Financial data exploratory analysis (part 2)

Charting with quantmod package

In this post series, I will show some of the quantmod package graphic capabilities by charting share financial data.

library(quantmod)

At the purpose, I herein download 2014 year first three months Yahoo share prices.

ticker <- "YHOO"
stock <- new.env()
startDate = as.Date("2014-01-01")
endDate = as.Date("2014-03-31")
getSymbols(ticker, source="yahoo", env = stock, from = startDate, to=endDate)

##     As of 0.4-0, 'getSymbols' uses env=parent.frame() and
##  auto.assign=TRUE by default.
## 
##  This  behavior  will be  phased out in 0.5-0  when the call  will
##  default to use auto.assign=FALSE. getOption("getSymbols.env") and 
##  getOptions("getSymbols.auto.assign") are now checked for alternate defaults
## 
##  This message is shown once per session and may be disabled by setting 
##  options("getSymbols.warning4.0"=FALSE). See ?getSymbols for more details.

## [1] "YHOO"

share <- stock[[ticker]]

Starting from a HLOCV object, using quantmod package is straightforward to graph a nice chart. However some options should be evaluated:

• type of required graph (auto, candlesticks, matchsticks, bars, line)
• theme to be used (white, white.mono, black, black.mono, beige, wsj)

Defaults are candlestick graph type and black theme.

chartSeries(share, type='auto', theme = chartTheme("black"))
chartSeries(share, type='candlesticks', theme = chartTheme("black"))

chartSeries(share, type='matchsticks', theme = chartTheme("black"))

chartSeries(share, type='bars', theme = chartTheme("black"))

chartSeries(share, type='line', theme = chartTheme("black"))

chartSeries(share, type='candlesticks', theme = chartTheme("white"))

chartSeries(share, type='candlesticks', theme = chartTheme("white.mono"))

chartSeries(share, type='candlesticks', theme = chartTheme("black.mono"))

chartSeries(share, type='candlesticks', theme = chartTheme("beige"))

chartSeries(share, type='candlesticks', theme = chartTheme("wsj"))

The chart look&feel is determined by the chart.theme object.

ctheme <- get(".chart.theme", as.environment("package:quantmod"))
class(ctheme)

## [1] "chart.theme"

ctheme

## List of 6
##  $ white     :List of 24
##   ..$ fg.col      : chr "#000000"
##   ..$ bg.col      : chr "#F0F0F0"
##   ..$ grid.col    : chr "#CCCCCC"
##   ..$ border      : chr "#444444"
##   ..$ minor.tick  : chr "#888888"
##   ..$ major.tick  : chr "#000000"
##   ..$ up.col      : chr "#00CC00"
##   ..$ dn.col      : chr "#FF7700"
##   ..$ dn.up.col   : chr "#888888"
##   ..$ up.up.col   : chr "#FFFFFF"
##   ..$ dn.dn.col   : chr "#FF0000"
##   ..$ up.dn.col   : chr "#000000"
##   ..$ up.border   : chr "#444444"
##   ..$ dn.border   : chr "#444444"
##   ..$ dn.up.border: chr "#444444"
##   ..$ up.up.border: chr "#444444"
##   ..$ dn.dn.border: chr "#444444"
##   ..$ up.dn.border: chr "#444444"
##   ..$ main.col    : chr "#555555"
##   ..$ sub.col     : chr "#555555"
##   ..$ area        : chr "#FFFFFF"
##   ..$ fill        : chr "#F7F7F7"
##   ..$ Expiry      : chr "#C9C9C9"
##   ..$ theme.name  : chr "white"
##  $ white.mono:List of 26
##   ..$ fg.col      : chr "#666666"
##   ..$ bg.col      : chr "#FFFFFF"
##   ..$ grid.col    : chr "#CCCCCC"
##   ..$ border      : chr "#666666"
##   ..$ minor.tick  : chr "#CCCCCC"
##   ..$ major.tick  : chr "#888888"
##   ..$ up.col      : chr "#000000"
##   ..$ dn.col      : chr "#000000"
##   ..$ dn.up.col   : chr "#888888"
##   ..$ up.up.col   : chr "#FFFFFF"
##   ..$ dn.dn.col   : chr "#4D4D4D"
##   ..$ up.dn.col   : chr "#000000"
##   ..$ up.border   : chr "#666666"
##   ..$ dn.border   : chr "#666666"
##   ..$ dn.up.border: chr "#666666"
##   ..$ up.up.border: chr "#666666"
##   ..$ dn.dn.border: chr "#666666"
##   ..$ up.dn.border: chr "#666666"
##   ..$ main.col    : chr "#555555"
##   ..$ sub.col     : chr "#555555"
##   ..$ fill        : chr "#F7F7F7"
##   ..$ Expiry      : chr "#C9C9C9"
##   ..$ BBands.col  : chr "#666666"
##   ..$ BBands.fill : chr "#F7F7F7"
##   ..$ BBands      :List of 2
##   .. ..$ col : chr "#666666"
##   .. ..$ fill: chr "#F7F7F7"
##   ..$ theme.name  : chr "white.mono"
##  $ black     :List of 27
##   ..$ fg.col      : chr "#666666"
##   ..$ bg.col      : chr "#222222"
##   ..$ grid.col    : chr "#303030"
##   ..$ border      : chr "#666666"
##   ..$ minor.tick  : chr "#303030"
##   ..$ major.tick  : chr "#AAAAAA"
##   ..$ up.col      : chr "#00FF00"
##   ..$ dn.col      : chr "#FF9900"
##   ..$ dn.up.col   : chr "#888888"
##   ..$ up.up.col   : chr "#FFFFFF"
##   ..$ dn.dn.col   : chr "#FF0000"
##   ..$ up.dn.col   : chr "#000000"
##   ..$ up.border   : chr "#666666"
##   ..$ dn.border   : chr "#666666"
##   ..$ dn.up.border: chr "#666666"
##   ..$ up.up.border: chr "#666666"
##   ..$ dn.dn.border: chr "#666666"
##   ..$ up.dn.border: chr "#666666"
##   ..$ main.col    : chr "#999999"
##   ..$ sub.col     : chr "#999999"
##   ..$ area        : chr "#252525"
##   ..$ fill        : chr "#282828"
##   ..$ Expiry      : chr "#383838"
##   ..$ BBands.col  : chr "red"
##   ..$ BBands.fill : chr "#282828"
##   ..$ BBands      :List of 2
##   .. ..$ col : chr "red"
##   .. ..$ fill: chr "#282828"
##   ..$ theme.name  : chr "black"
##  $ black.mono:List of 26
##   ..$ fg.col      : chr "#666666"
##   ..$ bg.col      : chr "#222222"
##   ..$ grid.col    : chr "#303030"
##   ..$ border      : chr "#666666"
##   ..$ minor.tick  : chr "#303030"
##   ..$ major.tick  : chr "#AAAAAA"
##   ..$ up.col      : chr "#FFFFFF"
##   ..$ dn.col      : chr "#FFFFFF"
##   ..$ dn.up.col   : chr "#888888"
##   ..$ up.up.col   : chr "#FFFFFF"
##   ..$ dn.dn.col   : chr "#4D4D4D"
##   ..$ up.dn.col   : chr "#000000"
##   ..$ up.border   : chr "#666666"
##   ..$ dn.border   : chr "#666666"
##   ..$ dn.up.border: chr "#666666"
##   ..$ up.up.border: chr "#666666"
##   ..$ dn.dn.border: chr "#666666"
##   ..$ up.dn.border: chr "#666666"
##   ..$ main.col    : chr "#999999"
##   ..$ sub.col     : chr "#999999"
##   ..$ fill        : chr "#777777"
##   ..$ Expiry      : chr "#383838"
##   ..$ BBands      :List of 2
##   .. ..$ col : chr "#DDDDDD"
##   .. ..$ fill: chr "#777777"
##   ..$ BBands.col  : chr "#DDDDDD"
##   ..$ BBands.fill : chr "#777777"
##   ..$ theme.name  : chr "black.mono"
##  $ beige     :List of 26
##   ..$ fg.col      : chr "#888888"
##   ..$ bg.col      : chr "#F5F5D0"
##   ..$ grid.col    : chr "#CCCCCC"
##   ..$ border      : chr "#666666"
##   ..$ minor.tick  : chr "#CCCCCC"
##   ..$ major.tick  : chr "#AAAAAA"
##   ..$ up.col      : chr "#00FF00"
##   ..$ dn.col      : chr "#AA0000"
##   ..$ dn.up.col   : chr "#888888"
##   ..$ up.up.col   : chr "#FFFFFF"
##   ..$ dn.dn.col   : chr "#FF0000"
##   ..$ up.dn.col   : chr "#000000"
##   ..$ up.border   : chr "#666666"
##   ..$ dn.border   : chr "#666666"
##   ..$ dn.up.border: chr "#666666"
##   ..$ up.up.border: chr "#666666"
##   ..$ dn.dn.border: chr "#666666"
##   ..$ up.dn.border: chr "#666666"
##   ..$ main.col    : chr "#555555"
##   ..$ sub.col     : chr "#555555"
##   ..$ fill        : chr "#F5F5F5"
##   ..$ Expiry      : chr "#C9C9C9"
##   ..$ BBands.col  : chr "orange"
##   ..$ BBands.fill : chr "#F5F5DF"
##   ..$ BBands      :List of 2
##   .. ..$ col : chr "orange"
##   .. ..$ fill: chr "#F5F5DF"
##   ..$ theme.name  : chr "beige"
##  $ wsj       :List of 24
##   ..$ fg.col      : chr "#000000"
##   ..$ bg.col      : chr "#F0F0F0"
##   ..$ grid.col    : chr "#ffffff"
##   ..$ border      : chr "#444444"
##   ..$ minor.tick  : chr "#888888"
##   ..$ major.tick  : chr "#000000"
##   ..$ up.col      : chr "#FFFFFF"
##   ..$ dn.col      : chr "#666666"
##   ..$ dn.up.col   : chr "#888888"
##   ..$ up.up.col   : chr "#FFFFFF"
##   ..$ dn.dn.col   : chr "#FF0000"
##   ..$ up.dn.col   : chr "#000000"
##   ..$ up.border   : chr "#444444"
##   ..$ dn.border   : chr "#666666"
##   ..$ dn.up.border: chr "#444444"
##   ..$ up.up.border: chr "#444444"
##   ..$ dn.dn.border: chr "#444444"
##   ..$ up.dn.border: chr "#444444"
##   ..$ main.col    : chr "#555555"
##   ..$ sub.col     : chr "#555555"
##   ..$ area        : chr "#d3d0af"
##   ..$ fill        : chr "#F7F7F7"
##   ..$ Expiry      : chr "#C9C9C9"
##   ..$ theme.name  : chr "wsj"
##  - attr(*, "class")= chr "chart.theme"

As you can see, the chart.theme object is a list of all availables chart themes and collects for each one of those the corresponding parameters set. It is interesting to see how to define a custom theme. Herein I define a new theme named mytheme, where, starting from the white theme, the area and up/down candlestick colors are updated.

mytheme <- ctheme[["white"]]
mytheme$area <- "#DCDCDC"
mytheme$up.col <- "#228B22"
mytheme$dn.col <- "#FF0000"

ctheme$mytheme <- mytheme
unlockBinding(".chart.theme", env = as.environment("package:quantmod"))
try(assign(".chart.theme", ctheme, envir = as.environment("package:quantmod")))
lockBinding(".chart.theme", env = as.environment("package:quantmod"))
ctheme <- get(".chart.theme", as.environment("package:quantmod"))
chartSeries(share, type='candlesticks', theme = chartTheme("mytheme"))

In next post, I will show how to enrich the basic chart with additional quantitative indicators.