[R-SIG-Finance] high frequency data

zubin binabina at bellsouth.net
Sun Jul 19 02:12:53 CEST 2009


hello, using R for some high frequency research. 

-loading data using getSymbols method, but see no options for fetching a 
current data query in 1 minute increments, looks like day is lowest 
level.   Maybe back 100 minutes or such, with the ability to split by 
Premarket, active, post market trading.  Google does provide this real 
time data, i notice it when i get a quote at google before 9:30AM and 
after 4:00PM.   Google also seems to provide real time pricing that 
reconciles pretty well to other feeds i see. 

-which vendor (google or yahoo) provide split adjusted data:  example 
test with symbol (FAS, it recently split) both do not using 
getSymbols('FAS') or getSymbols('FAS',src='google')

basically my question, before I write this code, does this feature exist 
already in a package? 


thx



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