quantmod :: chart_Series（）bug？

时间：2012-06-21 23:47:10

标签： r finance xts quantmod

我想使用quantmod :: chart_Series（）绘制SPX图表，并在下面绘制GDP的变化以及GDP变化的12个月SMA。无论我如何尝试（我使用什么组合）发生错误或者quantmod :: chart_Series（）只显示部分情节。

require(quantmod)

FRED.symbols <- c("GDPC96")

getSymbols(FRED.symbols, src="FRED")
SPX <- getSymbols("^GSPC", auto.assign=FALSE, from="1900-01-01")

subset="2000/"

chart_Series(SPX, subset=subset)
add_TA(GDPC96)
add_TA(ROC(GDPC96, type="discrete"))
add_TA(SMA(ROC(GDPC96, type="discrete"), n=4), on=3, col="blue")

编辑：实际上，在我看来，在使用季度数据时这是一个quantmod :: chart_series（）问题：

subset <- "2000/"
chart_Series(to.quarterly(SPX, drop.time=TRUE), subset=subset)
add_TA(SMA(Cl(to.quarterly(SPX, drop.time=TRUE))))

> subset <- "2000/"
> chart_Series(to.quarterly(SPX, drop.time=TRUE), subset=subset)
> add_TA(SMA(Cl(to.quarterly(SPX, drop.time=TRUE))))
Error in xy.coords(x, y) : 'x' and 'y' lengths differ
In addition: Warning messages:
1: In as_numeric(H) : NAs introduced by coercion
2: In as_numeric(H) : NAs introduced by coercion
3: In as_numeric(H) : NAs introduced by coercion

这确实会在主面板上生成SPX图，但会留下空的第二和第三个面板。 然后我尝试在数据，相同长度等方面使用相同的索引。

chart_Series(head(to.quarterly(SPX, drop.time="TRUE"), -1), subset=subset)
add_TA(to.quarterly(GDPC96, drop.time="TRUE", OHLC=FALSE))
add_TA(ROC(to.quarterly(GDPC96, drop.time="TRUE", OHLC=FALSE), type="discrete"))
add_TA(SMA(ROC(to.quarterly(GDPC96, drop.time="TRUE", OHLC=FALSE), type="discrete"),    n=4), on=3, col="blue")

结果是错误：

> chart_Series(head(to.quarterly(SPX, drop.time="TRUE"), -1), subset=subset)
> add_TA(to.quarterly(GDPC96, drop.time="TRUE", OHLC=FALSE))
Error in xy.coords(x, y) : 'x' and 'y' lengths differ
In addition: Warning messages:
1: In as_numeric(H) : NAs introduced by coercion
2: In as_numeric(H) : NAs introduced by coercion
3: In as_numeric(H) : NAs introduced by coercion
> add_TA(ROC(to.quarterly(GDPC96, drop.time="TRUE", OHLC=FALSE), type="discrete"))
Error in xy.coords(x, y) : 'x' and 'y' lengths differ
In addition: Warning messages:
1: In as_numeric(H) : NAs introduced by coercion
2: In as_numeric(H) : NAs introduced by coercion
3: In as_numeric(H) : NAs introduced by coercion
> add_TA(SMA(ROC(to.quarterly(GDPC96, drop.time="TRUE", OHLC=FALSE), type="discrete"), n=4), on=3, col="blue")
Error in xy.coords(x, y) : 'x' and 'y' lengths differ
In addition: Warning messages:
1: In as_numeric(H) : NAs introduced by coercion
2: In as_numeric(H) : NAs introduced by coercion
3: In as_numeric(H) : NAs introduced by coercion

使用

tail(to.quarterly(SPX, drop.time="TRUE"))
tail(to.quarterly(GDPC96, drop.time="TRUE", OHLC=FALSE))
tail(ROC(to.quarterly(GDPC96, drop.time="TRUE", OHLC=FALSE), type="discrete"))
tail(SMA(ROC(to.quarterly(GDPC96, drop.time="TRUE", OHLC=FALSE), type="discrete"), n=4))

dput(to.quarterly(SPX, drop.time="TRUE"))
dput(to.quarterly(GDPC96, drop.time="TRUE", OHLC=FALSE))
dput(ROC(to.quarterly(GDPC96, drop.time="TRUE", OHLC=FALSE), type="discrete"))
dput(SMA(ROC(to.quarterly(GDPC96, drop.time="TRUE", OHLC=FALSE), type="discrete"), n=4))

对我来说都很好看。

我的sessionInfo（）：

> sessionInfo()
R version 2.15.0 (2012-03-30)
Platform: x86_64-pc-linux-gnu (64-bit)

locale:
 [1] LC_CTYPE=en_US.UTF-8          LC_NUMERIC=C                 
 [3] LC_TIME=en_US.UTF-8           LC_COLLATE=en_US.UTF-8       
 [5] LC_MONETARY=en_US.UTF-8       LC_MESSAGES=en_US.UTF-8      
 [7] LC_PAPER=en_US.UTF-8          LC_NAME=en_US.UTF-8          
 [9] LC_ADDRESS=en_US.UTF-8        LC_TELEPHONE=en_US.UTF-8     
[11] LC_MEASUREMENT=en_US.UTF-8    LC_IDENTIFICATION=en_US.UTF-8

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

other attached packages:
[1] quantmod_0.3-18 TTR_0.21-0      xts_0.8-7       zoo_1.7-7      
[5] Defaults_1.1-1  rj_1.1.0-4     

loaded via a namespace (and not attached):
[1] grid_2.15.0    lattice_0.20-0 tools_2.15.0

任何想法可能是这些问题的解决方案？

编辑：这似乎是一个quantmod :: chart_Series（）错误。如果我这样做：

subset <- "1990/"
test <- cbind(head(to.quarterly(SPX, drop.time="TRUE"), -1)[subset],
            to.quarterly(GDPC96, drop.time="TRUE", OHLC=FALSE)[subset],
            ROC(to.quarterly(GDPC96, drop.time="TRUE", OHLC=FALSE),     type="discrete")[subset],
            SMA(ROC(to.quarterly(GDPC96, drop.time="TRUE", OHLC=FALSE), type="discrete"), n=4)[subset])

test$test <- 1

subset <- "2000/"
chart_Series(OHLC(test), subset=subset)
add_TA(test$test)
add_TA(test$GDPC96)

> test$test <- 1
> subset <- "2000/"
> chart_Series(OHLC(test), subset=subset)
> add_TA(test$test)
Error in xy.coords(x, y) : 'x' and 'y' lengths differ
In addition: Warning messages:
1: In as_numeric(H) : NAs introduced by coercion
2: In as_numeric(H) : NAs introduced by coercion
3: In as_numeric(H) : NAs introduced by coercion
> add_TA(test$GDPC96)   
Error in xy.coords(x, y) : 'x' and 'y' lengths differ
In addition: Warning messages:
1: In as_numeric(H) : NAs introduced by coercion
2: In as_numeric(H) : NAs introduced by coercion
3: In as_numeric(H) : NAs introduced by coercion
> traceback()
14: stop("'x' and 'y' lengths differ") at chart_Series.R#510
13: xy.coords(x, y) at chart_Series.R#510
12: plot.xy(xy.coords(x, y), type = type, ...) at chart_Series.R#510
11: lines.default(ta.x, as.numeric(ta.y[, i]), col = col, ...) at chart_Series.R#510
10: lines(ta.x, as.numeric(ta.y[, i]), col = col, ...) at chart_Series.R#510
9: plot_ta(x = current.chob(), ta = get("x"), on = NA, taType = NULL, 
       col = 1) at replot.R#238
8: eval(expr, envir, enclos) at replot.R#238
7: eval(aob, env) at replot.R#238
6: FUN(X[[12L]], ...) at replot.R#230
5: lapply(x$Env$actions, function(aob) {
       if (attr(aob, "frame") > 0) {
           x$set_frame(attr(aob, "frame"), attr(aob, "clip"))
           env <- attr(aob, "env")
           if (is.list(env)) {
               env <- unlist(lapply(env, function(x) eapply(x, eval)), 
                   recursive = FALSE)
           }
           eval(aob, env)
       }
   }) at replot.R#230
4: plot.replot(x, ...)
3: plot(x, ...)
2: print.replot(<environment>)
1: print(<environment>)

关于如何解决此问题的任何想法？

2 个答案:

答案 0 :(得分：5)

几天前我有类似的错误。我发现问题出在add_TA的行中：

ta.x <- as.numeric(na.approx(ta.adj[, 1]))

na.approx默认情况下使用约为rule = 1，如果原始数据中的最后一个时间戳位于TA数据中的最后一个时间戳之前，则会在列表中留下尾随的NA。将该行更改为设置rule = 2可以解决问题。

ta.x <- as.numeric(na.approx(ta.adj[, 1], rule=2))

答案 1 :(得分：3)

我写了一个很长的“答案”，确认你的问题，即使在一些数据按摩后，甚至使用较旧的chartSeries功能。然后我意识到add_TA()可能是错误的功能。这种方法有效：

par(mfrow=c(2,1))
chart_Series(SPX)
chart_Series(GDPC96)

（有关使用layout命令的替代方法，请参阅R/quantmod: multiple charts all using the same y-axis。）

或者使用子集：

par(mfrow=c(2,1))
chart_Series(SPX,subset="2000/")
chart_Series(GDPC96,subset="2000/")

（注意：两个数据集在不同的地方结束，所以不要排成一行。）

顺便提一下，chart_Series中有一个明确的错误，包含季度数据：x轴标签看起来像“％n％b％n2010”。

q.SPX=to.quarterly(SPX)
chart_Series(q.SPX)
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