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Core Functions in tidyquant

Matt Dancho

2024-09-02

TQ01-core-functions-in-tidyquant.R

A few core functions with a lot of power

Overview

The tidyquant package has a few core functions with a lot of power. Few functions means less of a learning curve for the user, which is why there are only a handful of functions the user needs to learn to perform the vast majority of financial analysis tasks. The main functions are:

Prerequisites

Load the tidyquant package to get started.

# Loads tidyquant, lubridate, xts, quantmod, TTR 
library(tidyverse)
library(tidyquant)

1.0 Retrieve Consolidated Symbol Data

1.1 Stock Indexes

A wide range of stock index / exchange lists can be retrieved using tq_index(). To get a full list of the options, use tq_index_options().

tq_index_options()
## [1] "DOW"       "DOWGLOBAL" "SP400"     "SP500"     "SP600"

TQ01-core-functions-in-tidyquant.R

Set x as one of the options in the list of options above to get the desired stock index / exchange.

tq_index("SP500")

TQ01-core-functions-in-tidyquant.R

The data source is State Street Global Advisors.

1.2 Stock Exchanges

Stock lists for three stock exchanges are available: NASDAQ, NYSE, and AMEX. If you forget, just use tq_exchange_options(). We can easily get the full list of stocks on the NASDAQ exchange.

tq_exchange("NASDAQ")

TQ01-core-functions-in-tidyquant.R

1.0 Get Quantitative Data

The tq_get() function is used to collect data by changing the get argument. The data sources:

  1. Yahoo Finance - Daily stock data
  2. FRED - Economic data
  3. Quandl - Economic, Energy, & Financial Data API
  4. Tiingo - Financial API with sub-daily stock data and crypto-currency
  5. Alpha Vantage - Financial API with sub-daily, ForEx, and crypto-currency data
  6. Bloomberg - Financial API. Paid account is required.

Use tq_get_options() to see the full list.

tq_get_options()
##  [1] "stock.prices"       "stock.prices.japan" "dividends"         
##  [4] "splits"             "economic.data"      "quandl"            
##  [7] "quandl.datatable"   "tiingo"             "tiingo.iex"        
## [10] "tiingo.crypto"      "alphavantager"      "alphavantage"      
## [13] "rblpapi"

TQ01-core-functions-in-tidyquant.R

2.1 Yahoo! Finance

The stock prices can be retrieved succinctly using get = "stock.prices". This returns stock price data from Yahoo Finance.

aapl_prices  <- tq_get("AAPL", get = "stock.prices", from = " 1990-01-01")
aapl_prices 
## # A tibble: 8,733 × 8
##    symbol date        open  high   low close    volume adjusted
##    <chr>  <date>     <dbl> <dbl> <dbl> <dbl>     <dbl>    <dbl>
##  1 AAPL   1990-01-02 0.315 0.335 0.312 0.333 183198400    0.262
##  2 AAPL   1990-01-03 0.339 0.339 0.335 0.335 207995200    0.264
##  3 AAPL   1990-01-04 0.342 0.346 0.333 0.336 221513600    0.265
##  4 AAPL   1990-01-05 0.337 0.342 0.330 0.337 123312000    0.266
##  5 AAPL   1990-01-08 0.335 0.339 0.330 0.339 101572800    0.268
##  6 AAPL   1990-01-09 0.339 0.339 0.330 0.336  86139200    0.265
##  7 AAPL   1990-01-10 0.336 0.336 0.319 0.321 199718400    0.254
##  8 AAPL   1990-01-11 0.324 0.324 0.308 0.308 211052800    0.243
##  9 AAPL   1990-01-12 0.306 0.310 0.301 0.308 171897600    0.243
## 10 AAPL   1990-01-15 0.308 0.319 0.306 0.306 161739200    0.241
## # ℹ 8,723 more rows

TQ01-core-functions-in-tidyquant.R

We can get multiple stocks:

stocks <- c("AAPL", "META", "NFLX") %>%
    tq_get(from = "2013-01-01",
           to   = "2017-01-01")
stocks
## # A tibble: 3,024 × 8
##    symbol date        open  high   low close    volume adjusted
##    <chr>  <date>     <dbl> <dbl> <dbl> <dbl>     <dbl>    <dbl>
##  1 AAPL   2013-01-02  19.8  19.8  19.3  19.6 560518000     16.7
##  2 AAPL   2013-01-03  19.6  19.6  19.3  19.4 352965200     16.5
##  3 AAPL   2013-01-04  19.2  19.2  18.8  18.8 594333600     16.0
##  4 AAPL   2013-01-07  18.6  18.9  18.4  18.7 484156400     15.9
##  5 AAPL   2013-01-08  18.9  19.0  18.6  18.8 458707200     16.0
##  6 AAPL   2013-01-09  18.7  18.8  18.4  18.5 407604400     15.7
##  7 AAPL   2013-01-10  18.9  18.9  18.4  18.7 601146000     15.9
##  8 AAPL   2013-01-11  18.6  18.8  18.5  18.6 350506800     15.8
##  9 AAPL   2013-01-14  18.0  18.1  17.8  17.9 734207600     15.3
## 10 AAPL   2013-01-15  17.8  17.8  17.3  17.4 876772400     14.8
## # ℹ 3,014 more rows

TQ01-core-functions-in-tidyquant.R

Yahoo Japan stock prices can be retrieved using a similar call, get = "stock.prices.japan".

x8411T <- tq_get("8411.T", get = "stock.prices.japan", from = "2016-01-01", to  = "2016-12-31")

TQ01-core-functions-in-tidyquant.R

The data source is Yahoo Finance (https://finance.yahoo.com/) and Yahoo Finance Japan.

2.2 FRED Economic Data

A wealth of economic data can be extracted from the Federal Reserve Economic Data (FRED) database. The FRED contains over 10K data sets that are free to use. See the FRED categories to narrow down the data base and to get data codes. The WTI Crude Oil Prices are shown below.

wti_price_usd <- tq_get("DCOILWTICO", get = "economic.data")
wti_price_usd 
## # A tibble: 2,779 × 3
##    symbol     date       price
##    <chr>      <date>     <dbl>
##  1 DCOILWTICO 2014-01-01  NA  
##  2 DCOILWTICO 2014-01-02  95.1
##  3 DCOILWTICO 2014-01-03  93.7
##  4 DCOILWTICO 2014-01-06  93.1
##  5 DCOILWTICO 2014-01-07  93.3
##  6 DCOILWTICO 2014-01-08  91.9
##  7 DCOILWTICO 2014-01-09  91.4
##  8 DCOILWTICO 2014-01-10  92.4
##  9 DCOILWTICO 2014-01-13  91.4
## 10 DCOILWTICO 2014-01-14  92.2
## # ℹ 2,769 more rows

TQ01-core-functions-in-tidyquant.R

2.4 Tiingo API

The Tiingo API is a free source for stock prices, cryptocurrencies, and intraday feeds from the IEX (Investors Exchange). This can serve as an alternate source of data to Yahoo! Finance.

Authentication

To make full use of the integration you need to get an API key and then set your api key. If you don’t have one already, go to Tiingo account and get your FREE API key. You can then set it as follows:

tiingo_api_key('<your-api-key>')

TQ01-core-functions-in-tidyquant.R

Getting Tiingo Data

The tidyquant package provides convenient wrappers to the riingo package (R interface to Tiingo). Here’s how tq_get() maps to riingo:

  • Tiingo Prices: tq_get(get = "tiingo") = riingo::riingo_prices()
  • Tiingo IEX Data: tq_get(get = "tiingo.iex") = riingo::riingo_iex_prices()
  • Tiingo Crypto Data: tq_get(get = "tiingo.crypto") = riingo::riingo_crypto_prices()
# Tiingo Prices (Free alternative to Yahoo Finance!)
tq_get(c("AAPL", "GOOG"), get = "tiingo", from = "2010-01-01")

# Sub-daily prices from IEX ----
tq_get(c("AAPL", "GOOG"),
       get = "tiingo.iex",
       from   = "2020-01-01",
       to     = "2020-01-15",
       resample_frequency = "5min")

# Tiingo Bitcoin in USD ----
tq_get(c("btcusd"),
       get    = "tiingo.crypto",
       from   = "2020-01-01",
       to     = "2020-01-15",
       resample_frequency = "5min")

TQ01-core-functions-in-tidyquant.R

2.5 Alpha Vantage API

Alpha Vantage provides access to a real-time and historical financial data. The alphavantager package, a lightweight R interface, has been integrated into tidyquant as follows. The benefit of the integration is the scalability since we can now get multiple symbols returned in a tidy format. You will need to install it first.

install.packages("alphavantager")

Authentication

To make full use of the integration you need to get an API key and then set your api key. If you don’t have one already, go to Alpha Vantage account and get your FREE API key. You can then set it as follows:

# install.packages("alphavantager")
av_api_key("<your-api-key>")

TQ01-core-functions-in-tidyquant.R

Getting Alpha Vantage Data

Getting data is simple as the structure follows the Alpha Vantage API documentation. For example, if you wish to retrieve intraday data at 5 minute intervals for META and MSFT, you can build the parameters x = c("META", "MSFT"), get = "alphavantager", av_fun = "TIME_SERIES_INTRADAY", interval = "5min". The familiar x and get are the same as you always use. The av_fun argument comes from alphavantager::av_get() and the Alpha Vantage documentation. The interval argument comes from the docs as well.

# Scaling is as simple as supplying multiple symbols
c("META", "MSFT") %>%
    tq_get(get = "alphavantage", av_fun = "TIME_SERIES_INTRADAY", interval = "5min")

TQ01-core-functions-in-tidyquant.R

2.6 Bloomberg

Bloomberg provides access to arguably the most comprehensive financial data and is actively used by most major financial institutions that work with financial data. The Rblpapi package, an R interface to Bloomberg, has been integrated into tidyquant as follows. The benefit of the integration is the scalability since we can now get multiple symbols returned in a tidy format.

Authentication

To make full use of the integration you need to have a Bloomberg Terminal account (Note this is not a free service). If you have Bloomberg Terminal running on your machine, you can connect as follows:

# install.packages("Rblpapi")
Rblpapi::blpConnect()

TQ01-core-functions-in-tidyquant.R

Getting Bloomberg Data

Getting data is simple as the structure follows the Rblpapi API documentation. For example, if you wish to retrieve monthly data for SPX Index and AGTHX Equity, you can build the tq_get parameters as follows:

  • x = c('SPX Index','ODMAX Equity')
  • get = "rblpapi"
  • rblpapi_fun = "bdh" Note that “bdh” is the default, and options include “bdh” (Bloomberg Data History), “bds” (Bloomberg Data Set), and “bdp” (Bloomberg Data Point)
  • from / to These get passed to start.date and end.date and can be provided in “YYYY-MM-DD” character format. Note that start.date and end.date from Rblpapi can be used but must be converted to date or datetime.
  • Other arguments: These are options that depend on the rblpapi_fun. See Rblpapi documentation.
# Get Bloomberg data in a tidy data frame
my_bloomberg_data <- c('SPX Index','ODMAX Equity') %>%
    tq_get(get         = "Rblpapi",
           rblpapi_fun = "bdh",
           fields      = c("PX_LAST"),
           options     = c("periodicitySelection" = "WEEKLY"),
           from        = "2016-01-01",
           to          = "2016-12-31")

TQ01-core-functions-in-tidyquant.R

3.0 Mutate Quantitative Data

Mutating functions enable the xts/zoo, quantmod and TTR functions to shine. We’ll touch on the mutation functions briefly using the FANG data set, which consists of daily prices for META, AMZN, GOOG, and NFLX from the beginning of 2013 to the end of 2016. We’ll apply the functions to grouped data sets to get a feel for how each works

FANG
## # A tibble: 4,032 × 8
##    symbol date        open  high   low close    volume adjusted
##    <chr>  <date>     <dbl> <dbl> <dbl> <dbl>     <dbl>    <dbl>
##  1 META   2013-01-02  27.4  28.2  27.4  28    69846400     28  
##  2 META   2013-01-03  27.9  28.5  27.6  27.8  63140600     27.8
##  3 META   2013-01-04  28.0  28.9  27.8  28.8  72715400     28.8
##  4 META   2013-01-07  28.7  29.8  28.6  29.4  83781800     29.4
##  5 META   2013-01-08  29.5  29.6  28.9  29.1  45871300     29.1
##  6 META   2013-01-09  29.7  30.6  29.5  30.6 104787700     30.6
##  7 META   2013-01-10  30.6  31.5  30.3  31.3  95316400     31.3
##  8 META   2013-01-11  31.3  32.0  31.1  31.7  89598000     31.7
##  9 META   2013-01-14  32.1  32.2  30.6  31.0  98892800     31.0
## 10 META   2013-01-15  30.6  31.7  29.9  30.1 173242600     30.1
## # ℹ 4,022 more rows

TQ01-core-functions-in-tidyquant.R

For a detailed walkthrough of the compatible functions, see the next vignette in the series, R Quantitative Analysis Package Integrations in tidyquant.

3.1 Transmute Quantitative Data, tq_transmute

Transmute the results of tq_get(). Transmute here holds almost the same meaning as in dplyr, only the newly created columns will be returned, but with tq_transmute(), the number of rows returned can be different than the original data frame. This is important for changing periodicity. An example is periodicity aggregation from daily to monthly.

FANG %>%
    group_by(symbol) %>%
    tq_transmute(select = adjusted, mutate_fun = to.monthly, indexAt = "lastof")
## # A tibble: 192 × 3
## # Groups:   symbol [4]
##    symbol date       adjusted
##    <chr>  <date>        <dbl>
##  1 META   2013-01-31     31.0
##  2 META   2013-02-28     27.2
##  3 META   2013-03-31     25.6
##  4 META   2013-04-30     27.8
##  5 META   2013-05-31     24.4
##  6 META   2013-06-30     24.9
##  7 META   2013-07-31     36.8
##  8 META   2013-08-31     41.3
##  9 META   2013-09-30     50.2
## 10 META   2013-10-31     50.2
## # ℹ 182 more rows

TQ01-core-functions-in-tidyquant.R

Let’s go through what happened. select allows you to easily choose what columns get passed to mutate_fun. In example above, adjusted selects the “adjusted” column from data, and sends it to the mutate function, to.monthly, which mutates the periodicity from daily to monthly. Additional arguments can be passed to the mutate_fun by way of .... We are passing the indexAt argument to return a date that matches the first date in the period.

Working with non-OHLC data

Returns from FRED, Oanda, and other sources do not have open, high, low, close (OHLC) format. However, this is not a problem with select. The following example shows how to transmute WTI Crude daily prices to monthly prices. Since we only have a single column to pass, we can leave the select argument as NULL which selects all columns by default. This sends the price column to the to.period mutate function.

wti_prices <- tq_get("DCOILWTICO", get = "economic.data") 

wti_prices %>%    
    tq_transmute(mutate_fun = to.period,
                 period     = "months", 
                 col_rename = "WTI Price")
## # A tibble: 128 × 2
##    date       `WTI Price`
##    <date>           <dbl>
##  1 2014-01-31        97.6
##  2 2014-02-28       103. 
##  3 2014-03-31       102. 
##  4 2014-04-30       100. 
##  5 2014-05-30       103. 
##  6 2014-06-30       106. 
##  7 2014-07-31        98.2
##  8 2014-08-29        97.9
##  9 2014-09-30        91.2
## 10 2014-10-31        80.5
## # ℹ 118 more rows

TQ01-core-functions-in-tidyquant.R

3.2 Mutate Quantitative Data, tq_mutate

Adds a column or set of columns to the tibble with the calculated attributes (hence the original tibble is returned, mutated with the additional columns). An example is getting the MACD from close, which mutates the original input by adding MACD and Signal columns. Note that we can quickly rename the columns using the col_rename argument.

FANG %>%
    group_by(symbol) %>%
    tq_mutate(select     = close, 
              mutate_fun = MACD, 
              col_rename = c("MACD", "Signal"))
## # A tibble: 4,032 × 10
## # Groups:   symbol [4]
##    symbol date        open  high   low close    volume adjusted  MACD Signal
##    <chr>  <date>     <dbl> <dbl> <dbl> <dbl>     <dbl>    <dbl> <dbl>  <dbl>
##  1 META   2013-01-02  27.4  28.2  27.4  28    69846400     28      NA     NA
##  2 META   2013-01-03  27.9  28.5  27.6  27.8  63140600     27.8    NA     NA
##  3 META   2013-01-04  28.0  28.9  27.8  28.8  72715400     28.8    NA     NA
##  4 META   2013-01-07  28.7  29.8  28.6  29.4  83781800     29.4    NA     NA
##  5 META   2013-01-08  29.5  29.6  28.9  29.1  45871300     29.1    NA     NA
##  6 META   2013-01-09  29.7  30.6  29.5  30.6 104787700     30.6    NA     NA
##  7 META   2013-01-10  30.6  31.5  30.3  31.3  95316400     31.3    NA     NA
##  8 META   2013-01-11  31.3  32.0  31.1  31.7  89598000     31.7    NA     NA
##  9 META   2013-01-14  32.1  32.2  30.6  31.0  98892800     31.0    NA     NA
## 10 META   2013-01-15  30.6  31.7  29.9  30.1 173242600     30.1    NA     NA
## # ℹ 4,022 more rows

TQ01-core-functions-in-tidyquant.R

Note that a mutation can occur if, and only if, the mutation has the same structure of the original tibble. In other words, the calculation must have the same number of rows and row.names (or date fields), otherwise the mutation cannot be performed.

Mutate rolling regressions with rollapply

A very powerful example is applying custom functions across a rolling window using rollapply. A specific example is using the rollapply function to compute a rolling regression. This example is slightly more complicated so it will be broken down into three steps:

  1. Get returns
  2. Create a custom function
  3. Apply the custom function across a rolling window using tq_mutate(mutate_fun = rollapply)

Step 1: Get Returns

First, get combined returns. The asset and baseline returns should be in wide format, which is needed for the lm function in the next step.

fb_returns <- tq_get("META", get  = "stock.prices", from = "2016-01-01", to   = "2016-12-31") %>%
    tq_transmute(adjusted, periodReturn, period = "weekly", col_rename = "fb.returns")

xlk_returns <- tq_get("XLK", from = "2016-01-01", to = "2016-12-31") %>%
    tq_transmute(adjusted, periodReturn, period = "weekly", col_rename = "xlk.returns")

returns_combined <- left_join(fb_returns, xlk_returns, by = "date")
returns_combined
## # A tibble: 52 × 3
##    date       fb.returns xlk.returns
##    <date>          <dbl>       <dbl>
##  1 2016-01-08   -0.0478     -0.0516 
##  2 2016-01-15   -0.0242     -0.0187 
##  3 2016-01-22    0.0313      0.0264 
##  4 2016-01-29    0.146       0.0213 
##  5 2016-02-05   -0.0725     -0.0422 
##  6 2016-02-12   -0.0198     -0.00582
##  7 2016-02-19    0.0251      0.0354 
##  8 2016-02-26    0.0320      0.0148 
##  9 2016-03-04    0.00436     0.0281 
## 10 2016-03-11    0.00941     0.0106 
## # ℹ 42 more rows

TQ01-core-functions-in-tidyquant.R

Step 2: Create a custom function

Next, create a custom regression function, which will be used to apply over the rolling window in Step 3. An important point is that the “data” will be passed to the regression function as an xts object. The timetk::tk_tbl function takes care of converting to a data frame for the lm function to work properly with the columns “fb.returns” and “xlk.returns”.

regr_fun <- function(data) {
    coef(lm(fb.returns ~ xlk.returns, data = timetk::tk_tbl(data, silent = TRUE)))
}

TQ01-core-functions-in-tidyquant.R

Step 3: Apply the custom function

Now we can use tq_mutate() to apply the custom regression function over a rolling window using rollapply from the zoo package. Internally, since we left select = NULL, the returns_combined data frame is being passed automatically to the data argument of the rollapply function. All you need to specify is the mutate_fun = rollapply and any additional arguments necessary to apply the rollapply function. We’ll specify a 12 week window via width = 12. The FUN argument is our custom regression function, regr_fun. It’s extremely important to specify by.column = FALSE, which tells rollapply to perform the computation using the data as a whole rather than apply the function to each column independently. The col_rename argument is used to rename the added columns.

returns_combined %>%
    tq_mutate(mutate_fun = rollapply,
              width      = 12,
              FUN        = regr_fun,
              by.column  = FALSE,
              col_rename = c("coef.0", "coef.1"))
## # A tibble: 52 × 5
##    date       fb.returns xlk.returns coef.0 coef.1
##    <date>          <dbl>       <dbl>  <dbl>  <dbl>
##  1 2016-01-08   -0.0478     -0.0516      NA     NA
##  2 2016-01-15   -0.0242     -0.0187      NA     NA
##  3 2016-01-22    0.0313      0.0264      NA     NA
##  4 2016-01-29    0.146       0.0213      NA     NA
##  5 2016-02-05   -0.0725     -0.0422      NA     NA
##  6 2016-02-12   -0.0198     -0.00582     NA     NA
##  7 2016-02-19    0.0251      0.0354      NA     NA
##  8 2016-02-26    0.0320      0.0148      NA     NA
##  9 2016-03-04    0.00436     0.0281      NA     NA
## 10 2016-03-11    0.00941     0.0106      NA     NA
## # ℹ 42 more rows
returns_combined
## # A tibble: 52 × 3
##    date       fb.returns xlk.returns
##    <date>          <dbl>       <dbl>
##  1 2016-01-08   -0.0478     -0.0516 
##  2 2016-01-15   -0.0242     -0.0187 
##  3 2016-01-22    0.0313      0.0264 
##  4 2016-01-29    0.146       0.0213 
##  5 2016-02-05   -0.0725     -0.0422 
##  6 2016-02-12   -0.0198     -0.00582
##  7 2016-02-19    0.0251      0.0354 
##  8 2016-02-26    0.0320      0.0148 
##  9 2016-03-04    0.00436     0.0281 
## 10 2016-03-11    0.00941     0.0106 
## # ℹ 42 more rows

TQ01-core-functions-in-tidyquant.R

As shown above, the rolling regression coefficients were added to the data frame.

3.3 _xy Variants, tq_mutate_xy and tq_transmute_xy

Enables working with mutation functions that require two primary inputs (e.g. EVWMA, VWAP, etc).

Mutate with two primary inputs

EVWMA (exponential volume-weighted moving average) requires two inputs, price and volume. To work with these columns, we can switch to the xy variants, tq_transmute_xy() and tq_mutate_xy(). The only difference is instead of the select argument, you use x and y arguments to pass the columns needed based on the mutate_fun documentation.

FANG %>%
    group_by(symbol) %>%
    tq_mutate_xy(x = close, y = volume, 
                 mutate_fun = EVWMA, col_rename = "EVWMA")
## # A tibble: 4,032 × 9
## # Groups:   symbol [4]
##    symbol date        open  high   low close    volume adjusted EVWMA
##    <chr>  <date>     <dbl> <dbl> <dbl> <dbl>     <dbl>    <dbl> <dbl>
##  1 META   2013-01-02  27.4  28.2  27.4  28    69846400     28    NA  
##  2 META   2013-01-03  27.9  28.5  27.6  27.8  63140600     27.8  NA  
##  3 META   2013-01-04  28.0  28.9  27.8  28.8  72715400     28.8  NA  
##  4 META   2013-01-07  28.7  29.8  28.6  29.4  83781800     29.4  NA  
##  5 META   2013-01-08  29.5  29.6  28.9  29.1  45871300     29.1  NA  
##  6 META   2013-01-09  29.7  30.6  29.5  30.6 104787700     30.6  NA  
##  7 META   2013-01-10  30.6  31.5  30.3  31.3  95316400     31.3  NA  
##  8 META   2013-01-11  31.3  32.0  31.1  31.7  89598000     31.7  NA  
##  9 META   2013-01-14  32.1  32.2  30.6  31.0  98892800     31.0  NA  
## 10 META   2013-01-15  30.6  31.7  29.9  30.1 173242600     30.1  30.1
## # ℹ 4,022 more rows

TQ01-core-functions-in-tidyquant.R

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