Alpha Vantage is a free API which provides both real time and historical stock market data. It is easy to get an API key, intraday data is available, and many technical indicators are included in the service. This package is a simple wrapper client to get data from the API into easy-to-use R objects, namely
To install the package, simply use the
devtools::install_github("athompson1991/AlphaVantageClient") command. Obviously this means that the
devtools package needs to be installed, but it should be straightforward. If the operating system is Ubuntu, then R may need to be run as sudo.
First, set your API key:
Here is how to get daily time series loaded directly into an
amzn <- fetchSeries(function_nm = "time_series_daily", symbol = "amzn", outputsize = "full", datatype = "json")
The function returns a list with two elements - the
xts object that is interpreted from the response, and the response from the
httr package request. Now the data can be plotted, analyzed, manipulated into returns, etc.:
head(amzn$xts_object) plot(amzn$xts_object[ ,1]) amzn_returns <- diff(log(amzn$xts_object[ ,1]))
Similarly, the other Alpha Vantage data offerings are available using the same function:
amzn_sma <- fetchSeries(function_nm = "sma", symbol = "amzn", interval = "daily", time_period = 60, series_type = "close") amzn_bbands <- fetchSeries(function_nm = "bbands", symbol = "amzn", interval = "daily", time_period = 60, series_type = "close")
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