diff options
| -rw-r--r-- | bandit.R | 9 | ||||
| -rw-r--r-- | bloomberg-data.R | 62 | ||||
| -rw-r--r-- | patch-adjRatios.R | 8 | ||||
| -rw-r--r-- | sp500 add.csv | 231 | ||||
| -rw-r--r-- | sp500 tickers 10-17.csv (renamed from sp500 tickers 10-04.csv) | 4 | ||||
| -rw-r--r-- | utils.R (renamed from getBloombergData.R) | 45 |
6 files changed, 189 insertions, 170 deletions
@@ -1,10 +1,4 @@ -#fix bug in adjRatios -source("patch-adjRatios.R") -assignInNamespace("adjRatios",adjRatios,ns="TTR") -library(TTR) -rm(adjRatios) - -sp500<- read.table("sp500 tickers 10-04.csv",sep="\t",header=T,quote="",colClasses="character",strip.white=T) +sp500<- read.table("sp500 tickers 10-17.csv",sep="\t",header=T,quote="",colClasses="character",strip.white=T) colnames(sp500) <- c("name","ticker") #replace / by - sp500$ticker <- sub('/', '-', sp500$ticker) @@ -14,6 +8,7 @@ tickerlist <- list() for(i in 1:length(sp500$ticker)){ ticker <- sp500[i,"ticker"] tickerlist[[ticker]] <- getYahooData(ticker,"20000101") + cat("ticker",i,ticker,"\n") } #compute matrix of returns diff --git a/bloomberg-data.R b/bloomberg-data.R index 229254d..2c37c20 100644 --- a/bloomberg-data.R +++ b/bloomberg-data.R @@ -1,51 +1,35 @@ require(RBloomberg) -source("getBloombergData.R") +source("utils.R") conn <- blpConnect(jvm.params = "-Xmx1024m") + +#get current tickers sp500.tickers <- as.character(bds(conn,"SPX Index","INDX_MEMBERS")[,1]) #remove exchange information -for(i in 1:length(sp500.tickers)){ - ticker <- sp500.tickers[i] - sp500.tickers[i] <- strsplit(ticker," ")[[1]][1] +sp500.tickers <- gsub(" [A-Z]*","", sp500.tickers) + +add <- read.table("sp500 add.csv", sep=",", fill=T, header=T, + colClasses="character", quote="") +add$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) -} diff --git a/patch-adjRatios.R b/patch-adjRatios.R index a96f541..e7beeab 100644 --- a/patch-adjRatios.R +++ b/patch-adjRatios.R @@ -42,8 +42,12 @@ adjRatios <- function (splits, dividends, close) obj <- merge.xts(close, splits, dividends) # for a non NA dividend value, close from the previous day must be non NA #otherwise we can't compute the dividend ratio - if(any(is.na(close[-length(close)][!is.na(dividends)[-1]]))){ - stop("can't compute dividend ratio") + if(any(is.na(obj[-NROW(obj),1][!is.na(obj[,3])[-1]]))){ + for(i in which(!is.na(obj[,3]))){ + if( is.na(obj[i-1,1]) ){ + obj[i-1,1] <- last(na.omit(obj[1:(i-1),1])) + } + } } # if close is NA, then we can't compute the dividend ratio anway #if (!isTRUE(is.na(close))) { diff --git a/sp500 add.csv b/sp500 add.csv index 49507a1..2199b98 100644 --- a/sp500 add.csv +++ b/sp500 add.csv @@ -18,7 +18,7 @@ date,ticker.add,name.add,ticker.del,name.del 12/20/2010,NFX,NEWFIELD EXPLORATION CO,EK,EASTMAN KODAK CO 11/17/2010,IR,INGERSOLL-RAND PLC,PTV,PACTIV CORPORATION 8/27/2010,TYC,TYCO INTL,SII,SMITH INTL INC -7/15/2010,ACE,ACE LIMITED,MIL,MILLIPORE CORP +7/15/2010,ACE,ACE LIMITED,0202445Q,MILLIPORE CORP 7/1/2010,QEP,QEP RESOURCES INC,STR,QUESTAR CORP 6/28/2010,KMX,CARMAX INC,XTO,XTO ENERGY INC 4/30/2010,CERN,CERNER CORP,BJS,BJ SERVICES CO @@ -26,11 +26,12 @@ date,ticker.add,name.add,ticker.del,name.del 3/1/2010,DISCA,DISCOVERY COMMUNICATIONS,PBG,PEPSI BOTTLING GROUP INC 3/1/2010,HP,HELMERICH & PAYNE INC,RX,IMS HEALTH INC 2/16/2010,BRK/B,BERKSHIRE HATHAWAY B,BNI,BURLINGTON NORTHERN SANTE FE -2/8/2010,URBN,URBAN OUTFITTERS,ACS,AFFILIATED COMPUTER SERVICES +2/8/2010,URBN,URBAN OUTFITTERS,8277831Q,AFFILIATED COMPUTER SERVICES 1/29/2010,NRG,NRG ENERGY,JAVA,SUN MICROSYSTEMS INC +1/29/2010,MJN,,MJN-W 12/23/2009,ROP,ROPER INDUSTRIES INC,ESV,ENSCO INTL INC 12/21/2009,CLF,CLIFFS NATURAL RESOURCES,KBH,KB HOME -12/21/2009,MJN,MEAD JOHNSON NUTRITION CO,MBI,MBIA INC +12/21/2009,MJN-W,MEAD JOHNSON NUTRITION CO,MBI,MBIA INC 12/21/2009,ROST,ROSS STORES INC,DYN,DYNEGY INC A 12/21/2009,SAI,SAIC INC,CVG,CONVERGYS CORP 12/21/2009,V,VISA INC,CIEN,CIENA CORP @@ -40,14 +41,14 @@ date,ticker.add,name.add,ticker.del,name.del 9/9/2009,ARG,AIRGAS INC,CBE,COOPER INDUSTRIES LTD 9/1/2009,CFN,CAREFUSION CORP,MTW,MANITOWOC CO INC 8/19/2009,FMC,FMC CORP,CTX,CENTEX CORP -7/25/2009,RHT,RED HAT INC,CIT,CIT GROUP INC +7/25/2009,RHT,RED HAT INC,CITGQ,CIT GROUP INC 7/1/2009,PWR,QUANTA SERVICES INC,IR,INGERSOLL-RAND COMPANY LTD 7/1/2009,WDC,WESTERN DIGITAL CORP.,EQ,EMBARQ CORP. 6/30/2009,PCS,METROPCS COMMUNICATIONS 6/26/2009,,,TEL,TYCO ELECTRONICS LTD 6/9/2009,DV,DEVRY INC 6/5/2009,FTI,FMC TECHNOLOGIES INC.,COV,COVIDIEN LTD. -6/3/2009,,,GM,GENERAL MOTORS CORP +6/3/2009,,,MTLQQ,MOTORS LIQUIDATION CO 4/2/2009,DNR,DENBURY RESOURCES INC,ROH,ROHM & HAAS CO 3/30/2009,TWC,TIME WARNER CABLE INC,DDR,DEVELOPERS DIVERSIFIED REALTY 3/27/2009,ORLY,O'REILLY AUTOMOTIVE,NE,NOBLE CORP @@ -56,7 +57,7 @@ date,ticker.add,name.add,ticker.del,name.del 3/4/2009,VTR,VENTAS INC,JNY,JONES APPAREL GROUP 2/26/2009,DO,DIAMOND OFFSHORE DRILLING,WFT,WEATHERFORD INTERNATIONAL LTD 1/30/2009,HCN,HEALTH CARE REIT INC,SOV,SOVEREIGN BANCORP -1/6/2009,IRM,IRON MOUNTAIN INC,UST,UST INC +1/6/2009,IRM,IRON MOUNTAIN INC,3517233Q,UST INC 1/2/2009,FLIR,FLIR SYSTEMS,NCC,NATIONAL CITY CORP 1/2/2009,OI,OWENS-ILLINOIS,WB,WACHOVIA CORP(NEW) 1/2/2009,SCG,SCANA CORP,MER,MERRILL LYNCH @@ -64,8 +65,8 @@ date,ticker.add,name.add,ticker.del,name.del 12/19/2008,EQT,EQUITABLE RESOURCES,RIG,TRANSOCEAN INC (NEW) 12/5/2008,RSG,REPUBLIC SERVICES,AW,ALLIED WASTE INDUSTRIES 12/2/2008,DNB,DUN & BRADSTREET,LIZ,LIZ CLAIBORNE -11/24/2008,LIFE,LIFE TECHNOLOGIES CORP,ABI,APPLIED BIOSYSTEMS INC -11/19/2008,SRCL,STERICYCLE INC,BUD,ANHEUSER-BUSCH +11/24/2008,LIFE,LIFE TECHNOLOGIES CORP,3286728Q,APPLIED BIOSYSTEMS INC +11/19/2008,SRCL,STERICYCLE INC,3393199Q,ANHEUSER-BUSCH 11/17/2008,CEPH,CEPHALON INC 11/14/2008,WYNN,WYNN RESORTS LTD,ASH,ASHLAND INC 11/14/2008,XRAY,DENTSPLY INTERNATIONAL IN,HPC,HERCULES INC @@ -77,40 +78,40 @@ date,ticker.add,name.add,ticker.del,name.del 10/22/2008,NDAQ,NASDAQ OMX GROUP INC,DDS,DILLARD'S INC 10/7/2008,DPS,DR PEPPER SNAPPLE GROUP I,WWY,WRIGLEY WM JR 10/2/2008,FLS,FLOWSERVE CORPORATION -9/30/2008,APH,AMPHENOL CORP,WEN,WENDY'S INTERNATIONAL -9/30/2008,,,WM,WASHINGTON MUTUAL +9/30/2008,APH,AMPHENOL CORP,3022239Q,WENDY'S INTERNATIONAL +9/30/2008,,,WAMUQ,WASHINGTON MUTUAL 9/24/2008,PXD,PIONEER NATURAL RESOURCES 9/23/2008,,,SAF,SAFECO CORP 9/22/2008,HRS,HARRIS CORP -9/17/2008,,,LEH,LEHMAN BROS +9/17/2008,,,LEHMQ,LEHMAN BROS 9/15/2008,CRM,SALESFORCE.COM 9/15/2008,FAST,FASTENAL CO -9/11/2008,,,FNM,FANNIE MAE -9/11/2008,,,FRE,FEDERAL HOME LOAN MTG -8/27/2008,CF,CF INDUSTRIES HOLDINGS IN,EDS,ELECTRONIC DATA SYSTEMS CORP +9/11/2008,,,FNMA,FANNIE MAE +9/11/2008,,,FMCC,FEDERAL HOME LOAN MTG +8/27/2008,CF,CF INDUSTRIES HOLDINGS IN,3423152Q,ELECTRONIC DATA SYSTEMS CORP 8/21/2008,IVZ,INVESCO LTD,IACI,IAC/INTERACTIVE CORP -7/31/2008,DVA,DAVITA INC,CCU,CLEAR CHANNEL COMMUNICATIONS +7/31/2008,DVA,DAVITA INC,2968900Q,CLEAR CHANNEL COMMUNICATIONS 7/18/2008,MA,MASTERCARD INC,ACE,ACE LIMITED 7/1/2008,AKS,AK STEEL HOLDING CORP,CFC,COUNTRYWIDE FINANCIAL CORP 7/1/2008,SNI,SCRIPPS NETWORK INTERACTI,SSP,SCRIPPS (E.W.) 'A' 6/23/2008,COG,CABOT OIL & GAS,BC,BRUNSWICK CORP 6/23/2008,MEE,MASSEY ENERGY COMPANY,OMX,OFFICEMAX INC -6/11/2008,LO,LORILLARD INC,ABK,AMBAC FINANCIAL GROUP +6/11/2008,LO,LORILLARD INC,ABKFQ,AMBAC FINANCIAL GROUP 6/6/2008,SWN,SOUTHWESTERN ENERGY,TT,TRANE INC -6/2/2008,ISRG,INTUITIVE SURGICAL INC,BSC,BEAR STEARNS COS +6/2/2008,ISRG,INTUITIVE SURGICAL INC,2942331Q,BEAR STEARNS COS 3/31/2008,HCP,HCP INC,CBH,COMMERCE BANCORP -3/31/2008,PM,PHILIP MORRIS INTL,CC,CIRCUIT CITY GROUP +3/31/2008,PM,PHILIP MORRIS INTL,CCTYQ,CIRCUIT CITY GROUP 1/29/2008,CAM,CAMERON INTERNATIONAL COR,HET,HARRAH'S ENTERTAINMENT 1/2/2008,TSS,TOTAL SYSTEM SERVICES,SNV,SYNOVUS FINANCIAL 12/31/2007,WPO,WASHINGTON POST,TIN,TEMPLE-INLAND 12/21/2007,RRC,RANGE RESOURCES CORP,TRB,TRIBUNE CO 12/14/2007,GME,GAMESTOP CORP,DJ,DOW JONES & CO 11/27/2007,RIG,TRANSOCEAN INC (NEW),RIG,TRANSOCEAN (OLD) -11/19/2007,AMT,AMERICAN TOWER CORP,AT,ALLTEL CORP +11/19/2007,AMT,AMERICAN TOWER CORP,3692470Q,ALLTEL CORP 11/16/2007,MTW,MANITOWOC CO,TEK,TEKTRONIX INC 11/9/2007,POM,PEPCO HOLDINGS INC,HCR,MANOR CARE INC 10/29/2007,TIE,TITANIUM METALS,BOL,BAUSCH & LOMB -10/26/2007,JEC,JACOBS ENGINEERING GROUP,AV,AVAYA INC +10/26/2007,JEC,JACOBS ENGINEERING GROUP,3414924Q,AVAYA INC 10/25/2007,NYX,NYSE EURONEXT,HLT,HILTON HOTELS 10/10/2007,EXPD,EXPEDITORS INT'L,TXU,TXU CORP 10/8/2007,NBL,NOBLE ENERGY INC,ASN,ARCHSTONE-SMITH TRUST @@ -119,25 +120,25 @@ date,ticker.add,name.add,ticker.del,name.del 9/27/2007,TSO,TESORO PETROLEUM CO,MXIM,MAXIM INTEGRATED PROD 9/26/2007,ICE,INTERCONTINENTALEXCHANGE 9/25/2007,,,FDC,FIRST DATA CORP -9/7/2007,MCHP,MICROCHIP TECHNOLOGY,CBSS,COMPASS BANCSHARES +9/7/2007,MCHP,MICROCHIP TECHNOLOGY,8206908Q,COMPASS BANCSHARES 8/27/2007,LUK,LEUCADIA NATIONAL CORP,KSE,KEYSPAN ENERGY 7/12/2007,AKAM,AKAMAI TECHNOLOGIES INC,BMET,BIOMET INC -7/9/2007,ACAS,AMERICAN CAPITAL STRATEGI,DG,DOLLAR GENERAL +7/9/2007,ACAS,AMERICAN CAPITAL STRATEGI,3403545Q,DOLLAR GENERAL 7/2/2007,COV,COVIDIEN LTD,SANM,SANMINA-SCI CORP 7/2/2007,DFS,DISCOVER FINANCIAL SERVIC,ADCT,ADC TELECOMMUNICATIONS 7/2/2007,GGP,GENL GROWTH PROPERTIES,MEL,MELLON BANK CORP 7/2/2007,TEL,TYCO ELECTRONICS LTD,PMCS,PMC-SIERRA INC 7/2/2007,TYC,TYCO INTERNATIONAL-W/I(NE,TYC,TYCO INTERNATIONAL (OLD) 6/1/2007,PCP,PRECISION CASTPARTS,MEDI,MEDIMMUNE INC -5/31/2007,WFR,MEMC ELECTRONIC MATERIALS,KMI,KINDER MORGAN INC -4/10/2007,AIZ,ASSURANT INC,H,REALOGY CORPORATION +5/31/2007,WFR,MEMC ELECTRONIC MATERIALS,4621824Q,KINDER MORGAN INC +4/10/2007,AIZ,ASSURANT INC,3362726Q,REALOGY CORPORATION 4/2/2007,KFT,KRAFT FOODS INC - A,TSG,SABRE HOLDING CORP 3/29/2007,ANF,ABERCROMBIE & FITCH CO,UVN,UNIVISION COMMUNICATIONS 3/23/2007,DDR,DEVELOPERS DIVERSIFIED RL,CMX,CAREMARK RX 3/20/2007,HST,HOST HOTELS & RESORTS,PD,PHELPS DODGE 3/2/2007,CHRW,C.H. ROBINSON WORLDWIDE,HMA,HEALTH MANAGEMENT ASSOC 2/22/2007,TEG,INTEGRYS ENERGY GROUP INC,PGL,PEOPLES ENERGY -2/15/2007,HCBK,HUDSON CITY BANCORP,APCC,AMERICAN POWER CONVERSION +2/15/2007,HCBK,HUDSON CITY BANCORP,2307532Q,AMERICAN POWER CONVERSION 2/12/2007,VAR,VARIAN MEDICAL SYSTEMS,EOP,EQUITY OFFICE PROPERTIES 2/2/2007,RL,POLO RALPH LAUREN CORP,CMVT,Converse 1/10/2007,AVB,AVALON BAY COMMUNITIES,2987536Q,SYMBOL TECHNOLOGIES @@ -147,193 +148,195 @@ date,ticker.add,name.add,ticker.del,name.del 12/4/2006,DTV,DIRECTV GROUP INC,FSL/B,FREESCALE SEMICONDUCTOR INC 12/1/2006,IACI,IAC/INTERACTIVE CORP,LU,LUCENT TECHNOLOGIES 12/1/2006,STR,QUESTAR CORP,NFB,NORTH FORK BANCORPORATION -11/20/2006,BTU,PEABODY ENERGY CORP,HCA,HCA INC +11/20/2006,BTU,PEABODY ENERGY CORP,3605818Q,HCA INC 11/17/2006,CTSH,COGNIZANT TECHNOLOGY SOLU,ACV,ALBERTO-CULVER 11/10/2006,CBG,CB RICHARD ELLIS GROUP,FSH,FISHER SCIENTIFIC INTL INC -11/6/2006,CELG,Celgene Corp.,ASO,AmSouth Bancorp +11/10/2006,FIS,FIDELITY NATIONAL INFORMATIO,LPX,LOUISIANA-PACIFIC CORP +11/6/2006,CELG,Celgene Corp.,3133754Q,AmSouth Bancorp 10/2/2006,SII,Smith International,GDW,Golden West Financial 10/2/2006,WU,Western Union Co,ANDW,Andrew Corp 8/11/2006,CME,Chicago Mercantile Exchan,KMG,Kerr-McGee Corp. -8/1/2006,H,Realogy Corp.,GTW,Gateway Inc. -8/1/2006,WYN,Wyndham Worldwide Corp.,CD,Cendant Corp. +8/1/2006,3362726Q,Realogy Corp.,GTW,Gateway Inc. +8/1/2006,WYN,Wyndham Worldwide Corp.,CAR,AVIS BUDGET GROUP INC 7/18/2006,WIN,Windstream Corp.,CTB,Cooper Tire & Rubber Co. 6/28/2006,CNX,CONSOL Energy Inc.,KRI,Knight-Ridder Inc. -6/6/2006,CBH,Commerce Bancorp,EC,Engelhard Corp. +6/6/2006,CBH,Commerce Bancorp,2999130Q,Engelhard Corp. 6/2/2006,JNPR,Juniper Neworks Inc.,ABS,Albertson's Inc. 5/18/2006,EQ,Embarq Corp.,AMCC,Applied Micro Circuits Corp. 4/24/2006,LM,Legg Mason,GDT,Guidant Co. 4/20/2006,SNDK,SanDisk Corp.,CHIR,Chiron Corp. 4/3/2006,BXP,Boston Properties,CIN,Cinergy Corp. -4/3/2006,DF,Dean Foods,MYG,Maytag Corp. -4/3/2006,GOOG,Google Inc.,BR,Burlington Resources Inc. +4/3/2006,DF,Dean Foods,3080867Q,Maytag Corp. +4/3/2006,GOOG,Google Inc.,929530Q,Burlington Resources Inc. 4/3/2006,KIM,Kimco Realty Corp.,JP,Jefferson-PilotCorp. -3/3/2006,CHK,Chesapeake Energy Corp.,DCN,Dana Corp. +3/3/2006,CHK,Chesapeake Energy Corp.,DCNAQ,Dana Corp. 2/27/2006,BRL,Barr Pharmaceuticals Inc.,3026360Q,Scientific-Atlanta 2/1/2006,HAR,Harman Int'l,SEBL,Siebel Systems Inc. 2/1/2006,VRSN,VeriSign Inc.,RBK,Reebok Int'l 1/5/2006,EL,Estee Lauder 1/4/2006,,,MERQ,Mercury Interactive -1/3/2006,VIA/B,Viacom Inc. (New),VC,Visteon Corp. +1/3/2006,VIA/B,Viacom Inc. (New),VSTNQ,Visteon Corp. 1/3/2006,WFM,Whole Foods Market,KRB,MBNA Corp. 12/20/2005,SSP,EW Scripps Co,GP,Georgia-Pacific Group -12/2/2005,GNW,Genworth Financial Inc.,CPN,Calpine Corp. +12/2/2005,GNW,Genworth Financial Inc.,CPNLQ,Calpine Corp. 11/21/2005,AMZN,Amazon.com,653707Q,AT&T Corp. -10/11/2005,PDCO,Patterson Companies Inc.,DPH,Delphi Corp. +10/11/2005,PDCO,Patterson Companies Inc.,DPHIQ,Delphi Corp. 10/4/2005,LEN,Lennar Corp. -10/3/2005,,,G,Gillette Co. +10/3/2005,,,1028411Q,Gillette Co. 10/3/2005,AMP,Ameriprise Financial,PVN,Providian Financial -8/30/2005,CVH,Coventry Health Care Inc.,MAY,May Dept. Stores -8/19/2005,PSA,Public Storage,DAL,Delta Air Lines +8/30/2005,CVH,Coventry Health Care Inc.,987200Q,May Dept. Stores +8/19/2005,PSA,Public Storage,DALRQ,Delta Air Lines 8/15/2005,MUR,Murphy Oil,NXTL,Nextel Communications -8/12/2005,VNO,Vornado Realty Trust,SDS,SunGard Data Systems +8/12/2005,VNO,Vornado Realty Trust,764144Q,SunGard Data Systems 8/11/2005,TSN,Tyson Foods,UCL,Unocal Corp. 7/22/2005,WFT,Weatherford Int'l,TOY,"Toys ""R"" US" -7/5/2005,DHI,D.R. Horton,VRTS,Veritas Software -7/5/2005,STZ,Constellation Brands,GLK,Great Lakes Chemical -3/28/2005,SHLD,Sears Holdings Corp.,S,Sears +7/5/2005,DHI,D.R. Horton,3153670Q,Veritas Software +7/5/2005,STZ,Constellation Brands,723588Q,Great Lakes Chemical +3/28/2005,SHLD,Sears Holdings Corp.,605555Q,Sears 3/15/2005,NOV,National Oilwell Varco,PWER,Power-One -12/29/2004,XTO,XTO Energy,PSFT,PeopleSoft Inc. +12/29/2004,XTO,XTO Energy,3029830Q,PeopleSoft Inc. 12/20/2004,ASN,Archstone-Smith Trust,CR,Crane Co. -12/20/2004,CBSS,Compass Bancshares,WOR,Worthington Industries +12/20/2004,8206908Q,Compass Bancshares,WOR,Worthington Industries 12/20/2004,NWSA,News Corp.,DLX,Deluxe Corp. -12/3/2004,FSL/B,Freescale Semiconductor I,WIN,Winn-Dixie -12/1/2004,LLL,L-3 Communications Holdin,WLP,WellPoint Health Networks -11/1/2004,LH,Laboratory Corp of Americ,SOTR,SouthTrust Corp. -10/27/2004,CIT,CIT Group,AWE,AT&T Wireless -9/1/2004,COH,Coach Inc.,CF,Charter One Financial +12/3/2004,FSL/B,Freescale Semiconductor I,WNDXQ,Winn-Dixie +12/1/2004,LLL,L-3 Communications Holdin,502466Q,WellPoint Health Networks +11/1/2004,LH,Laboratory Corp of Americ,2676187Q,SouthTrust Corp. +10/27/2004,CITGQ,CIT Group,AWE,AT&T Wireless +9/1/2004,COH,Coach Inc.,605018Q,Charter One Financial 8/3/2004,FSH,Fisher Scientific,TNB,Thomas & Betts -7/1/2004,GILD,Gilead Sciences,ONE,Bank One Corp. -7/1/2004,RF,Regions Financial Corp. (,RF,Regions Financial Corporation +7/1/2004,GILD,Gilead Sciences,3621240Q,Bank One Corp. +7/1/2004,RF,Regions Financial Corp. (,355488Q,Regions Financial Corporation 7/1/2004,SOV,Sovereign Bancorp,UPC,Union Planters Corporation 5/3/2004,HSP,Hospira Inc.,AM,American Greetings 4/29/2004,VLO,Valero Energy,JHF,John Hancock Financial Servic -4/23/2004,MYL,Mylan Laboratories,PCS,Sprint PCS -4/2/2004,ACS,Affiliated Computer Servi,TAP/B,Travelers Property Casualty +4/23/2004,MYL,Mylan Laboratories,945852Q,Sprint PCS +4/2/2004,8277831Q,Affiliated Computer Servi,TAP/B,Travelers Property Casualty 4/1/2004,ETFC,E*Trade Financial,FBF,FleetBoston Financial 3/25/2004,CMX,Caremark Rx,TUP,Tupperware Corp. -2/27/2004,MTB,M&T Bank Corp.,CE,Concord EFS Inc. +2/27/2004,MTB,M&T Bank Corp.,519239Q,Concord EFS Inc. 11/13/2003,BIIB,BIOGEN IDEC,BGEN,Biogen Inc. 9/25/2003,ESRX,Express Scripts,QTRN,Quintiles Transnational 8/20/2003,MHS,Medco Health Solutions In,MDR,McDermott International -7/17/2003,8394653Q,ProLogis,MIR,Mirant Corp +7/17/2003,8394653Q,ProLogis,MIRKQ,Mirant Corp 4/16/2003,FII,Federated Investors Inc.,748957Q,Pharmacia Corp. -3/31/2003,SYMC,Symantec Corp.,HI,Household International -3/21/2003,MKC,McCormick & Company,HRC,HEALTHSOUTH Corp. +3/31/2003,SYMC,Symantec Corp.,2727195Q,Household International +3/21/2003,MKC,McCormick & Company,HLS,HEALTHSOUTH Corp. 3/13/2003,AIV,Apartment Investment & Ma,AMR,AMR Corp. -12/12/2002,DGX,Quest Diagnostics,TRW,TRW Inc. +2/24/2003,AN,AutoNation Inc.,RATL,Rational Software +12/12/2002,DGX,Quest Diagnostics,297504Q,TRW Inc. 11/19/2002,CMCSA,Comcast Corp.,CMCSK,Comcast Class A Special 9/4/2002,RAI,RJ Reynolds Tobacco 9/2/2002,,,COC,Conoco Inc. 8/21/2002,TAP/B,Travelers Property Casual,VTSS,Vitesse Semiconductor 8/14/2002,MON,Monsanto Co,PALM,Palm Inc -7/25/2002,WLP,Anthem Inc.,CNC,Conseco Inc. -7/22/2002,EBAY,eBay Inc.,AL,Alcan Inc. +7/25/2002,WLP,Anthem Inc.,CNCEQ,Conseco Inc. +7/22/2002,EBAY,eBay Inc.,8214761Q,Alcan Inc. 7/22/2002,ERTS,Electronic Arts,PDG,Placer Dome Inc. 7/22/2002,GS,Goldman Sachs Group,UN,Unilevr N.V. 7/22/2002,PFG,Principal Financial Group,ABX,Barrick Gold Corp. -7/22/2002,PRU,Prudential Financial,NT,Nortel Networks -7/22/2002,SDS,SunGard Data Systems,N,Inco -7/22/2002,UPS,United Parcel Services,RD,Royal Dutch Petroleum +7/22/2002,PRU,Prudential Financial,NRTLQ,Nortel Networks +7/22/2002,764144Q,SunGard Data Systems,INCLF,Inco +7/22/2002,UPS,United Parcel Services,RDPL,Royal Dutch Petroleum 7/17/2002,NFB,North Fork Bancorporation,IMNX,Immunex Corp. 6/26/2002,SPG,Simon Property Group,CNXT,Conexant Systems -5/15/2002,APOL,Apollo Group,WCOM,WorldCom Inc.-WorldCom Group -5/15/2002,BJS,BJ Services,U,USAirways Group Inc. +5/15/2002,APOL,Apollo Group,WCOEQ,WorldCom Inc.-WorldCom Group +5/15/2002,BJS,BJ Services,UAWGQ,USAirways Group Inc. 5/13/2002,TT,American Standard,SAPE,Sapient Corp. 5/6/2002,FHN,First Tennessee National,680884Q,COMPAQ Computer -2/24/2002,AN,AutoNation Inc.,RATL,Rational Software -2/11/2002,MI,Marshall & Ilsley Corp.,WLL,Willamette Industries +2/11/2002,MI,Marshall & Ilsley Corp.,228510Q,Willamette Industries 2/1/2002,RATL,Rational Software,NMK,Niagara Mohawk Hldgs. Inc. -1/31/2002,MWV,MeadWestvaco Corp.,MEA,Mead Corp. +1/31/2002,MWV,MeadWestvaco Corp.,544791Q,Mead Corp. 1/30/2002,ACE,ACE Limited,W,Westvaco Corp. -1/17/2002,PCL,Plum Creek Timber Co.,KM,K mart +1/17/2002,PCL,Plum Creek Timber Co.,KMRTQ,K mart 1/2/2002,WAT,Waters Corporation,FMC,FMC Corp. 12/17/2001,JNY,Jones Apparel Group,HM,Homestake Mining 12/14/2001,GENZ,Genzyme Corp. 12/13/2001,,,RAL,Ralston Purina Co -12/3/2001,EQR,Equity Res.Properties,NSI,National Service Ind. -11/30/2001,NVDA,NVIDIA Corp.,ENE,Enron Corp. +12/3/2001,EQR,Equity Res.Properties,329556Q,National Service Ind. +11/30/2001,NVDA,NVIDIA Corp.,ENRNQ,Enron Corp. 11/7/2001,HMA,Health Management Assoc.,GPUI,GPU Inc. -10/10/2001,EOP,Equity Office Properties,TX,Texaco Inc. +10/10/2001,EOP,Equity Office Properties,677004Q,Texaco Inc. +10/10/2001,TE,TECO ENERGY INC,GBLXQ,GLOBAL CROSSING LTD 9/21/2001,IMNX,Immunex Corp. 9/18/2001,,,TOS,Tosco Corp. 9/4/2001,IGT,Int'l. Game Technology,BVSN,BroadVision Inc. 9/4/2001,XL,XL Capital,41018Q,Wachovia Corp. 8/30/2001,ABC,AmerisourceBergen,OKE,ONEOK Inc. -8/30/2001,CIEN,CIENA Corp.,AGC,American General +8/30/2001,CIEN,CIENA Corp.,950967Q,American General 8/7/2001,ZMH,Zimmer Holdings,TKR,Timken Co. -8/6/2001,FDO,Family Dollar Stores,CS,Cabletron Systems +8/6/2001,FDO,Family Dollar Stores,ETS,Cabletron Systems 8/3/2001,PMCS,PMC-Sierra,OAT,Quaker Oats 7/9/2001,AWE,AT&T Wireless Group,PCH,Potlatch Corp. 7/2/2001,COL,Rockwell Collins,LDG,Longs Drug Stores -6/28/2001,JHF,John Hancock Financial,H,Harcourt General Inc. +6/28/2001,JHF,John Hancock Financial,739306Q,Harcourt General Inc. 6/25/2001,,,AZA,ALZA Corp. Cl. A 6/18/2001,ZION,Zions Bancorp -6/4/2001,MWW,TMP Worldwide,CIT,CIT Group Inc. -5/14/2001,PBG,Pepsi Bottling Group,ADPT,Adaptec -4/3/2001,MIR,Mirant Corp.,BGG,Briggs & Stratton -4/2/2001,CE,Concord EFS Inc.,CEN,Ceridian Corp (Old) +6/4/2001,MWW,TMP Worldwide,89236Q,CIT Group Inc. +5/14/2001,PBG,Pepsi Bottling Group,ADPTD,Adaptec +4/3/2001,MIRKQ,Mirant Corp.,BGG,Briggs & Stratton +4/2/2001,519239Q,Concord EFS Inc.,ARB,Ceridian Corp (Old) 4/2/2001,FISV,FIserv Inc.,OK,Old Kent Financial -3/1/2001,CTAS,Cintas Corporation,SUB,Summit Bancorp +3/1/2001,CTAS,Cintas Corporation,3075558Q,Summit Bancorp 2/27/2001,FTR,Citizens Communications,3346Q,U.S. Bancorp 2/7/2001,UVN,Univision Communications,UK,Union Carbide 1/30/2001,JBL,Jabil Circuit,CGP,Coastal Corp. -1/16/2001,NE,Noble Drilling Corp.,TWX,Time Warner Inc. +1/16/2001,NE,Noble Drilling Corp.,253647Q,Time Warner Inc. 1/2/2001,AMCC,Applied Micro Circuits,3277Q,Morgan (J.P.) & Co. 12/22/2000,FLR,Fluor Corp. (New),MEE,Massey Energy Company -12/14/2000,AET,Aetna Inc. (New),AET,Aetna Inc. (Old) -12/12/2000,KMI,Kinder Morgan,NGH,Nabisco Group Hldgs. +12/14/2000,AET,Aetna Inc. (New),3253Q,Aetna Inc. (Old) +12/12/2000,4621824Q,Kinder Morgan,NGH,Nabisco Group Hldgs. 12/12/2000,QLGC,QLogic Corp.,PRDCQ,Polaroid Corp. 12/12/2000,SYK,Stryker Corp.,RML,Russell Corp. -12/12/2000,VTSS,Vitessa Semiconductor,SMI,Springs Industries -12/11/2000,ABK,Ambac Financial Group,CCK,Crown Cork & Seal -12/11/2000,AYE,Allegheny Energy Inc.,BS,Bethlehem Steel +12/12/2000,VTSS,Vitessa Semiconductor,304024Q,Springs Industries +12/11/2000,ABKFQ,Ambac Financial Group,CCK,Crown Cork & Seal +12/11/2000,AYE,Allegheny Energy Inc.,BHMSQ,Bethlehem Steel 12/11/2000,INTU,Intuit,OI,Owens-Illinois -12/11/2000,MET,MetLife Inc.,VO,Seagram Co. Ltd. +12/11/2000,MET,MetLife Inc.,291784Q,Seagram Co. Ltd. 12/11/2000,2987536Q,Symbol Technologies,GRA,WR Grace & Co (New) 12/5/2000,RHI,Robert Half International 12/4/2000,,,AFS,Associates First Capital -12/1/2000,CPN,Calpine Corp.,FPC,Florida Progress +12/1/2000,CPNLQ,Calpine Corp.,FPC,Florida Progress 11/24/2000,CHIR,Chiron Corp.,FJ,Fort James Corp. 11/22/2000,FRX,Forest Laboratories,SEG,Seagate Technology 11/17/2000,HOT,Starwood Hotels & Resorts,ACKH,Armstrong Holdings -11/6/2000,BVSN,BroadVision Inc.,PWJ,PainWebber Group -11/2/2000,EOG,EOG Resources,EFU,Eastern Enterprises -11/2/2000,NI,NiSource Inc.,CG,Columbia Energy Group +11/6/2000,BVSN,BroadVision Inc.,301710Q,PainWebber Group +11/2/2000,EOG,EOG Resources,2269312Q,Eastern Enterprises +11/2/2000,NI,NiSource Inc.,68335Q,Columbia Energy Group 10/23/2000,PWER,Power-One Inc.,UCM,Unicom Corp. 10/18/2000,NBR,Nabors Industries,MKG,Mallinckrodt Inc. -10/3/2000,DYN,Dynegy Inc.,BFO,BestFoods +10/3/2000,DYN,Dynegy Inc.,236555Q,BestFoods 10/3/2000,KG,King Pharmaceuticals,YNR,Young & Rubicam -10/2/2000,AV,Avaya Inc.,OWC,Owens Corning -8/30/2000,DVN,Devon Energy Corp.,GAP,Great Atlantic & Pacific Tea +10/2/2000,3414924Q,Avaya Inc.,OWENQ,Owens Corning +8/30/2000,DVN,Devon Energy Corp.,GAPTQ,Great Atlantic & Pacific Tea 8/21/2000,KSE,KeySpan Corp.,NCE,New Century Energies 7/28/2000,PALM,Palm Inc.,COMS,3Com Corp. 7/27/2000,JDSU,JDS Uniphase Corp.,RAD,Rite Aid Corp. -7/17/2000,CIT,CIT Group Inc.,UPR,Union Pacific Resources +7/17/2000,89236Q,CIT Group Inc.,2953349Q,Union Pacific Resources 7/13/2000,JNS,Stilwell Financial,KSU,Kansas City Southern Industri 7/6/2000,Q,Qwest Communication Int'l,USW,US West -7/3/2000,BRCM,Broadcom Corporation,GTE,GTE Corp. -6/29/2000,MERQ,Mercury Interactive,MZ,Milacron Inc. -6/29/2000,VC,Visteon Corp.,IKN,IKON Office Solutions +7/3/2000,BRCM,Broadcom Corporation,571300Q,GTE Corp. +6/29/2000,MERQ,Mercury Interactive,MZIAQ,Milacron Inc. +6/29/2000,VSTNQ,Visteon Corp.,IKN,IKON Office Solutions 6/21/2000,SANM,Sanmina Corp.,WLA,Warner-Lambert -6/21/2000,TIF,Tiffany & Co.,SGI,Silicon Graphics -6/19/2000,CF,Charter One Financial -6/19/2000,NVLS,Novellus Systems,CHA,Champion International -6/16/2000,,,UMG,MediaOne Group Inc. -6/16/2000,MEDI,MedImmune,CSR,Central & South West +6/21/2000,TIF,Tiffany & Co.,SGID,Silicon Graphics +6/19/2000,605018Q,Charter One Financial +6/19/2000,NVLS,Novellus Systems,140402Q,Champion International +6/16/2000,,,UMGI,MediaOne Group Inc. +6/16/2000,MEDI,MedImmune,45200Q,Central & South West 6/13/2000,CVG,Convergys Corp.,TMC,Times Mirror -6/8/2000,SBUX,Starbucks Corp.,SMS,Shared Medical Systems +6/8/2000,SBUX,Starbucks Corp.,2731112Q,Shared Medical Systems 6/5/2000,A,Agilent Technologies,NC,NACCO Industries -6/1/2000,APCC,American Power Conversion,MIR,Mirage Resorts -5/10/2000,MXIM,Maxim Integrated Products,JOS,Jostens Inc. +6/1/2000,2307532Q,American Power Conversion,3301Q,Mirage Resorts +5/10/2000,MXIM,Maxim Integrated Products,JOSEA,Jostens Inc. 5/5/2000,SAPE,Sapient Corp.,RLM,Reynolds Metals -5/5/2000,SEBL,Siebel Systems,CBS,CBS Corp. -4/18/2000,ALTR,Altera Corp.,ARC,Atlantic Richfield +5/5/2000,SEBL,Siebel Systems,667517Q,CBS Corp. +4/18/2000,ALTR,Altera Corp.,300583Q,Atlantic Richfield 4/3/2000,LLTC,Linear Technology,PBY,Pep Boys -4/3/2000,VRTS,Veritas Software,748957Q,Pharmacia & Upjohn -3/16/2000,TSG,Sabre Holdings Corporatio,SRV,Service Corp. International -1/31/2000,BGEN,Biogen,FWC,Foster Wheeler -1/31/2000,CNXT,Conexant Systems,CNG,Consolidated Natural Gas -1/31/2000,HOG,Harley-Davidson,FLE,Fleetwood Enterprises +4/3/2000,3153670Q,Veritas Software,285939Q,Pharmacia & Upjohn +3/16/2000,TSG,Sabre Holdings Corporatio,SCI,Service Corp. International +1/31/2000,BGEN,Biogen,FWLT,Foster Wheeler +1/31/2000,CNXT,Conexant Systems,CNRG,Consolidated Natural Gas +1/31/2000,HOG,Harley-Davidson,FLTWQ,Fleetwood Enterprises 1/6/2000,YNR,Young & Rubicam,827663Q,General Instrument 1/4/2000,NCR,NCR Corp. 10/15/1996,LGN,LOGICON INC,WHO,WATERHOUSE INVESTOR SERV
\ No newline at end of file diff --git a/sp500 tickers 10-04.csv b/sp500 tickers 10-17.csv index 1e2a0d9..7371056 100644 --- a/sp500 tickers 10-04.csv +++ b/sp500 tickers 10-17.csv @@ -94,8 +94,7 @@ Carnival Corp CCL Caterpillar Inc CAT Celgene Corp CELG Centerpoint Energy Inc CNP -CenturyLink Inc CTL -Cephalon Inc CEPH +CenturyLink Inc CTL Cerner Corp CERN Chesapeake Energy Corp CHK Chevron Corp CVX @@ -432,6 +431,7 @@ Supervalu Inc SVU Symantec Corp SYMC Sysco Corp SYY T Rowe Price Group Inc TROW +TE Connectivity TEL TECO Energy Inc TE TJX Cos Inc TJX Target Corp TGT diff --git a/getBloombergData.R b/utils.R index 2421759..626324e 100644 --- a/getBloombergData.R +++ b/utils.R @@ -1,6 +1,11 @@ -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) +#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$Date)) #split information @@ -30,8 +35,8 @@ getBloombergData <- function(conn,ticker,start.date){ order.by = as.Date(spl$"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()) + if(any( (time(spl) >= start.date) && (time(spl) <= end.date))){ + spl <- window(spl, start=start.date, end = end.date) }else{ spl <- NULL } @@ -40,12 +45,15 @@ getBloombergData <- function(conn,ticker,start.date){ #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")) + 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)){ @@ -88,3 +96,28 @@ getBloombergData <- function(conn,ticker,start.date){ } 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]) ) +} |