[R-SIG-Finance] get.hist.quote() and Yahoo

jeff.a.ryan at gmail.com jeff.a.ryan at gmail.com
Wed Sep 5 00:49:27 CEST 2007

I'd agree that yahoo data isn't great.  Google has a nice database that 'seems' to be adjusted throughout for splits (i.e. OHLC (V) is split adjusted throughout the series - no Adjusted column per se.)

The problem is with some dates - specifically Dec 29,30,31 of 2003 is returned as the 29,30,31 of 2004 - though wedged into Dec of 03.  Essentially those three dates are incorrect and missing.

You can try my new package quantmod (on CRAN) or from www.quantmod.com. Basically one function to download daily data from yahoo or google - getSymbols. Also can access Federal Reserve's FRED database.  

Still quite beta-like, but feedback is greatly desired (as to quality and future direction.)

Jeff Ryan

Sent via BlackBerry from T-Mobile

-----Original Message-----
From: Nathan Bryant <nbryant at optonline.net>

Date: Tue, 04 Sep 2007 18:24:31 
To:jefe goode <jefe_goode at yahoo.com>
Cc:r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] get.hist.quote() and Yahoo

jefe goode wrote:
> Hi 
> I am using get.hist.quote() to download data from
> Yahoo. But there are problems.
> 1) Many tickers eg III.L download cleanly with 100% of
> the timeseries OK.
> 2) But for others eg HMSO.L the timeseries truncates
> at 10-Aug for some reason. (should be data to today)
> 3) for yet others there are missing elements in the
> timeseries
There are bigger problems than this. You can't rely on Yahoo's "Adjusted 
Close" column. The formula they use to adjust for splits and dividends 
is wrong, so I'm told. Occasionally I've even seen them load their 
previously buggered "adjusted close" data into their "close" column, 
when reloading their database. This seems to only occur for certain 
ticker symbols and is probably a case of operator error...

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