[R-SIG-Finance] yahoo dates
Achim.Zeileis at uibk.ac.at
Tue Jul 10 11:56:37 CEST 2012
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
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:
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> 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
In get.hist.quote("IBM") : first date duplicated, first instance omitted
> 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
> 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.
> 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
>>> 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?
>> 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.
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> R-SIG-Finance at r-project.org mailing list
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