fBasics (version 221.10065)

TimeSeriesImport: Import Market Data from the Internet

Description

A collection and description of functions to import financial and economic market from the Internet. Download functions are available for economic and financial market data form Economagic's, from Yahoo's, and from the Federal Reserve's Internet sites. The functions are: ll{ economagicImport Economic series from Economagic's Web site, yahooImport daily stock market data from Yahoo's Web site, keystatsImport key statistics from Yahoo's Web site, fredImport time series from St. Louis FRED Web site, forecastsImport monthly data from the Financial Forecast Center. }

Usage

economagicImport(query, file = "tempfile", 
    source = "http://www.economagic.com/em-cgi/data.exe/",  
    frequency = c("quarterly", "monthly", "daily"), save = FALSE, 
    colname = "VALUE", try = TRUE)  
yahooImport(query, file = "tempfile", 
    source = "http://chart.yahoo.com/table.csv?", save = FALSE,
    sep = ";", swap = 20, try = TRUE)
keystatsImport(query, file = "tempfile", 
    source = "http://finance.yahoo.com/q/ks?s=", save = FALSE, 
    try = TRUE) 
fredImport(query, file = "tempfile", 
    source = "http://research.stlouisfed.org/fred2/series/", 
    frequency = "daily", save = FALSE, sep = ";", try = TRUE) 
forecastsImport(query, file = "tempfile", 
	source = "http://www.forecasts.org/data/data/", save = FALSE, 
	try = TRUE) 
    
show.fWEBDATA(object)
## S3 method for class 'keystats':
print(x, \dots)

Arguments

colname

[economagicImport] - a character string which defines the name of the value column. By default "VALUE".

file

a character string with filename, usually having extension ".csv", where to save the downloaded data.

frequency

a character string, one of "quarterly", "monthly", or "daily", defining the frequency of the data records.

object

an S4 object of class "fWEBDATA".

query

a character string, denoting the location of the data at the web site.

save

a logical value, if set to TRUE the downloaded data file will be stored under the path and file name specified by the string file. By default FALSE.

sep

a character value, defining the field separator for the destination file which saves the downloaded data records. By default a semicolon.

source

a character string with the download URL.

swap

[yahooImport] - an integer value which determines when we swap from the 19th to 20th century, by default 20, i.e. we swap 1920. This is necessary since Yahoo does not list the century in its dates, e.g. "15-Aug-02".

try

a logical value, if set to TRUE the Internet access will be checked.

x

[print.keystats] - an object of class keystats as returned by the function keystatsImport.

...

optional arguments passed to the print.keystats function.

Value

• The functions economagicImport, fredImport, and yahooImport return an S4 object of class fWEBDATA with the following slots:
• @call
  the function call.
• @data
  the data as downloaded formatted as a data.frame.
• @param
  a character vector whose elements contain the values of selected parameters of the argument list.
• @title
  a character string with the name of the download. This can be overwritten specifying a user defined input argument.
• @description
  a character string with an optional user defined description. By default just the current date when the test was applied will be returned.
• The function keystatsImport returns an S3 object of class keystsats with two entries: $query holds the query name, and keystats holds the dataframe with the statistical values.

Details

Import data from www.economagic.com Frequently requested data files from Economagic for the US economy include: ll{ [query] Description: var/leading-ind-long Index of Leading Economic Indicators beana/t102l01 Real Gross Domestic Product fedstl/trsp500 SP 500 Total Return fedstl/gnp Gross National Product in Current Dollars var/cpiu-long Consumer Price Index - All Urban Consumers feddal/ru Unemployment Rate fedstl/indpro Total Industrial Production Index fedstl/exjpus+2 FX Rate: Japanese Yen to one US Dollar fedstl/fedfunds+2 Federal Funds Rate fedstl/mdiscrt+2 Discount Rate fedbog/tcm30y+2 30-Year Treasury Constant Maturity Rate fedstl/mprime+2 Bank Prime Loan Rate fedstl/tb3ms+2 3-Month Treasury Bills - Secondary Market fedstl/tb6ms+2 6-Month Treasury Bills - Secondary Market fedbog/cm+2 30 Year Federal Home Loan Mortgages var/west-texas-crude-long Price of West Texas Intermediate Crude } Import data from chart.yahoo.com: The query string is given as s=SYMBOL&a=DD&b=MM&c=CCYY&g=d&q=q&z=SYMBOL&x=.csv where SYMBOL has to replaced by the symbol name of the instrument, and DD, MM, and CCYY by the day, month-1 and century/year when the time series should start. Here are some examples of symbols: ll{ [query] Description: ^DJI Dow Jones 30 Industrial Averages ^NYA New York Stock Exchange Composite ^NDX Nasdaq 100 Index ^IXIC Nasdaq Composite Index ^TYX US 30Y Treasury Bond Index IBM BM DJIA Stock KO Coca-Cola DJIA Stock } The meaning of the tokens in the query string are the following: ll{ Token Description s Selected Ticker-Symbol a First Quote starts with Month (mm) b First Quote starts with Day (dd) c First Quote starts with Year (ccyy) d Last Quote ends with Month (mm) e Last Quote ends with Day (dd) f Last Quote ends with Year (ccyy) z Selected Ticker-Symbol } Note, that month tokens range between 0 and 11 for January to December! Key statistics data from finance.yahoo.com: The functions downloads the key statistics for the specified equity query and returns the result as a two column data frame. The key names included are: "Market Cap", "Enterprise Value", "Trailing P/E", "Forward P/E", "PEG Ratio", "Price/Sales", "Price/Book", "Enterprise Value/Revenue", "Enterprise Value/EBITDA", "Annual Dividend", "Dividend Yield", "Beta", "52-Week Change", "52-Week High", and "52-Week Low".

Examples

## SOURCE("fBasics.12A-TimeSeriesData")

## economagicImport -
   xmpBasics("\nStart: Daily Foreign Exchange Rates > ")
   USDEUR = economagicImport(query = "fedny/day-fxus2eu", 
     frequency = "daily", colname = "USDEUR")
   # Print Data Slot if Internet Download was Successful:
   if (!is.null(USDEUR)) print(USDEUR@data[1:20, ])

## economagicImport -
   xmpBasics("\nNext: USFEDFUNDS Monthly US FedFunds Rates > ")
   USFEDFUNDS = economagicImport(query = "fedstl/fedfunds+2", 
     frequency = "monthly", colname = "USFEDFUNDS")
   if (!is.null(USFEDFUNDS)) print(USFEDFUNDS@data[1:20, ])
   
## economagicImport -
   xmpBasics("\nNext: USDGNP Quarterly GNP Data Records > ")
   USGNP = economagicImport(query = "fedstl/gnp", 
     frequency = "quarterly", colname = "USGNP")
   if(!is.null(USGNP)) print(USGNP@data[1:20, ])  
     
## yahooImport -
   xmpBasics("\nNext: IBM Shares from Yahoo > ")
   # [test 19/20 century change 01-12-1999 -- 31-01-2000]
   query = "s=IBM&a=11&b=1&c=1999&d=0&q=31&f=2000&z=IBM&x=.csv"
   IBM = yahooImport(query)  
   if (!is.null(IBM)) print(IBM@data[1:20, ])
   
## keystatsImport -
   xmpBasics("\nNext: Key Statistics IBM Shares from Yahoo > ")  
   keystatsImport("IBM")  
   
## fredImport -
   xmpBasics("\nNext: DPRIME Daily Bank Prime Load Rate Records > ")
   DPRIME = fredImport("DPRIME")
   if (!is.null(DPRIME)) print(DPRIME@data[1:20, ])