R: Download Historical Finance Data

get.hist.quote {tseries} | R Documentation

## Download Historical Finance Data

### Description

Download historical financial data from a given data provider over the WWW.

### Usage

    get.hist.quote(instrument = "^gdax", start, end,
                   quote = c("Open", "High", "Low", "Close"),
                   provider = c("yahoo"), method = NULL,
                   origin = "1899-12-30", compression = "d",
    	       retclass = c("zoo", "ts"), quiet = FALSE, drop = FALSE)

### Arguments

`instrument` | a character string giving the name of the quote symbol to download. See the web page of the data provider for information about the available quote symbols.
`start` | an R object specifying the date of the start of the period to download. This must be in a form which is recognized by `as.POSIXct`, which includes R POSIX date/time objects, objects of class `"date"` (from package `date`) and `"chron"` and `"dates"` (from package `chron`), and character strings representing dates in ISO 8601 format. Defaults to 1992-01-02.
`end` | an R object specifying the end of the download period, see above. Defaults to yesterday.
`quote` | a character string or vector indicating whether to download opening, high, low, or closing quotes, or volume. For the default provider, this can be specified as `"Open"`, `"High"`, `"Low"`, `"Close"`, `"Adjusted"`, and `"Volume"`, respectively. Abbreviations are allowed.
`provider` | a character string with the name of the data provider. Currently, only `"yahoo"` is supported via `getSymbols` from package quantmod for the Yahoo Finance source. Provider `"oanda"` is no longer available.
`method` | No longer used.
`origin` | an R object specifying the origin of the Julian dates, see above. Defaults to 1899-12-30 (Popular spreadsheet programs internally also use Julian dates with this origin).
`compression` | Governs the granularity of the retrieved data; `"d"` for daily, `"w"` for weekly or `"m"` for monthly. Defaults to `"d"`. For the provider `"oanda"`, this argument is ignored.
`retclass` | character specifying which class the return value should have: can be either `"zoo"` (with `"Date"` index), or `"ts"` (with numeric index corresponding to days since `origin`).
`quiet` | logical. Should status messages (if any) be suppressed?
`drop` | logical. If `TRUE` the result is coerced to the lowest possible dimension. Default is `FALSE`.

### Value

A time series containing the data either as a `"zoo"` series (default) or a `"ts"` series. The `"zoo"` series is created with `zoo` and has an index of class `"Date"`. If a `"ts"` series is returned, the index is in physical time, i.e., weekends, holidays, and missing days are filled with `NA`s if not available. The time scale is given in Julian dates (days since the `origin`).

### Author(s)

A. Trapletti

### See Also

`getSymbols` for downloads from various providers; `zoo`, `ts`, `as.Date`, `as.POSIXct`,

### Examples

    con <- url("https://finance.yahoo.com")
    if(!inherits(try(open(con), silent = TRUE), "try-error")) {
      close(con)
      x <- get.hist.quote(instrument = "^gspc", start = "1998-01-01",
                          quote = "Close")
      plot(x)

      x <- get.hist.quote(instrument = "ibm", quote = c("Cl", "Vol"))
      plot(x, main = "International Business Machines Corp")

      spc <- get.hist.quote(instrument = "^gspc", start = "1998-01-01",
             quote = "Close")
      ibm <- get.hist.quote(instrument = "ibm",  start = "1998-01-01",
             quote = "Adj")
      require("zoo")		# For merge() method.
      x <- merge(spc, ibm)
      plot(x, main = "IBM vs S&P 500")
    }

[Package tseries version 0.10-47 Index]