我有一个收盘价的日内数据集，我想调整股票拆分的股票价格。我发现adjustOHLC()包中的quantmod可以有效地使用 。
以下是我的数据集中众多 UNADJUSTED 代码之一：AGII
datset <- structure(c(52.15, 52.17, 52.135, 52.155, 52.1, 52.1, 52.23,
52.145, 52.185, 52.15, 52.215, 52.185, 52.15, 52.32, 52.415,
52.4, 52.41, 52.42, 52.51, 52.39, 52.42, 52.02, 52, 52.12, 52.12,
52.15, 52.06, 52.13, 52.13, 52.02, 52.02, 52.12, 52.06, 52.06,
52, 52.025, 51.97, 51.96, 52.02, 52, 52.005, 52, 52.09, 52.17,
52.15, 52.47, 52.51, 52.76, 52.58, 52.73, 52.65, 52.75, 52.7295,
52.56, 52.5, 52.5, 52.46, 52.43, 52.3, 52.467, 52.48, 52.48,
52.53, 52.657, 52.633, 52.55, 52.565, 52.56, 52.57, 52.735, 52.71,
52.72, 52.55, 52.55, 52.34, 52.54, 52.46, 52.54, 52.45, 52.74,
52.67, 52.8, 52.61, 52.63, 52.74, 52.78, 52.78, 52.59, 52.79,
52.81, 52.81, 52.725, 52.69, 52.6, 52.675, 52.58, 52.67, 52.67,
47.63, 47.57, 47.59, 47.57, 47.73, 47.64, 47.64, 47.64, 47.75,
47.74, 47.78, 47.78, 47.83, 47.86, 47.99, 47.94, 47.94, 48, 47.97,
47.97, 48.01, 47.88, 47.86, 47.96, 47.93, 47.98, 47.98, 48.06,
48.01, 47.96, 47.93, 47.93, 48.02, 48.01, 48.04, 48.06, 48.12,
48.1599, 48.1599, 48.18, 48.15, 48.19, 48.16, 48.11, 48.115,
48.1, 48.08, 48.07, 48.04, 48.02, 47.995, 47.91), .indexTZ = "", class = c("xts",
"zoo"), .indexCLASS = c("POSIXct", "POSIXt"), tclass = c("POSIXct",
"POSIXt"), tzone = "", index = structure(c(1424481300, 1424482200,
1424483100, 1424484000, 1424484900, 1424485800, 1424486700, 1424487600,
1424488500, 1424489400, 1424490300, 1424491200, 1424492100, 1424493000,
1424493900, 1424494800, 1424495700, 1424496600, 1424497500, 1424498400,
1424735100, 1424736000, 1424736900, 1424737800, 1424738700, 1424739600,
1424740500, 1424741400, 1424742300, 1424743200, 1424744100, 1424745000,
1424745900, 1424746800, 1424747700, 1424748600, 1424749500, 1424750400,
1424751300, 1424752200, 1424753100, 1424754000, 1424754900, 1424755800,
1424756700, 1424757600, 1424821500, 1424822400, 1424823300, 1424824200,
1424825100, 1424826000, 1424826900, 1424827800, 1424828700, 1424829600,
1424830500, 1424831400, 1424832300, 1424833200, 1424834100, 1424835000,
1424835900, 1424836800, 1424837700, 1424838600, 1424839500, 1424840400,
1424841300, 1424842200, 1424843100, 1424844000, 1424907900, 1424908800,
1424909700, 1424910600, 1424911500, 1424912400, 1424913300, 1424914200,
1424915100, 1424916000, 1424916900, 1424917800, 1424918700, 1424919600,
1424920500, 1424921400, 1424922300, 1424923200, 1424924100, 1424925000,
1424925900, 1424926800, 1424927700, 1424928600, 1424929500, 1424930400,
1424994300, 1424995200, 1424996100, 1424997000, 1424997900, 1424998800,
1424999700, 1425000600, 1425001500, 1425002400, 1425003300, 1425004200,
1425005100, 1425006000, 1425006900, 1425007800, 1425008700, 1425009600,
1425010500, 1425011400, 1425012300, 1425013200, 1425014100, 1425015000,
1425015900, 1425016800, 1425080700, 1425081600, 1425082500, 1425083400,
1425084300, 1425085200, 1425086100, 1425087000, 1425087900, 1425088800,
1425089700, 1425090600, 1425091500, 1425092400, 1425093300, 1425094200,
1425095100, 1425096000, 1425096900, 1425097800, 1425098700, 1425099600,
1425100500, 1425101400, 1425102300, 1425103200), tzone = "", tclass = c("POSIXct",
"POSIXt")), .Dim = c(150L, 1L), .Dimnames = list(NULL, "AGII"))
如果您绘制它，您将看到我需要调整的价格大幅下降：
library(quantmod)
chartSeries(datset$AGII)
因为这是更大的数据集的一部分＆amp;我需要调整许多代码，我已经编写了以下循环：
library(quantmod)
dataset <- xts()
NOMS <- names(datset)
for(i in 1:length(NOMS)) {
NOMS[i]-> symbol
# Symbol might not be found so I try "skip" the ticker with "try()"
tryit <- try(adjustOHLC(to.period(datset[,symbol],"minutes",15), adjust=c("split"), symbol.name=symbol))
if(inherits(tryit, "try-error")){
ADJ = datset[,symbol]
colnames(ADJ)<- symbol
dataset <- merge.xts(dataset,ADJ)
} else {
# If ticker is found, then adjust it
ADJ = adjustOHLC(to.period(datset[,symbol],"minutes",15), adjust=c("split"), symbol.name=symbol)
ADJ <- Cl(ADJ)
colnames(ADJ)<- symbol
dataset <- merge.xts(dataset,ADJ)
}
}
现在如果你绘制它：chartSeries(dataset) ...它被夸大了2月24日。实际的股票分割发生在2月26日（如果这有帮助）
# To see split factor & when it occured
getSplits("AGII",from="2015-02-20")
如何在没有被夸大的情况下获得适当的分割？
答案 0 :(得分：1)
首先，这些功能旨在处理日常数据，而不是日内数据。
其次，问题是Date个对象被认为是在UTC的午夜，而您的datset对象没有时区。因此，调整算法认为分裂发生在UTC正好在您系统的时区中。
解决方法是在将分割数据的时区调整为与您当地时区相同的情况下自行完成此操作。
s <- getSplits(symbol)
indexTZ(s) <- indexTZ(x) # ensure the objects have the same timezone
index(s) <- index(s) # force an index recalculation
indexClass(s) <- "POSIXct" # convert index to POSIXct
r <- adjRatios(s, NA, datset) # calculate adjustment ratios
y <- adjustOHLC(x, ratio=r$Split, symbol.name=symbol)
chartSeries(Cl(y))
请注意，您仍然会看到调整后数据出现峰值，因为拆分可能在2015-02-26午夜不适用。您可以通过滞后调整比率来解决这个问题。
r2 <- na.locf(lag(r), fromLast=TRUE)
y2 <- adjustOHLC(x, ratio=r2$Split, symbol.name=symbol)
chartSeries(Cl(y2))