Tons of fixes

have downloaded a complete history of the sp500 since 01/01/2000

1 files changed, 23 insertions, 39 deletions

diff --git a/bloomberg-data.R b/bloomberg-data.R
index 229254d..2c37c20 100644
--- a/bloomberg-data.R
+++ b/bloomberg-data.R
@@ -1,51 +1,35 @@
 require(RBloomberg)
-source("getBloombergData.R")
+source("utils.R")
 conn <- blpConnect(jvm.params = "-Xmx1024m")
+
+#get current tickers
 sp500.tickers <- as.character(bds(conn,"SPX Index","INDX_MEMBERS")[,1])
 #remove exchange information
-for(i in 1:length(sp500.tickers)){
-  ticker <- sp500.tickers[i]
-  sp500.tickers[i] <- strsplit(ticker," ")[[1]][1]
+sp500.tickers <- gsub(" [A-Z]*","", sp500.tickers)
+
+add <- read.table("sp500 add.csv", sep=",", fill=T, header=T,
+                  colClasses="character", quote="")
+add$date <- as.Date(add$date,format="%m/%d/%Y")
+sp500.extended <- union(sp500.tickers,add$ticker.del)
+sp500.extended <- sp500.extended[-match(c("","WHO"),sp500.extended)]
+extra.tickers <- setdiff(sp500.extended,sp500.tickers)
+company.names <- c()
+for(ticker in sp500.extended){
+  company.names <- c(company.names,
+                     bdp(conn, paste(ticker, "Equity"), "NAME")$NAME)
 }
+sp500.extended <- data.frame(ticker=sp500.extended,name=company.names)
+write.table(file="sp500 extended.csv", sp500.extended, col.names=T,
+            row.names=F, sep=",")
 
+#retrieve data from bloomberg
 start.date <- as.Date("2000-01-01")
-list.sp500 <- list()
-for(i in 1:500){
-  ticker <- sp500.tickers[i]
-  #list.sp500.new[[ticker]] <- getBloombergData(conn,ticker,start.date)
-  list.sp500[[ticker]] <- bdh(conn,paste(ticker,"Equity"),c("PX_OPEN","PX_HIGH","PX_LOW","PX_LAST","VOLUME"),start.date,dates.as.row.names=F)
+stock.data <- list()
+for(i in 1:NROW(sp500.extended)){
+  ticker <- as.character(sp500.extended$ticker[i])
+  stock.data[[ticker]] <- getBloombergData(conn,ticker,start.date)
   cat(paste("ticker", i, ": ",ticker),"\n")
 }
-test <- c()
-for(i in 1:158){
-  test <- c(test,sum(abs(as.numeric(list.sp500.new[[i]][1,1:5])-as.numeric(list.sp500[[sp500.tickers[i]]][1,2:6]))))
-}
 
-add <- read.table("sp500 add.csv",sep=",",fill=T,header=T,colClasses="character",quote="")
-add$date <- as.Date(add$date,format="%m/%d/%Y")
 
-memb <- function(index,add,date){
-  #return the list of index constituents
-  toreverse <- add[add$date>=date,]
-  current.index <- index
-  for(i in 1:nrow(toreverse)){
-    if(toreverse$ticker.add[i]!=""){
-      current.index <- current.index[-match(toreverse$ticker.add[i],current.index)]
-    }
-    if(toreverse$ticker.del[i]!=""){
-      current.index <- sort(c(current.index,toreverse$ticker.del[i]))
-    }
-  }
-  current.index
-}
-
-sp500.extended <- union(sp500.tickers,add$ticker.del)
-sp500.extended <- sp500.extended[-match("",sp500.extended)]
-extra.tickers <- setdiff(sp500.extended,sp500.tickers)
-
-list.extra <- list()
-for(i in 1:length(extra.tickers)){
-  ticker <- extra.tickers[i]
-  list.extra[[ticker]] <- bdh(conn,paste(ticker,"Equity"),c("PX_OPEN","PX_HIGH","PX_LOW","PX_LAST"),as.Date("2000-01-01"),dates.as.row.names=F)
-}