News

tidyquant 0.5.3

• Fixes for compatibility with purrr v0.2.3.

tidyquant 0.5.2

• Incorporated more robust timetk coercion functions. Deprecated tidyquant::as_xts() and tidyquant::as_tibble(). Use timetk::tk_xts() and timetk::tk_tbl() instead.
• Fixes:
  • tq_index() no longer pulls from marketvolume. Instead, 9 indices are available from SPDR. These indices are more reliable, and include weights for each stock in the index.
  • Fixed 2 tests where the results of tq_get(get = "stock.prices") were 1 or 2 rows off of what the tests expected. This likely has to do with the new yahoo finance API.

tidyquant 0.5.1

• Improvements

  • Added pkgdown integration.

• Fixes:

  • Require new quantmod version 0.4-8 to fix Oanda and Yahoo bugs.
  • Quandl data returned newest to oldest. For consistency with other tq_get() data, it now returns oldest to newest.
  • Oanda only returns 180 days of FX and Metals data now. Updated the tests to account for this. Also added error handling to check for valid date ranges.
  • Fixed bug with tq_portfolio() where weights = NULL would not execute an equal weighting scheme.
  • Added error handling during dollar and percent conversion for get = "key.ratios" and get = "key.stats".

tidyquant 0.5.0

• New Data:

  • Quandl Integration:
    • tq_get(get = "quandl") is a wrapper for Quandl::Quandl() that pulls multiple Quandl Codes in a "tidy" fashion.
    • tq_get(get = "quandl.datatable") is a wrapper for Quandl::Quandl.datable() that pulls Quandl datatables.
    • quandl_api_key() is a wrapper for Quandl::Quandl.api_key().
    • quandl_search is a wrapper for Quandl::Quandl.search().
  • Yahoo Japan Integration: tq_get(get = "stock.prices.japan") is a wrapper for quantmod::getSymbols(src = "yahooj") that enables getting stocks from Yahoo Finance Japan.

• Improvements and Fixes:

  • tq_mutate() and tq_transmute() now accept non-OHLC data through the select argument. They also now work with rollapply.
  • tq_mutate() and tq_transmute() now accept PerformanceAnalytics functions that work to clean and transform asset returns.
  • Deprecated the ohlc_fun argument to instead use select in tq_mutate() and tq_transmute
  • .Deprecated -> .Defunct for tq_transform() and tq_transform_xy(). Use tq_transmute() and tq_transmute_xy(). Move the sign post functions to deprecated.R
  • Remove the previously deprecated argument, transform_fun from tq_transmute(). Use mutate_fun instead.
  • Fix issue with tq_mutate returning rows incorrectly sorted
  • Fix issue with tq_get returning data frames as nested
  • Fix tq_get error to return full error when issues are present.

tidyquant 0.4.0

• New Features:
  • tq_transmute() replaces tq_transform() for consistency with dplyr.
  • tq_performance() which integrates the performance analysis functions of PerformanceAnalytics.
  • tq_portfolio() which enables aggregating portfolios from individual stock returns.
  • tq_tranform(): Added the NA-handling functions from zoo to the list of compatible, which provide a number of useful methods for handling NA values in data sets. Added Return.calculate and Return.excess for calculating returns and returns in excess of the risk-free rate, respectively.
• Documentation:
  • tq_mutate() and tq_transmute() help pages have been combined.
  • Split introduction into four separate vignettes, which improves flow and enables readers to more easily get to needed documentation. Now five docs total covering the primary needs of tidyquant users!
• New data:
  • tq_exchange() gets the stock list for NASDAQ, NYSE, and AMEX exchanges. Use tq_exchange_options() to exchange options.
  • FANG data set that can be loaded with data(FANG).
• New visualizations that integrate with ggplot2:
  • palette_() functions used to create scales are exported.
  • theme_tq() creates light, dark, and green themes for tidyquant visualizations.
  • scale_color_tq() and scale_fill_tq() add color/fill scales for the data used in tidyquant visualizations.
• Improvements and Fixes:
  • The transform_fun argument of tq_transmute() has been replaced with mutate_fun for consistency with tq_mutate().
  • Core functions are now generics to allow for extendability.
  • Issue #11: Part 2. Fix multiple stocks that only return 110 lines. Handle stocks that return csv with "We're sorry" message.
  • Issue #11: Part 1. Fix instability with get = key.ratios failing with HTTP 500 error on download. Use httr RETRY in case of failure.
  • Fixed issue with get = "key.ratios" where stocks listed on AMEX exchange were not able to return key ratios.
  • Issue #9: Fix problem with get = "key.stats" where NA's in multiple x (e.g. c("AAPL", "GOOG")) cause call to fail during coercion.
  • Issue #8, Part 2: Enable compound gets (e.g. tq_get("AAPL", get = c("stock.prices", "financials"))).
  • Issue #8, Part 1: Create tq_index() function to return a stock index. tq_get(get = "stock.index") is deprecated and will be removed during the next version after 0.4.0. Use tq_index_options() for index options.
  • Issue #7: Fixed issue with date column inadvertently being coerced to dttm.

tidyquant 0.3.0

• New data:
  • New tq_get option get = "key.stats", which retrieves the current key statistics (55 total) from www.finance.yahoo.com/. These include various current data such as Ask, Bid, Day's High, Day's Low, Last Trade Price, current P/E Ratio, EPS, Current Market Cap, EPS Projected Current Year, EPS Projected Next Year and many more. Example: tq_get("AAPL", get = "key.stats").
• New visualizations that integrate with ggplot2:
  • Chart geoms: Bar charts (geom_barchart) and candlestick charts (geom_candlestick) can be quickly created with the new geoms.
  • Moving Averages: Seven moving averages can be quickly visualized / prototyped using geom_ma. The geom wraps the TTR::SMA functions.
  • Bollinger bands can be visualized with geom_bbands. The same seven moving averages are compatible with the geom.
  • Zooming Into Chart Sections: Two functions (coord_x_date and coord_x_datetime) were added to enable zooming into chart sections using dates with no out-of-bounds data loss (e.g. out-of-bounds data loss with the scale_x_ functions).
• New Vignette: Covers "Charting with tidyquant".
• Fixes:
  • Issue #5: tq_get can now accept character vectors and data frames for the x arg, in addition to a single character input. This streamlines the getting of data for multiple inputs (e.g. stock symbols, stock indexes, etc).
  • Issue #4: Added col_rename arg to tq_mutate and tq_transform, which enables fast and easy renaming during the operation.
  • Issue #3: Integrated dplyr::group_by() with tq_mutate() and tq_transform(). The transform and mutate functions now work properly with grouped data frames.
  • Issue #2: Fixed bug with tq_get(), get = "key.ratios", where key ratios for stocks from the NYSE returned NA.
• Removed support for deprecated arguments: x_fun, .x, and .y in the respective transform and mutate functions.

tidyquant 0.2.0

• New get = "key.ratios" option for tq_get(), which retrieves 10-years of key performance ratios (89 total) from www.morningstar.com. These include various historical measures of financial performance including profitability, growth, cash flow, financial health, efficiency, and valuation ratios. Example: tq_get("AAPL", get = "key.ratios").
• Added zoo rollapply() functions to list of compatible / integrated functions used with tq_transform() and tq_mutate(). See tq_transform_fun_options() for the full list.
• Changed tq_mutate(), tq_transform(), tq_mutate_xy() and tq_transform_xy() arguments to be more obvious:
  • x_fun is now ohlc_fun for tq_mutate() and tq_transform()
  • .x is now x and .y is now y for tq_mutate_xy() and tq_transform_xy()
• Fixed duplication of column names during tq_mutate. Names are now sequentually indexed with duplicate names starting at .1 suffix.

tidyquant 0.1.0

• Initial release of tidyquant, for seamless quantitative financial analysis (xts, quantmod, TTR) package integration with the tidyverse.

Reference manual