Gaps in time for yahoo historical quotes?
Marc,
In terms of data you get what you pay for.
even then... :)
If you want, quantmod's getSymbols can fetch google financial data,
which is split adjusted.
getSymbols("AAPL", src="google")
You can also set that as your default:
library(Defaults) #included by default
setDefaults(getSymbols, src='google')
getSymbols("GENZ")
str(GENZ)
do read the help at ?getSymbols.google for a warning about google data.
HTH
Jeff
On Mon, Nov 17, 2008 at 10:38 AM, Marc Delvaux <mdelvaux at gmail.com> wrote:
I am trying to get historical quotes from Yahoo. Ideally I want high quality split and dividend adjusted close prices for a set of stocks. My history so far: - I started with yahooSeries in pacjage fImport. This would be ideal, but it does look like the series is for non adjusted data. I didn't find any function to adjust the serires yet, is there any. - I then used getYahooData in package TTR. This has the split adjusted values I want, but it seems that the returned data series don't always have the same dates present. The series are OK for the near past, up to about 1600 points, but some series become incompatible later on. A quick illustration of the problem is shown below, but many series are affected in that way. Anybody that already faced that problem and came with a solution to get compatible series? It is not a real problem if you are using only one series, but is a serious problems when comparing series.
aapl <- getYahooData("AAPl", 19910101, 20080101)
End date out of range, 2007-12-31 is last available date. Start date out of range, 1991-01-02 is first available date.
genz <- getYahooData("genz", 19910101, 20080101)
End date out of range, 2007-12-31 is last available date. Start date out of range, 1991-01-02 is first available date. << GENZ and AAPL report same start and end date
dim(genz)
[1] 4279 10
dim(aapl)
[1] 4285 10 << but different number of samples After some manipulations, including reverting the time order
aapl[1488:1490,]
Date Open High Low Close Volume Unadj.Close Div Split Adj.Div 523 2002-02-04 12.16 12.760 12.100 12.675 18656200 25.35 NA NA NA 522 2002-02-01 12.17 12.480 12.170 12.205 14225200 24.41 NA NA NA 521 2002-01-31 12.08 12.365 12.055 12.360 16730200 24.72 NA NA NA
genz[1488:1490,]
Date Open High Low Close Volume Unadj.Close Div Split Adj.Div 517 2002-02-04 46.45 46.50 43.30 44.04 5297000 44.04 NA NA NA << where is 2002-02-01 ? 516 2002-01-31 44.70 46.49 44.22 45.61 4983100 45.61 NA NA NA 515 2002-01-30 45.89 46.00 40.69 44.46 13818300 44.46 NA NA NA
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Jeffrey Ryan jeffrey.ryan at insightalgo.com ia: insight algorithmics www.insightalgo.com