Tons of fixes

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

1 files changed, 0 insertions, 90 deletions

diff --git a/getBloombergData.R b/getBloombergData.R
deleted file mode 100644
index 2421759..0000000
--- a/getBloombergData.R
+++ /dev/null
@@ -1,90 +0,0 @@
-getBloombergData <- function(conn,ticker,start.date){
-  require(TTR)
-  ohlc <- bdh(conn,paste(ticker,"Equity"),c("PX_OPEN","PX_HIGH","PX_LOW","PX_LAST","VOLUME"),start.date,dates.as.row.names=F)
-  colnames(ohlc) <- c("Date","Open","High","Low","Close","Volume")
-  ohlc <- xts(ohlc[,-1],as.Date(ohlc$Date))
-  #split information
-  spl <-  bds(conn,paste(ticker,"Equity"),c("EQY_DVD_ADJUST_FACT"))
-  # bds returns NULL if there is no data.
-  #Adjustment Factor Operator Type
-  # 1 = div
-  # 2 = mul
-  # 3 = add
-  # 4 = sub
-  #Adjustment Factor Flag
-  # 1 = prices only
-  # 2 = volumes only
-  # 3 = prices and volume
-
-  # can't handle 3 or 4 yet
-  if(NROW(spl)!=0){
-    if (NROW(spl[spl[,"Adjustment Factor Operator Type"] %in% c(3, 4),])>0){
-      stop("case not handled")
-    }else{
-      spl[spl[,"Adjustment Factor Operator Type"]==1, "Adjustment Factor"] <-
-        1/spl[spl[,"Adjustment Factor Operator Type"]==1, "Adjustment Factor"]
-    }
-    spl <- xts(data.frame(spl$"Adjustment Factor",
-               ifelse(spl$"Adjustment Factor Flag" %in% c(2,3),
-                      spl$"Adjustment Factor",NA)),
-               order.by = as.Date(spl$"Adjustment Date"))
-    #aggregate non-unique dates
-    spl <- as.xts(aggregate(spl, identity, prod, na.rm=T))
-    if(any(time(spl)>= start.date & time(spl)<=Sys.Date())){
-      spl <- window(spl, start=start.date, end = Sys.Date())
-    }else{
-      spl <- NULL
-    }
-  }
-  #div information
-  #we need to override the end date as well cause the Ex-Date might be in the
-  #future
-  override_fields <- c("DVD_START_DT", "DVD_END_DT")
-  override_values <- c(format(start.date,"%Y%m%d"),format(Sys.Date(),"%Y%m%d"))
-  div <- bds(conn,paste(ticker,"Equity"), c("DVD_HIST"), override_fields,
-             override_values)
-  if(NROW(div)!=0){
-    div <- xts(div$"Dividend Amount", as.Date(div$"Ex-Date"))
-  }
-  if(is.null(div) && is.null(spl)){
-    divspl <- NULL
-  }else if(is.null(div)){
-    #need to use merge.xts, otherwise spl is cast to a numeric
-    divspl <- merge.xts(NA, spl ,all=T)
-  }else if(is.null(spl)){
-    divspl <- merge.xts(div ,NA, NA, all=T)
-  }else{
-    divspl <- merge(div, spl, all=T)
-  }
-  if(!is.null(divspl)){
-    colnames(divspl) <- c("Adj.Div","Split","Split2")
-    ohlc <- merge(ohlc, divspl, all = TRUE)
-    if (all(is.na(ohlc[, "Split2"]))) {
-      s.ratio2 <- rep(1, NROW(ohlc))
-    }else {
-      s.ratio2 <- adjRatios(split = ohlc[, "Split2"])[, 1]
-    }
-    ohlc <- cbind(ohlc, ohlc[, "Adj.Div"] * (1/s.ratio2))
-    colnames(ohlc)[NCOL(ohlc)] <- "Div"
-    adj <- adjRatios(ohlc[, "Split"], ohlc[, "Div"], ohlc[, "Close"])
-    s.ratio <- adj[, 1]
-    d.ratio <- adj[, 2]
-    cn <- colnames(ohlc)
-    ohlc <- cbind(ohlc, ohlc[, "Close"])
-    colnames(ohlc) <- c(cn, "Unadj.Close")
-    ohlc[, "Open"] <- ohlc[, "Open"] * d.ratio * s.ratio
-    ohlc[, "High"] <- ohlc[, "High"] * d.ratio * s.ratio
-    ohlc[, "Low"] <- ohlc[, "Low"] * d.ratio *s.ratio
-    ohlc[, "Close"] <- ohlc[, "Close"] * d.ratio * s.ratio
-    ohlc[, "Volume"] <- ohlc[, "Volume"] * (1/s.ratio2)
-    ohlc <- ohlc[, c("Open", "High", "Low", "Close", "Volume",
-                     "Unadj.Close", "Div", "Split", "Adj.Div")]
-  }else{
-    cn <- colnames(ohlc)
-    ohlc <- cbind(ohlc, ohlc[, "Close"])
-    colnames(ohlc) <- c(cn, "Unadj.Close")
-    ohlc <- merge(ohlc,NA,NA,NA,all = TRUE)
-    colnames(ohlc) <- c(colnames(ohlc)[1:6],"Adj.Div","Split","Div")
-  }
-  return( ohlc )
-}