fImport (version 260.71)

Yahoo: Import Market Data from Yahoo

Description

A collection and description of functions to import financial and economic market data from Yahoo's web site. The functions are: ll{ yahooImport daily stock market data from Yahoo's Web site, yahooSeries easy to use download from Yahoo, keystatsImport key statistics from Yahoo's Web site.}

Usage

yahooImport(query, file = "tempfile", 
    source = "http://chart.yahoo.com/table.csv?", save = FALSE,
    sep = ";", swap = 20, try = TRUE)
   
yahooSeries(symbols = c("^DJI", "IBM"), from = NULL, to = NULL, 
    nDaysBack = 365, quote = c("Open", "High", "Low", "Close", "Volume"), 
    aggregation = c("d", "w", "m"), returnClass = c("timeSeries", "ts", 
    "matrix", "data.frame"), getReturns = FALSE, ...)
    
keystatsImport(query, file = "tempfile", 
    source = "http://finance.yahoo.com/q/ks?s=", save = FALSE, 
    try = TRUE)

Arguments

aggregation

a character string denoting the aggregation level of the downloaded data records, d for daily, w for weekly and m for monthly data records.

file

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

from, to

an ISO-8601 formatted character string of the starting (end) date, e.g. "2005-01-01".

getReturns

a logical flag. Should return values be computed using the function returnSeries?

nDaysBack

an integer giving the length of the download period in number of days starting n days back from today. Only in use if from and to are not specified.

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.

quote

[yahooSeries] - a character value or vector of strings giving the column name(s) of those instruments to be extracted from the download.

returnClass

a character string naming the class of the object to be returned. By default the function returns a "timeSeries" object, alternatives are: "ts", "matrix", or "data.frame".

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.

symbols

a character string value or vector, the Yahoo symbol name(s).

swap

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.

...

optional arguments to be passed.

Value

• The function yahooImport returns 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 yahooSeries returns an S4 object of class timeSeries or alternatively an object specified by the function argument returnClass. The function keystatsImport returns a data frame with key statistics downloaded from yahoo's web site.

Details

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 }

Examples

## yahooImport -
   # [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, ])