Merge getSymbols result into one xts object

问题

I have the following code:

library(quantmod)
tckrs <- c("TLT", "LQD", "HYG", "SPY", "DBC")
NumTckrs  <-  length(tckrs)
getSymbols(tckrs, from="1900-01-01", to=Sys.Date())

# merge to allign the start dates
MainDF <- merge(Ad(TLT), Ad(LQD), Ad(HYG), Ad(SPY), Ad(DBC), all=FALSE)

I would like to not have to repeat the stock symbols in the last line. Does anyone know how this could be done?

回答1:

Load all the data into an environment, then call Ad on each, and merge them. Also note that getSymbols returns an xts object by default, therefore your MainDF is an xts object, not a data.frame.

library(quantmod)
# create new environment
myEnv <- new.env()
# pull all data and load into myEnv
getSymbols("TLT;LQD;HYG;SPY;DBC", env=myEnv)
# eapply calls Ad on each symbol in myEnv and returns a list
# do.call calls merge with each element returned from eapply as an argument
MainXTS <- do.call(merge, c(eapply(myEnv, Ad),all=FALSE))

回答2:

This is one line of code with my qmao package

library(qmao)
p <- makePriceFrame(tckrs, prefer='Adjusted', silent=TRUE)

For convenience, PF is an alias for makePriceFrame. Also, since by default, the function will find and use the "Adjusted" column if it exists, you can leave out the prefer argument.

p <- PF(tckrs)

You can also combine a bunch of these types of functions

library(FinancialInstrument)
p <- PF(getSymbols(stock(tckrs, currency("USD"))))

Also, note that if you hadn't assigned your Symbol names to tckrs, you'd be able to get them from the PriceFrame.

names(p)
[1] "TLT" "LQD" "HYG" "SPY" "DBC"

If you do not specify a prefer argument, it looks for a column that contains "Adjusted", then "Close", then "Mid", then Price". To see which column was used to make the PriceFrame, look at the "prefer" attribute

attr(p, "prefer")
[1] "Adjusted"

If you keep data in separate environments, PF can handle that as well.

getSymbols(tckrs, env=myEnv)
p <- PF(ls(myEnv), env=myEnv)

回答3:

Joshua's is probably more elegant than mine:

res <- do.call( merge,  lapply(  lapply(tckrs, get) , Ad) )

来源：https://stackoverflow.com/questions/11179154/merge-getsymbols-result-into-one-xts-object

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quantmod