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

[Achim Zeileis]

On Wed, 07 Jun 2006 10:45:29 +0200 Martin Becker wrote:

> 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).

yes, it is.
Z

> 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
> >  
> >
> 
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>