[R-SIG-Finance] yahoo dates

[Achim Zeileis]

On Mon, 9 Jul 2012, G See wrote:

> FWIW, I download 33 fields from yahoo every night at 10 p.m. CDT using

I'm not sure but maybe that is still too early. The problem is real and 
occurs for me "now" (around 10:00 GMT), both for individual stocks and 
indexes:

R> library("quantmod")
R> getSymbols(c("^GSPC", "IBM"))
R> tail(GSPC, 3)
            GSPC.Open GSPC.High GSPC.Low GSPC.Close GSPC.Volume GSPC.Adjusted
2012-07-06   1367.09   1367.09  1348.03    1354.68  2745140000       1354.68
2012-07-09   1354.66   1354.87  1346.65    1352.51   399252300       1352.46
2012-07-09   1354.66   1354.87  1346.65    1352.46  2904860000       1352.46
R> tail(IBM, 3)
            IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
2012-07-06   193.92   193.94  189.74    191.41    4952900       191.41
2012-07-09   190.66   191.00  188.05    189.65    3569800       189.67
2012-07-09   190.76   191.00  188.05    189.67    3988100       189.67

Note the last line in both cases, especially the volume. The same is 
visible, of course, at the Yahoo! Finance site:

http://finance.yahoo.com/q/hp?s=^GSPC+Historical+Prices
http://finance.yahoo.com/q/hp?s=IBM+Historical+Prices

Users of Yahoo! Finance also complained about this in the user forum. But 
as nobody could offer a good explanation for this, we implemented a patch 
in tseries' get.hist.quote() that omits the last observation in case its 
date is dupblicated:

R> library("tseries")
R> tail(get.hist.quote("IBM"), 3)
              Open   High    Low  Close
2012-07-05 194.88 196.85 193.63 195.29
2012-07-06 193.92 193.94 189.74 191.41
2012-07-09 190.76 191.00 188.05 189.67
Warning message:
In get.hist.quote("IBM") : first date duplicated, first instance omitted

Best,
Z

> quantmod::getQuote, and the prices and volumes (and everything else
> except 50-day MA, 200-day MA and Ave. Daily Volume) reported by
> getQuote at 10 p.m. CDT on 2012-07-03 were the same as those reported
> at 10 p.m. CDT on 2012-07-04
>
> I only download data for stocks (not stock indexes), but using SPY as
> an example, the Volume as reported by getQuote was 80450168 on both
> dates.  If I use getSymbols now, it tells me that the volume was
> 80450000 (i.e. the same, but rounded).
>
> getQuote reported the same volume on both days for all of the roughly
> 7500 stocks and ETFs that are listed in the U.S. for which I collect
> data.
>
> So, at least for stocks, the extra volume never showed up using
> getQuote.  But, since I wasn't downloading data for indexes, I can't
> say whether it would have shown up there.
>
> Regards,
> Garrett
>
> On Thu, Jul 5, 2012 at 4:47 PM, Motley Fool <motleyfool at dawgstar.org> wrote:
>> On Thu, Jul 5, 2012 at 11:33 AM, Paul Gilbert <pgilbert902 at gmail.com> wrote:
>>> Occasionally this week it seems that yahoo is using the previous day's date
>> SNIP
>>>
>>> Does anyone know what is going on at yahoo?  What is the convention at other
>>> data suppliers for adjustment data on holidays, or are these  real prices
>>> and volume that occurred after July 3?
>>>
>>> Paul
>>
>> Paul
>>
>> I saw this start Tueday, the closing $amount for the previous day is
>> the same, but
>> the volume is different.  I've used Yahoo data though Holiday periods
>> before and
>> this is the first time I've seen this happen.
>>
>> diana
>>
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