[R-sig-Finance] get.hist.quote question

[Martin Becker]

Hi,

I noticed this behavior of get.hist.quote (or rather finance.yahoo.com) 
a while ago and wrote some "wrapper" for get.hist.quote (which also 
makes get.hist.quote more quiet, which may be implemented in 
get.hist.quote itself meanwhile).
Yahoo seems to return only a small amount of data for foreign time 
series, so the wrapper shifts the time window and merges the parts of 
the time series. The implementation is quick and dirty, but maybe it is 
useful anyhow. I think it will only work for retclass="zoo", but 
modification for other return classes should be possible.

Regards,

  Martin Becker

--- Start Code ---

GetQuote <- function(instrument="vow.f",start,end,quiet=TRUE,...) {
  HV<-NULL;
  if (require(tseries)) {
     if (missing(start))
        start <- "1991-01-02"
     if (missing(end))
        end <- format(Sys.Date() - 1, "%Y-%m-%d")
     if (quiet) {
      zz <- file(".GetQuoteLog", open="wt")
      sink(zz,type="message");
      sink(zz);
    }
    numtries=0;notworked=TRUE;
    while((numtries<5)&&(notworked)) {
      
tmpdata<-try(get.hist.quote(instrument=instrument,start=start,end=end,...));
      notworked<-inherits(tmpdata,"try-error");
      numtries<-numtries+1;
    }
    if (!notworked) {
      HV<-tmpdata;
      oldstart<-end;
      while (start(HV)>as.Date(as.Date(start)+5)) {
        numtries=0;notworked=TRUE;
        while((numtries<5)&&(notworked)) {
          
tmpdata<-try(get.hist.quote(instrument=instrument,start=start,end=start(HV)-1),...);
          notworked<-inherits(tmpdata,"try-error");
          numtries<-numtries+1;
        }
        if (!notworked) HV<-c(HV,tmpdata);
        newstart<-start(HV);
        if (newstart<oldstart) oldstart<-newstart else break;
      }
    }
    if (quiet) {
      sink(type="message");
      sink();
      close(zz);
    }
    return(HV);
  } else stop("Package tseries not installed!");
}

--- End Code ---


Andrew West wrote:

>I've just started using get.hist.quote to download
>returns on non-US stocks, and noticed that the period
>downloaded is typically shorter than that shown as
>available in the yahoo finance website.
>
>e.g.
>get.hist.quote("vow.f")
>says 
>"time series starts 2005-08-17"
>
>yet on the yahoo.finance website I can manually click
>on historical prices back to 2000. I get similar
>truncated results on other international markets.
>
>I've tried setting the start farther back, that
>doesn't help. Any tips on how to get more history?
>I'm using windows, R2.21 and 2.30
>
>Regards,
>Andrew West
>
>_______________________________________________
>R-SIG-Finance at stat.math.ethz.ch mailing list
>https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>  
>