[R-SIG-Finance] Quotes yahoo fin -> db > R > results

Dirk Eddelbuettel edd at debian.org
Wed Jun 29 18:00:08 CEST 2011

On 29 June 2011 at 16:45, Fabian Lorenz wrote:
| I'm trying to collect data automatically from yahoo finance to a mysql or
| postgresql  for further R data process.
| Anybody knows how about?

I can help with the first part in a fully automated fashion, see


Key features:

 - automated setup for either MySQL, Postgresql, SQLite or ODBC: creates the
   schema, loads sample data etc (but you still need to take care of the
   backend and things like ODBC drivers)

 - cross-platform for Windows, OS X, Linux

 - Written in Perl, mostly around 1999 to 2001; I still maintain it in the
   sense of fixing bugs, I have not added features in years

 - I (and others) use it for automated data download given a portfolio; for
   me it then creates a daily email with daily PNL and Risk Estimates for my
   little retail portfolios; "growing" the time series database is a (nice
   and desired) side-effect

 - Can also backpopulate for assets where Yahoo offers history (ie most
   stocks, no options, no fx)

 - Is used as a backend for some (non-R) charting software

I have been meaning to 

  a) rewrite it in R and/or 

  b) write R analysis modules

but I have a "writer's block" as I know so much that could be done leveraging
things like PortfolioAnalytics and PerformanceAnalytics that I still haven't
done it yet.  Would make a great student project for an investment analysis
with R class ...

Hope this helps, feel free to ping me off-list if interested.


Gauss once played himself in a zero-sum game and won $50.
                      -- #11 at http://www.gaussfacts.com

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