So I have large list of xts objects which is OHLC data for 900 plus names. It orginally came in a dataframe coupled with other stuff I didn't need. I now want to use it in quantmod using getsymbols and load it into my environment however it is taking far too long. Anyone know a more efficient way of doing this or what I might be doing wrong? Can getSymbols handle a list of xts?
load(file = "biglistofdataframes.Rdata")
### Convert the list of dataframes to xts
list_of_xts <- lapply(listofdataframes,function(x) xts(x[,2:6],x$date))
####change column names to match quantmod
list_of_xts <- lapply(list_of_xts, setNames,nm = c("Open","High","Low","Close","Volume"))
####Save to Rdatafile
save(list_of_xts, file="1.RData")
#First I clear the environment then I load the data back into the environment
load("1.RData")
##
getSymbols("list_of_xts", src="RData", auto.assign=TRUE)#this craps out on me
The reason I am trying to get it into this format is so that I can replicate Ross Bennett's momentum code. See below
https://rbresearch.wordpress.com/2012/10/20/momentum-in-r-part-2/
I wouldn't expect this code to work:
getSymbols("list_of_xts", src = "RData", auto.assign = TRUE)
?getSymbols.RData says that Symbols (the first argument) should be "a character vector specifying the names of each symbol to be loaded". You don't have a symbol and file named "list_of_xts.RData".
Also, getSymbols.RData() expects each symbol to be in its own file, so you would have to write each xts object in your list to a separate file.
# Get some data
env_of_xts <- new.env()
getSymbols(symbols, env=env_of_xts)
# Write it to a temporary directory
tdir <- tempdir()
for (nm in names(env_of_xts)) {
save(list = nm, file = file.path(tdir, paste0(nm, ".RData")), envir = env_of_xts)
}
# Now you can use getSymbols() to load from file
getSymbols(symbols[1], src = "RData", dir = tdir, extension = "RData")
# [1] "AAPL"
head(AAPL)
# AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
# 2007-01-03 12.32714 12.36857 11.70000 11.97143 309579900 8.137179
# 2007-01-04 12.00714 12.27857 11.97429 12.23714 211815100 8.317789
# 2007-01-05 12.25286 12.31428 12.05714 12.15000 208685400 8.258555
# 2007-01-08 12.28000 12.36143 12.18286 12.21000 199276700 8.299341
# 2007-01-09 12.35000 13.28286 12.16429 13.22429 837324600 8.988768
# 2007-01-10 13.53571 13.97143 13.35000 13.85714 738220000 9.418928