CODEWITHSUNDEEP
rquantmod
zsljulius
zsljulius

Reputation: 4103

na.omit returns a empty object

I am trying to retrieve past 1 year closing price for the 500 hundred stocks in SP500. The SP500 file is from here http://blog.quanttrader.org/2011/03/downloading-sp-500-data-to-r/sp500/

I initialized a zoo object between two dates with increment of 1 day. When merging this with the stock closing price, final "z" gives a object with na in some of the dates (weekends, holidays). Therefore, I tried to remove the na's using na.omit, which simply returns me an empty object. na.omit works when the number of stocks is smaller like 100, though. Why is this happening?

library(quantmod);
library(PerformanceAnalytics);
#Get SP500 stocks
symbols <- read.csv("~/Dropbox/R works/sp500.csv",header=F,stringsAsFactors=F)
nrStocks <- length(symbols[,1])
#Past 1 yr returns
to <- Sys.Date()-1
from <-seq(to, length=2, by="-1 year")[2]
dates<- seq(from=from,to=to,by="1 day")
z <- zoo(,dates)

for (i in 1:nrStocks) {
  cat("Downloading ", i, " out of ", nrStocks , "\n")
  x <- try(Cl(getSymbols(symbols[i,],from = from, to = to, auto.assign=FALSE)))
  if (!inherits(x, "try-error") ){
    z<-merge(x,z)
  }
}
z<-na.omit(z)

Upvotes: 0

Views: 623

Answers (1)

Joshua Ulrich
Joshua Ulrich

Reputation: 176648

Works for me. Also note that getSymbols returns an xts object by default (not a zoo object); and since you call merge with x as the first argument, merge.xts is dispatched, which means z will be an xts object.

> library(quantmod)
> symbols <- c("IBM","MSFT","AAPL","GE")
> nrStocks <- length(symbols)
> to <- Sys.Date()-1
> from <- seq(to, length=2, by="-1 year")[2]
> dates<- seq(from=from,to=to,by="1 day")
> z <- zoo(,dates)
> 
> for (i in 1:nrStocks) {
+   cat("Downloading ", i, " out of ", nrStocks , "\n")
+   x <- try(Cl(getSymbols(symbols[i],from = from, to = to, auto.assign=FALSE)))
+   if (!inherits(x, "try-error") ){
+     z<-merge(x,z)
+   }
+ }
Downloading  1  out of  4 
Downloading  2  out of  4 
Downloading  3  out of  4 
Downloading  4  out of  4 
> z<-na.omit(z)
> head(z)
           GE.Close AAPL.Close MSFT.Close IBM.Close
2012-05-07    19.32     569.48      30.65    203.75
2012-05-08    19.25     568.18      30.50    201.48
2012-05-09    18.91     569.18      30.76    201.23
2012-05-10    19.09     570.52      30.74    200.60
2012-05-11    19.01     566.71      31.16    201.17
2012-05-14    18.60     558.22      30.68    199.44
> sessionInfo()
R version 2.15.2 (2012-10-26)
Platform: i386-w64-mingw32/i386 (32-bit)

locale:
[1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United States.1252   
[3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C                          
[5] LC_TIME=English_United States.1252    

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
[1] quantmod_0.4-0 Defaults_1.1-1 TTR_0.22-0     xts_0.9-3      zoo_1.7-10    

loaded via a namespace (and not attached):
[1] grid_2.15.2     lattice_0.20-10 tools_2.15.2

Upvotes: 1

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