WebData: Fetch Internet Data

In TTR: Technical Trading Rules

Description

Get investment data from the internet.

Usage

stockSymbols(
  exchange = c("AMEX", "NASDAQ", "NYSE", "ARCA", "BATS", "IEX"),
  sort.by = c("Exchange", "Symbol"),
  quiet = FALSE
)

getYahooData(
  symbol,
  start,
  end,
  freq = "daily",
  type = "price",
  adjust = TRUE,
  quiet = FALSE
)

Arguments

exchange	Character vector of exchange names on which desired instrument symbols are traded.
sort.by	Character vector of columns by which returned data will be sorted. Must be one or more of "Name", "Symbol", "Market.Cap", or "Exchange".
quiet	Logical; if TRUE, status messages will be printed to the console.
symbol	Yahoo! Finance instrument symbol.
start	Numeric; first date of desired data, in YYYYMMDD format. Default is first date of series.
end	Numeric; last date of desired data, in YYYYMMDD format. Default is last date of series.
freq	Desired data frequency. One of "daily", "weekly", "monthly".
type	Type of data to return. One of "price", or "split". type="split" will return both split and dividend data.
adjust	Logical; if TRUE, the Open, High, Low, and Close prices will be adjusted for dividends and splits, and Volume will be adjusted for dividends.

Details

getYahooData fetches individual stock data from the Yahoo! Finance website. It also adjusts price for splits and dividends, and volume for splits. See the Warning section, and note that it is deprecated in favor of getSymbols in the quantmod package.

stockSymbols fetches instrument symbols from the nasdaq.com website, and adjusts the symbols to be compatible with the Yahoo! Finance website.

Value

getYahooData returns an xts object containing the columns:

stockSymbols returns a character vector containing all the listed symbols for the given exchanges.

Date

Trade date, in CCYYMMDD format.

Open

Open price.

High

High price.

Low

Low price.

Close

Close price.

Volume

Volume.

Warning

As of TTR 0.23-2, getYahooData has been patched to work with changes to Yahoo Finance, which also included the following changes to the raw data:

• The adjusted close column appears to no longer include dividend adjustments

• The open, high, and low columns are adjusted for splits, and

• The raw data may contain missing values.

• The raw data may contain errors.

As of TTR 0.24.2, stockSymbols began using data from NASDAQ's FTP site because the data from the original site is no longer available. This new file does not contain data for the columns: LastSale, MarketCap, IPOyear, Sector, and Industry. All the columns still appear in the results,#'but all the values in the columns are set to NA.

Note

The symbols returned by stockSymbols may not be in the format necessary to retrieve data using getYahooData.

getYahooData has only been tested on daily data. It isn't known if the function correctly adjusts data for any other frequency.

Author(s)

Joshua Ulrich

References

• Quant StackExchange: Download list of all stock symbols?

• CQS symbol convention

• Yahoo Finance symbol conventions

Examples

### Note: you must have a working internet
### connection for these examples to work!
if (interactive()) {
  ge <- getYahooData("GE", 19990404, 20050607, adjust = FALSE)

  nyse.symbols <- stockSymbols("NYSE")
}

TTR documentation built on Dec. 12, 2021, 9:07 a.m.