Tons of fixes

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

1 files changed, 123 insertions, 0 deletions

diff --git a/utils.R b/utils.R
new file mode 100644
index 0000000..626324e
--- /dev/null
+++ b/utils.R
@@ -0,0 +1,123 @@
+#fix bug in adjRatios
+source("patch-adjRatios.R")
+assignInNamespace("adjRatios",adjRatios,ns="TTR")
+library(TTR)
+rm(adjRatios)
+
+getBloombergData <- function(conn,ticker, start.date, end.date=Sys.Date()){
+  ohlc <- bdh(conn,paste(ticker,"Equity"),c("PX_OPEN","PX_HIGH","PX_LOW","PX_LAST","VOLUME"),start.date,end.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$"Adjustment Date"))
+    #aggregate non-unique dates
+    spl <- as.xts(aggregate(spl, identity, prod, na.rm=T))
+    if(any( (time(spl) >= start.date) && (time(spl) <= end.date))){
+      spl <- window(spl, start=start.date, end = end.date)
+    }else{
+      spl <- NULL
+    }
+  }
+  #div information
+  #we need to override the end date as well cause the Ex-Date might be in the
+  #future
+  override_fields <- c("DVD_START_DT", "DVD_END_DT")
+  override_values <- c(format(start.date, "%Y%m%d"),format(end.date, "%Y%m%d"))
+  div <- bds(conn,paste(ticker,"Equity"), c("DVD_HIST"), override_fields,
+             override_values)
+  if(NROW(div)!=0){
+    div <- xts(div$"Dividend Amount", as.Date(div$"Ex-Date"))
+    #aggregate non-unique dates
+    div <- as.xts(aggregate(div, identity, sum))
+  }
+
+  if(is.null(div) && is.null(spl)){
+    divspl <- NULL
+  }else if(is.null(div)){
+    #need to use merge.xts, otherwise spl is cast to a numeric
+    divspl <- merge.xts(NA, spl ,all=T)
+  }else if(is.null(spl)){
+    divspl <- merge.xts(div ,NA, NA, all=T)
+  }else{
+    divspl <- merge(div, spl, all=T)
+  }
+  if(!is.null(divspl)){
+    colnames(divspl) <- c("Adj.Div","Split","Split2")
+    ohlc <- merge(ohlc, divspl, all = TRUE)
+    if (all(is.na(ohlc[, "Split2"]))) {
+      s.ratio2 <- rep(1, NROW(ohlc))
+    }else {
+      s.ratio2 <- adjRatios(split = ohlc[, "Split2"])[, 1]
+    }
+    ohlc <- cbind(ohlc, ohlc[, "Adj.Div"] * (1/s.ratio2))
+    colnames(ohlc)[NCOL(ohlc)] <- "Div"
+    adj <- adjRatios(ohlc[, "Split"], ohlc[, "Div"], ohlc[, "Close"])
+    s.ratio <- adj[, 1]
+    d.ratio <- adj[, 2]
+    cn <- colnames(ohlc)
+    ohlc <- cbind(ohlc, ohlc[, "Close"])
+    colnames(ohlc) <- c(cn, "Unadj.Close")
+    ohlc[, "Open"] <- ohlc[, "Open"] * d.ratio * s.ratio
+    ohlc[, "High"] <- ohlc[, "High"] * d.ratio * s.ratio
+    ohlc[, "Low"] <- ohlc[, "Low"] * d.ratio *s.ratio
+    ohlc[, "Close"] <- ohlc[, "Close"] * d.ratio * s.ratio
+    ohlc[, "Volume"] <- ohlc[, "Volume"] * (1/s.ratio2)
+    ohlc <- ohlc[, c("Open", "High", "Low", "Close", "Volume",
+                     "Unadj.Close", "Div", "Split", "Adj.Div")]
+  }else{
+    cn <- colnames(ohlc)
+    ohlc <- cbind(ohlc, ohlc[, "Close"])
+    colnames(ohlc) <- c(cn, "Unadj.Close")
+    ohlc <- merge(ohlc,NA,NA,NA,all = TRUE)
+    colnames(ohlc) <- c(colnames(ohlc)[1:6],"Adj.Div","Split","Div")
+  }
+  return( ohlc )
+}
+
+memb <- function(index,add,date){
+  #return the spx tickers at a given date using the history of changes
+  #index: sp500 tickers as of today
+  #add: tabele with list of changes
+  #date: date at which we make the query
+  toreverse <- add[add$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
+}
+
+memb.bb <- function(date){
+  #return the spx tickers at a given date using bloomberg api
+  sp500.tickers <- bds(conn, "SPX Index", "INDX_MWEIGHT_HIST",
+      "END_DATE_OVERRIDE", format(date, "%Y%m%d"))
+  return( gsub(" [A-Z]*","",sp500.tickers[,1]) )
+}