getAlphaVantageData: Get high frequency data from Alpha Vantage

In jonathancornelissen/highfrequency: Tools for Highfrequency Data Analysis

Get high frequency data from Alpha Vantage

Description

Function to retrieve high frequency data from Alpha Vantage - wrapper around quantmod's getSymbols.av function

Usage

getAlphaVantageData(
  symbols = NULL,
  interval = "5min",
  outputType = "xts",
  apiKey = NULL,
  doSleep = TRUE
)

Arguments

symbols	character vector with the symbols to import.
interval	the sampling interval of the data retrieved. Should be one of one of "1min", "5min", "15min", "30min", or "60min"
outputType	string either "xts" or "DT" to denote the type of output wanted. "xts" will yield an xts object, "DT" will yield a data.table object.
apiKey	string with the api key provided by Alpha Vantage.
doSleep	logical when the length of symbols > 5 the function will sleep for 12 seconds by default.

Details

The doSleep argument is set to true as default because Alpha Vantage has a limit of five calls per minute. The function does not try to extract when the last API call was made which means that if you made successive calls to get 3 symbols in rapid succession, the function may not retrieve all the data.

Value

An object of type xts or data.table in case the length of symbols is 1. If the length of symbols > 1 the xts and data.table objects will be put into a list.

Author(s)

Emil Sjoerup (wrapper only) Paul Teetor (for quantmod's getSymbols.av)

See Also

The getSymbols.av function in the quantmod package

Examples

## Not run: 
# Get data for SPY at an interval of 1 minute in the standard xts format.
data <- getAlphaVantageData(symbols = "SPY", apiKey = "yourKey", interval = "1min")

# Get data for 3M and Goldman Sachs  at a 5 minute interval in the data.table format. 
# The data.tables will be put in a list.
data <- getAlphaVantageData(symbols = c("MMM", "GS"), interval = "5min", 
                  outputType = "DT", apiKey = 'yourKey')

# Get data for JPM and Citicorp at a 15 minute interval in the xts format. 
# The xts objects will be put in a list.
data <- getAlphaVantageData(symbols = c("JPM", "C"), interval = "15min", 
                  outputType = "xts", apiKey = "yourKey")

## End(Not run)

jonathancornelissen/highfrequency documentation built on Jan. 10, 2023, 7:29 p.m.