files


● Well-forma!ed
● One instrument per file
● Columns: date, open, high, low, close, volume, adjusted
close
● Files named “[symbol].csv”
● Use dir argument to specify directory
Importing and Managing Financial Data in R

getSymbols() with CSV files


! AMZN.csv

"Date","AMZN.Open","AMZN.High","AMZN.Low","AMZN.Close","AMZN.Volume","AMZN.Adjusted"
2002-01-02,11.13,11.01,10.46,10.87,6674703,10.87
2002-01-03,11.26,12.25,10.76,11.99,11441553,11.99
2002-01-04,12.46,12.62,11.71,12.1,12619402,12.1

> getSymbols("AMZN", src = "csv", dir = "../datasets")


[1] "AMZN"

> head(AMZN, 3)
AMZN.Open AMZN.High AMZN.Low AMZN.Close AMZN.Volume AMZN.Adjusted
2002-01-02 11.13 11.01 10.46 10.87 6674703 10.87
2002-01-03 11.26 12.25 10.76 11.99 11441553 11.99
2002-01-04 12.46 12.62 11.71 12.10 12619402 12.10
Importing and Managing Financial Data in R

read.zoo()
! AMZN.csv

"Date","AMZN.Open","AMZN.High","AMZN.Low","AMZN.Close","AMZN.Volume","AMZN.Adjusted"
2002-01-02,11.13,11.01,10.46,10.87,6674703,10.87
2002-01-03,11.26,12.25,10.76,11.99,11441553,11.99
2002-01-04,12.46,12.62,11.71,12.1,12619402,12.1

> amzn_zoo <- read.zoo("../datasets/AMZN.csv", sep = ",", header = TRUE)

> amzn_xts <- as.xts(amzn_zoo)

> head(amzn_xts, n = 3)
AMZN.Open AMZN.High AMZN.Low AMZN.Close AMZN.Volume AMZN.Adjusted
2002-01-02 11.13 11.01 10.46 10.87 6674703 10.87
2002-01-03 11.26 12.25 10.76 11.99 11441553 11.99
2002-01-04 12.46 12.62 11.71 12.10 12619402 12.10
Importing and Managing Financial Data in R

Date and time in separate columns


! FOO.csv

"Date","Time","Open","High","Low","Close"
2016-11-08,09:05:00,80.9,81,80.87,81
2016-11-08,09:10:00,80.92,80.93,80.89,80.89
2016-11-08,09:15:00,80.93,80.94,80.92,80.93

> foo_zoo <- read.zoo("../datasets/FOO.csv", sep = ",", header = TRUE,


index.column = c("Date", "Time"))

> head(foo_zoo, n = 3)
Open High Low Close
2016-11-08 09:05:00 80.90 81.00 80.87 81.00
2016-11-08 09:10:00 80.92 80.93 80.89 80.89
2016-11-08 09:15:00 80.93 80.94 80.92 80.93
Importing and Managing Financial Data in R

File contains multiple instruments


! BAR.csv

Date,Symbol,Type,Price
2016-01-01 10:43:01,A,Bid,58.23
2016-01-01 10:43:01,A,Ask,58.24
2016-01-01 10:43:01,B,Bid,28.96
2016-01-01 10:43:01,B,Ask,28.98

> bar_zoo <- read.zoo("../datasets/BAR.csv", 



split = c("Symbol", "Type"),
sep = ",", header = TRUE)

> bar_zoo
A.Ask B.Ask A.Bid B.Bid
2016-01-01 10:43:01 58.24 28.98 58.23 28.96
2016-01-01 10:43:02 58.25 28.99 58.24 28.97
IMPORTING AND MANAGING FINANCIAL DATA IN R

Let’s practice!
IMPORTING AND MANAGING FINANCIAL DATA IN R

Checking for
weirdness
Importing and Managing Financial Data in R

Visualize Data
> getSymbols("DGS10", src = "FRED")
[1] "DGS10"
> treasury_10 <- DGS10["1982-02"]
> plot(treasury_10, main = "10-Year Constant Maturity Treasury Rate")
Importing and Managing Financial Data in R

Handle missing values


# fill NA using last observation carried forward
locf <- na.locf(treasury_10)

# fill NA using linear interpolation


approx <- na.approx(treasury_10)

# fill NA using spline interpolation


spline <- na.spline(treasury_10)

# merge into one object


na_filled <- merge(locf, approx, spline)

# plot combined object


plot(na_filled, col = c("black", "red", "green"), main = "Compare
Interpolation Methods")
Importing and Managing Financial Data in R

Handle missing values


Importing and Managing Financial Data in R

Visualize data
> getSymbols("MSFT", from = "2004-07-01", to = "2004-12-31", src = "google")
[1] "MSFT"
> plot(Cl(MSFT), main = "Microsoft (Google Finance)")
Importing and Managing Financial Data in R

Cross-reference sources
> getSymbols("MSFT", from = "2004-07-01", to = "2004-12-31")
[1] "MSFT"
> plot(Cl(MSFT), main = "Microsoft (Yahoo Finance)")
Importing and Managing Financial Data in R

Cross-reference sources (2)


> getSymbols("MSFT", from = "2004-07-01", to = "2004-12-31")
[1] "MSFT"
> plot(Ad(MSFT), main = "Microsoft (Yahoo Finance—Adjusted)")
Course Title

Stock split example


● MSFT stock splits 2-for-1

Pre-split Post-split

Shares 100 200

Price $50 $25

Value $5,000 $5,000


Course Title

Stock dividend example


● MSFT issues a $3 per share dividend

Pre-dividend Post-dividend

Cash $0 $300

Shares 100 100

Price $50 $47

Value $5,000 $5,000


Course Title

Data source differences


● Yahoo Finance:
● Raw OHLC prices
● Split- and dividend-adjusted close
● Google Finance:
● Split-adjusted OHLC prices
IMPORTING AND MANAGING FINANCIAL DATA IN R

Let’s practice!
IMPORTING AND MANAGING FINANCIAL DATA IN R

Adjusting for corporate


actions
Importing and Managing Financial Data in R

Adjust for stock splits and dividends (1)


> getSymbols("MSFT", from = "2004-07-01", to = "2004-12-31")
> [1] "MSFT"

> # Adjust data for splits and dividends


> msft_adjusted <- adjustOHLC(MSFT)

> # Object name is not ticker symbol


> my_data <- MSFT

> # Use symbol.name argument


> my_data_adjusted <- adjustOHLC(my_data, symbol.name = "MSFT")
Importing and Managing Financial Data in R

Adjust for stock splits and dividends (2)


Importing and Managing Financial Data in R

Download split and dividend data


> # Download split data from Yahoo Finance
> splits <- getSplits("GE")
> head(splits, n = 4)
GE.spl
1971-06-08 0.5
1983-06-02 0.5
1987-05-26 0.5
1994-05-16 0.5

> # Download split-adjusted dividend data from Yahoo Finance


> dividends <- getDividends("GE")
> head(dividends, n = 4)
GE.div

1970-03-03 0.00677
1970-06-11 0.00677
1970-09-21 0.00677
1970-12-07 0.00677
Importing and Managing Financial Data in R

Download unadjusted dividends


> # Download unadjusted dividend data from Yahoo Finance
> dividends_raw <- getDividends("GE", split.adjust = FALSE)

> # Compare adjusted and unadjusted dividends


head(merge(dividends, dividends_raw))
GE.div GE.div.1
1970-03-03 0.00677 0.64992
1970-06-11 0.00677 0.64992
1970-09-21 0.00677 0.64992
1970-12-07 0.00677 0.64992
1971-03-03 0.00677 0.64992
1971-06-17 0.00729 0.34992
Importing and Managing Financial Data in R

adjRatios()
● Back-adjust any series for splits, dividends, or both
● has 3 arguments
● splits
● dividends
● close
● returns xts-object with 2 columns: Split and Div
Importing and Managing Financial Data in R

Adjust univariate series for splits and dividends


> getSymbols("GE", from = "2000-01-01")
[1] "GE"

> close <- Cl(GE)


> splits <- getSplits("GE")
> dividends_raw <- getDividends("GE", split.adjust = FALSE)


> # Pass splits, unadjusted dividends, and unadjusted close
> ratios <- adjRatios(splits = splits,
dividends = dividends_raw,
close = close)
Importing and Managing Financial Data in R

Adjust univariate series for splits and dividends


> # Multiply unadjusted close by split and dividend ratios
> close_adjusted <- close * ratios[, "Split"] * ratios[, "Div"]

> head(merge(close, close_adjusted, Ad(GE)), n = 4)


GE.Close GE.Close.1 GE.Adjusted
2000-01-03 150.0000 29.50422 29.44630
2000-01-04 144.0000 28.32405 28.26845
2000-01-05 143.7500 28.27488 28.21937
2000-01-06 145.6718 28.65289 28.59664
IMPORTING AND MANAGING FINANCIAL DATA IN R

Let’s practice!
IMPORTING AND MANAGING FINANCIAL DATA IN R

Congratulations!

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