yahoo tickers, time zone, and merging

Question

I would like to download daily data from yahoo for the S&P 500, the DJIA, and 30-year T-Bonds, map the data to the proper time zone, and merge them with my own data. I have several questions.

1. My first problem is getting the tickers right. From yahoo's website, it looks like the tickers are: ^GSPC, ^DJI, and ^TYX. However, ^DJI fails. Any idea why?

2. My second problem is that I would like to constrain the time zone to GMT (I would like to ensure that all my data is on the same clock, GMT seems like a neutral choice), but I couldn' get it to work.

3. My third problem is that I would like to merge the yahoo data with my own data, obtained by other means and available in a different format. It is also daily data.

Here is my attempt at constraining the data to the GMT time zone. Executed at the top of my R script.

Sys.setenv(TZ = "GMT")
# > Sys.getenv("TZ")
# [1] "GMT"
# the TZ variable is properly set
# but does not affect the time zone in zoo objects, why?

Here is my code to get the yahoo data:

library("tseries")
library("xts")

date.start <- "1999-12-31"
date.end <- "2013-01-01"

# tickers <- c("GSPC","TYX","DJI")
# DJI Fails, why?
# http://finance.yahoo.com/q?s=%5EDJI
tickers <- c("GSPC","TYX") # proceed without DJI

z <- zoo()
index(z) <- as.Date(format(time(z)),tz="")

for ( i in 1:length(tickers) ) 
  { 
     cat("Downloading ", i, " out of ", length(tickers) , "\n")
     x <- try(get.hist.quote(
         instrument = paste0("^",tickers[i])
         , start = date.start
         , end = date.end
         , quote = "AdjClose"
         , provider = "yahoo"
         , origin = "1970-01-01"
         , compression = "d"
         , retclass = "zoo" 
         , quiet = FALSE )
       , silent = FALSE )
     print(x[1:4]) # check that it's not empty
     colnames(x) <- tickers[i]
     z <- try( merge(z,x), silent = TRUE )
}

Here is the dput(head(df)) of my dataset:

df <- structure(list(A = c(-0.011489000171423, -0.00020300000323914, 
0.0430639982223511, 0.0201549995690584, 0.0372899994254112, -0.0183669999241829
), B = c(0.00110999995376915, -0.000153000000864267, 0.0497750006616116, 
0.0337960012257099, 0.014121999964118, 0.0127800004556775), date = c(9861, 
9862, 9863, 9866, 9867, 9868)), .Names = c("A", "B", "date"
), row.names = c("0001-01-01", "0002-01-01", "0003-01-01", "0004-01-01", 
"0005-01-01", "0006-01-01"), class = "data.frame")

I'd like to merge the data in df with the data in z. I can't seem to get it to work.

I am new to R and very much open to your advice about efficiency, best practice, etc.. Thanks.

EDIT: SOLUTIONS

1. On the first problem: following GSee's suggestions, the Dow Jones Industrial Average data may be downloaded with the quantmod package: thus, instead of the "^DJI" ticker, which is no longer available from yahoo, use the "DJIA" ticker. Note that there is no caret in the "DJIA" ticker.

2. On the second problem, Joshua Ulrich points out in the comments that "Dates don't have timezones because days don't have a time component."

3. On the third problem: The data frame appears to have corrupted dates, as pointed out by agstudy in the comments.

My solutions rely on the quantmod package and the attached zoo/xts packages:

library(quantmod)

Here is the code I have used to get proper dates from my csv file:

toDate <- function(x){ as.Date(as.character(x), format("%Y%m%d")) }
dtz <- read.zoo("myData.csv"
  , header = TRUE
  , sep = ","
  , FUN = toDate
)
dtx <- as.xts(dtz)

The dates in the csv file were stored in a single column in the format "19861231". The key to getting correct dates was to wrap the date in "as.character()". Part of this code was inspired from R - Stock market data from csv to xts. I also found the zoo/xts manuals helpful.

I then extract the date range from this dataset:

date.start <- start(dtx)
date.end <- end(dtx)

I will use those dates with quantmod's getSymbols function so that the other data I download will cover the same period.

Here is the code I have used to get all three tickers.

tickers <- c("^GSPC","^TYX","DJIA")
data <- new.env() # the data environment will store the data
do.call(cbind, lapply( tickers
    , getSymbols
    , from = date.start
    , to = date.end
    , env = data # data saved inside an environment
    )
  )
ls(data)  # see what's inside the data environment
data$GSPC  # access a particular ticker

Also note, as GSee pointed out in the comments, that the option auto.assign=FALSE cannot be used in conjunction with the option env=data (otherwise the download fails).

A big thank you for your help.

Answer 1

1. Yahoo doesn't provide historical data for ^DJI. Currently, it looks like you can get the same data by using the ticker "DJIA", but your mileage may vary.
2. It does work in this case because you're only dealing with Dates
3. the df object your provided is yearly data beginning in the year 0001. So, that's probably not what you wanted.

Here's how I would fetch and merge those series (or use an environment and only make one call to getSymbols)

library(quantmod)
do.call(cbind, lapply(c("^GSPC", "^TYX"), getSymbols, auto.assign=FALSE))