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

[Sergio Correia]

About the Yahoo data, the summary page is ok but there is something
*wrong* with the historical data:

Summary: http://finance.yahoo.com/q?s=HMSO.L
Historical: http://finance.yahoo.com/q/hp?s=HMSO.L

I loaded the historical data and the last date was Aug 10, 2007. I
reloaded and now the last date is Aug 31, 2007. Strange indeed.

(Update, I just reloaded again and now the last date is 24-Aug-07 !!!)

About the adjusted close data.. is there a way to use the
dividend/split historical data to correctly generate the adjusted
close information? Anyone has more info about that?

Also, are there other sources available? I think google does not allow
downloading to CSV and doesn't have much data (SP500 index only since
2004).

I've been using python to download the data and interact with the DB,
but getSymbols seems very interesting, great job Jeff. I'll send you
my feedback.

Thanks,

Sergio

On 9/4/07, jeff.a.ryan at gmail.com <jeff.a.ryan at gmail.com> wrote:
> 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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