R/getQuote.R

In quantmod: Quantitative Financial Modelling Framework

# getQuote should function like getSymbols
# getQuote.yahoo
# getQuote.IBrokers
# getQuote.RBloomberg
# getQuote.OpenTick

`getQuote` <-
function(Symbols,src='yahoo',what, ...) {
  args <- list(Symbols=Symbols,...)
  if(!missing(what))
      args$what <- what
  do.call(paste('getQuote',src,sep='.'), args)
}

`getQuote.yahoo` <-
function(Symbols,what=standardQuote(),...) {
  tmp <- tempfile()
  if(length(Symbols) > 1 && is.character(Symbols))
    Symbols <- paste(Symbols,collapse=";")
  length.of.symbols <- length(unlist(strsplit(Symbols, ";")))
  if(length.of.symbols > 200) {
    # yahoo only works with 200 symbols or less per call
    # we will recursively call getQuote.yahoo to handle each block of 200
    Symbols <- unlist(strsplit(Symbols,";"))
    all.symbols <- lapply(seq(1,length.of.symbols,200),
                          function(x) na.omit(Symbols[x:(x+199)]))
    df <- NULL
    cat("downloading set: ")
    for(i in 1:length(all.symbols)) {
      Sys.sleep(0.5)
      cat(i,", ")
      df <- rbind(df, getQuote.yahoo(all.symbols[[i]],what))
    }
    cat("...done\n")
    return(df)
  }
  Symbols <- paste(strsplit(Symbols,';')[[1]],collapse="+")
  if(inherits(what, 'quoteFormat')) {
    QF <- what[[1]]
    QF.names <- what[[2]]
  } else {
    QF <- what
    QF.names <- NULL
  }
  QF <- paste('d1t1',QF,sep='')
  download.file(paste(
                "http://finance.yahoo.com/d/quotes.csv?s=",
                Symbols,
                "&f=",QF,sep=""),
                destfile=tmp,quiet=TRUE)
  sq <- read.csv(file=tmp,sep=',',stringsAsFactors=FALSE,header=FALSE)
  unlink(tmp)
  Qposix <- strptime(paste(sq[,1],sq[,2]),format='%m/%d/%Y %H:%M')
  Symbols <- unlist(strsplit(Symbols,'\\+'))
  df <- data.frame(Qposix,sq[,3:NCOL(sq)])
  rownames(df) <- Symbols
  if(!is.null(QF.names)) {
    colnames(df) <- c('Trade Time',QF.names)
  }
  df
}


# integrate this into the main getQuote.yahoo, after branching that
#
`getAllQuotes` <-
function() {
st <- seq(1,3000,200)
en <- seq(200,3000,200)
aq <- NULL
for(i in 1:length(st)) {
  cc <- getQuote(paste(read.csv(options()$symbolNamesFile.NASDAQ, sep='|')$Sym[seq(st[i],en[i])],collapse=';'))
  cat('finished first',en[i],'\n')
  Sys.sleep(.1)
  aq <- rbind(aq,cc)
}
aq
}


`standardQuote` <- function(src='yahoo') {
  do.call(paste('standardQuote',src,sep='.'),list())
}

`standardQuote.yahoo` <- function() {
   yahooQF(names=c( "Last Trade (Price Only)",
                    "Change","Change in Percent",
                    "Open", "Days High", "Days Low", "Volume"))
}

yahooQuote.EOD <- structure(list("ohgl1v", c("Open", "High",
                                   "Low", "Close",
                                   "Volume")), class="quoteFormat")

`yahooQF` <- function(names) {
   optnames <- c("Ask", "Average Daily Volume", "Ask Size", "Bid", "Ask (Real-time)", 
              "Bid (Real-time)", "Book Value", "Bid Size", "Change & Percent Change", 
              "Change", "Commission", "Change (Real-time)", "After Hours Change (Real-time)", 
              "Dividend/Share", "Last Trade Date", "Trade Date", "Earnings/Share", 
              "Error Indication (returned for symbol changed / invalid)", "EPS Estimate Current Year", 
              "EPS Estimate Next Year", "EPS Estimate Next Quarter", "Float Shares", 
              "Days Low","Days High", "52-week Low", "52-week High", "Holdings Gain Percent", 
              "Annualized Gain", "Holdings Gain", "Holdings Gain Percent (Real-time)", 
              "Holdings Gain (Real-time)", "More Info", "Order Book (Real-time)", 
              "Market Capitalization", "Market Cap (Real-time)", "EBITDA", 
              "Change From 52-week Low", "Percent Change From 52-week Low", 
              "Last Trade (Real-time) With Time", "Change Percent (Real-time)", 
              "Last Trade Size", "Change From 52-week High", "Percent Change From 52-week High", 
              "Last Trade (With Time)", "Last Trade (Price Only)", "High Limit", 
              "Low Limit", "Days Range","Days Range (Real-time)", "50-day Moving Average", 
              "200-day Moving Average", "Change From 200-day Moving Average", 
              "Percent Change From 200-day Moving Average", "Change From 50-day Moving Average", 
              "Percent Change From 50-day Moving Average", "Name", "Notes", 
              "Open", "Previous Close", "Price Paid", "Change in Percent", 
              "Price/Sales", "Price/Book", "Ex-Dividend Date", "P/E Ratio", 
              "Dividend Pay Date", "P/E Ratio (Real-time)", 
              "PEG Ratio", "Price/EPS Estimate Current Year", 
              "Price/EPS Estimate Next Year", "Symbol", "Shares Owned", "Short Ratio", 
              "Last Trade Time", "Trade Links", "Ticker Trend", "1 yr Target Price", 
              "Volume", "Holdings Value", "Holdings Value (Real-time)", "52-week Range", 
              "Days Value Change", "Days Value Change (Real-time)", "Stock Exchange", 
              "Dividend Yield")
   optshort <- c("Ask", "Ave. Daily Volume", "Ask Size", "Bid", "Ask (RT)", 
              "Bid (RT)", "Book Value", "Bid Size", "Change & % Change", 
              "Change", "Commission", "Change (RT)", "After Hours Change (RT)", 
              "Dividend/Share", "Last Trade Date", "Trade Date", "Earnings/Share", 
              "Error Indication (returned for symbol changed / invalid)",
              "EPS Estimate Current Year", 
              "EPS Estimate Next Year", "EPS Estimate Next Quarter", "Float Shares", 
              "Low","High", "52-week Low", "52-week High", "Holdings Gain %", 
              "Annualized Gain", "Holdings Gain", "Holdings Gain % (RT)", 
              "Holdings Gain (RT)", "More Info", "Order Book (RT)", 
              "Market Capitalization", "Market Cap (RT)", "EBITDA", 
              "Change From 52-week Low", "% Change From 52-week Low", 
              "Last Trade (RT) With Time", "%Change (RT)", 
              "Last Size", "Change From 52-week High", "% Change From 52-week High", 
              "Last", "Last", "High Limit", 
              "Low Limit", "Days Range","Days Range (RT)", "50-day MA", 
              "200-day MA", "Change From 200-day MA", 
              "% Change From 200-day MA", "Change From 50-day MA", 
              "% Change From 50-day MA", "Name", "Notes", 
              "Open", "P. Close", "Price Paid", "% Change", 
              "Price/Sales", "Price/Book", "Ex-Dividend Date", "P/E Ratio", 
              "Dividend Pay Date", "P/E Ratio (RT)", 
              "PEG Ratio", "Price/EPS Estimate Current Year", 
              "Price/EPS Estimate Next Year", "Symbol", "Shares Owned", "Short Ratio", 
              "Last Trade Time", "Trade Links", "Ticker Trend", "1 yr Target Price", 
              "Volume", "Holdings Value", "Holdings Value (RT)", "52-week Range", 
              "Days Value Change", "Days Value Change (RT)", "Stock Exchange", 
              "Dividend Yield")
  optcodes <- c("a", "a2", "a5", "b", "b2", "b3", "b4", "b6", "c", "c1", "c3", 
              "c6", "c8", "d", "d1", "d2", "e", "e1", "e7", "e8", "e9", "f6", 
              "g", "h", "j", "k", "g1", "g3", "g4", "g5", "g6", "i", "i5", "j1", 
              "j3", "j4", "j5", "j6", "k1", "k2", "k3", "k4", "k5", "l", "l1", 
              "l2", "l3", "m", "m2", "m3", "m4", "m5", "m6", "m7", "m8", "n", "n4", 
              "o", "p", "p1", "p2", "p5", "p6", "q", "r", "r1", "r2", "r5", 
              "r6", "r7", "s", "s1", "s7", "t1", "t6", "t7", "t8", "v", "v1", 
              "v7", "w", "w1", "w4", "x", "y")
  w <- NULL

  if(!missing(names)) {
    names <- unlist(strsplit(names,';'))
    for(n in names) {
      w <- c(w,which(optnames %in% n))
    }
  } else {
    names <- select.list(optnames, multiple=TRUE)
    for(n in names) {
      w <- c(w,which(optnames %in% n))
    }
  }
  str <- paste(optcodes[w],collapse='')
  nms <- optshort[w]
  return(structure(list(str,nms),class='quoteFormat'))
}