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Financial Data Manipulation in dplyr for Quant Traders – Part IV

Financial Data Manipulation in dplyr for Quant Traders – Part IV

Posted June 2, 2021 at 12:07 pm
Robot James
Robot Wealth

See Part IPart II and Part III to  set up and load the data.

The select() dplyr verb

Financial Data Manipulation in dplyr for Quant Traders

select() is used to pull out certain columns from your data.

Selecting columns with select()

Here we use select()to pull out the tickerdate and close columns.

prices %>%
select(ticker, date, close)

Chaining Transformations Together: Filtering, selecting and arranging

We can chain transformations together using the pipe operator %>%.

If you’re unsure how the pipe operator works, visit Robot Wealth website to watch a video on this topic.

We’re going to chain together a transformation which:

  • filters out a single stock
  • selects the date and close price
  • re-arranges by date descending.

prices %>%
filter(ticker == ‘XOM’) %>%
select(date, close) %>%
arrange(desc(date))

When debugging a dplyr pipeline, it can be helpful to select each transformation one by one, and press CTRL-Enter in Rstudio to just run the selected transformation.

Stay tuned for the next installment in which the author will demonstrate the mutate() dplyr verb

Visit Robot Wealth website to read the full article and download code: https://robotwealth.com/financial-data-manipulation-in-dplyr-for-quant-traders/

Disclosure: Interactive Brokers

Information posted on IBKR Campus that is provided by third-parties does NOT constitute a recommendation that you should contract for the services of that third party. Third-party participants who contribute to IBKR Campus are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.

This material is from Robot Wealth and is being posted with its permission. The views expressed in this material are solely those of the author and/or Robot Wealth and Interactive Brokers is not endorsing or recommending any investment or trading discussed in the material. This material is not and should not be construed as an offer to buy or sell any security. It should not be construed as research or investment advice or a recommendation to buy, sell or hold any security or commodity. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.

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