1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
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]) )
}
|
