[R-SIG-Finance] R-SIG-Finance Digest, Vol 59, Issue 10
Rosenthal, Dale W.R.
daler at uic.edu
Sat Apr 11 16:18:19 CEST 2009
This has been a problem with Yahoo data for years. They usually will
return data from your start date; but, the data ends at a random date
before your specified stop date.
My (crude, imperfect) solution was to try multiple times (4-5) and then
toss an exception if that didn't work. I then made a second pass of
exceptions and then cleaned up the last handful by hand.
> Message: 4
> Date: Fri, 10 Apr 2009 09:10:36 -0700 (PDT)
> From: Andy Zhu <andyzhu35 at yahoo.com>
> Subject: [R-SIG-Finance] yahoo historical data quality
> To: r-sig-finance at stat.math.ethz.ch
> Message-ID: <673291.11345.qm at web56207.mail.re3.yahoo.com>
> Content-Type: text/plain
> Encountered problem with historical price, missing data from
> yahoo/finance. Here is an example: ticker = 'ATML', dates =
> c('2000-08-28', '2000-08-29') (Mon and Tue). Yahoo doesn't show data for
> these two dates so Quantmod simply doesn't pick them up with Yahoo.
> However, when I check with Google/finance, it does show up data for these
> 2 dates. How do you guys handle these missing data in a systematical way?
> do you have any information of how to communicate with Yahoo person?
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