Processing multiple quant mod stock tickers in parallel in R

Question

I might not explain my questions clear in the title, apologize. Here is the question with the code, it will be clearer,

library(zoo);library(quantmod)
stockData <- new.env()#Make a new environment for quantmod to store data in
startDate = as.Date("2006-12-29") #Specify period of time we are interested in
endDate = as.Date("2012-12-31")
monthlyStartDate = as.Date("2007-01-01")

# tickers <- c("AAPL","GOOG", "IBM")
tickers <- c("AAPL","GOOG", "IBM", "MSFT", "INTC", "YHOO", "F", "GS", "UL") 
# The tickers vector could be even larger, i.e.  50 stocks

stockData$AAPL.ret=diff(log(stockData$AAPL$AAPL.Adjusted)) # Compute log returns
stockData$GOOG.ret=diff(log(stockData$GOOG$GOOG.Adjusted)) # Compute log returns
stockData$IBM.ret=diff(log(stockData$IBM$IBM.Adjusted)) # Compute log returns
head(stockData$GOOG.ret)
head(stockData$GOOG$GOOG.Adjusted)

AAPLmonthly<-aggregate.zoo(stockData$AAPL.ret[2:nrow(stockData$AAPL$AAPL.Adjusted),],as.yearmon,sum)
GOOGmonthly<-aggregate.zoo(stockData$GOOG.ret[2:nrow(stockData$GOOG$GOOG.Adjusted),],as.yearmon,sum)
IBMmonthly<-aggregate.zoo(stockData$IBM.ret[2:nrow(stockData$IBM$IBM.Adjusted),],as.yearmon,sum)


head(AAPLmonthly)
stockret = cbind(AAPLmonthly, GOOGmonthly, IBMmonthly)
head(stockret)

The above code only used 3 tickers as an example, I want to know how to do a loop in R to make my whole vector of tickers into the stockret zoo object, could anybody help me? Much appreciated.

I am learning environment, just learnt the function is an closure, including the body, arguments and its environment, but I didn't know we could new an environment. So I got stuck here, stockData$AAPL.ret how do I put the stockData$ in front of my each element while doing a loop to assign values? Should I use "[" to do this? Besides, if I use the assign function to do this, in the code

stockData$AAPL.ret=diff(log(stockData$AAPL$AAPL.Adjusted)) # Compute log returns

how to do this, I'm just confused about how to make this stockData$AAPL$AAPL.Adjusted a more general argument in my assign function, any example would be much appreciated!

Answer 1

You can use get to get data from an environment and assign to assign data to a symbol in an environment.

library(quantmod)
stockData <- new.env()
tickers <- c("AAPL","GOOG", "IBM", "MSFT", "INTC", "YHOO", "F", "GS", "UL") 
getSymbols(tickers, src="yahoo", env=stockData)

for (tick in tickers) {
  x <- get(tick, pos=stockData)  # get data from stockData environment
  x$ret <- diff(log(Ad(x)))      # add a column with returns
  assign(tick, x, pos=stockData) # assign back into stockData environment
  assign(paste0(tick, "monthly"), 
         apply.monthly(x, sum, na.rm=TRUE), 
         pos=stockData) # calc monthly sum and assign in stockData environment
}

Or, your could use eapply to apply a function to every object in the environment The result will be a list that you can coerce back into an environment

stockData <- as.environment(eapply(stockData, function(x) {
  x$ret <- diff(log(Ad(x)))
  x
}))

Or you could create a list of only the returns, then loop over that to calculate the monthly sums

R <- eapply(stockData, function(x) diff(log(Ad(x))))
monthly <- lapply(R, apply.monthly, sum, na.rm=TRUE)

You can merge the results into a single object like this

do.call(merge, R)
do.call(merge, monthly)