[R-SIG-Finance] Interaction with Alpha Vantage?

[Sal Abbasi]

I’ve been using them for EOD prices for several months for US and European equities.  In a few cases, I’ve noticed some EOD prices for T-1, T-2 that change on T.  Apart from this, I have not found a better alternative that is free and also adjusted for dividends and splits.

Best,

Sal

> On Nov 6, 2017, at 12:37 PM, Duncan Murdoch <murdoch.duncan at gmail.com> wrote:
> 
> On 06/11/2017 10:41 AM, Dirk Eddelbuettel wrote:
>> Credit where credit is due---the 'tidyquant' folks first mentioned it, but it
>> in the fullest and most glorious tradition of the tibbliesverse require half
>> a dozen or more other packages for not apparent reason.  So I followed up
>> with a quick tweet on Sep 5 about a one-liner not needing anything else
>> besides data.table: >
>>   https://twitter.com/eddelbuettel/status/905066349294219264
>> and cooked up a helper function in a so-far-unreleased package of personal
>> functions (this one is below) which I shared with at least Josh.  The larger
>> function added to quantmod is AFAIK contributed by Paul.
>> Now, as for interchaning with them: Nope. I too need ETFs, Canadian stocks
>> and whatnot for the little personal finance app I have had as a daily cronjob
>> since the 1990s (and been meaning to rewrite in R since then too as it is,
>> gasp, Perl -- see eg https://github.com/eddelbuettel/beancounter and other
>> online resources). It may now be time to rewrite this as the underlying
>> (Perl) data grabber Finance::YahooQuote is now dead due to Yahoo! walking
>> away from that API.  I have an unpublished R-based drop-in replacement for
>> just the data gathering ...
>> Anyway, alphavantage looks good.  We should test it some more.
> 
> I'm not so sure.  I haven't noticed any problems in their data (though I haven't done extensive testing), but in my opinion it is a bad sign if there's no way to contact them.
> 
> Duncan
> 
>> Dirk
>> ##' Fetch a real-time market data series from AlphaVantage
>> ##'
>> ##' Several optional parameters could be set, but are not currently.
>> ##' @title Retrieve real-time data from AlphaVantage
>> ##' @param sym Character string value for the ticker
>> ##' @param datatype Character string value for the supported type of data, currently one of
>> ##' \dQuote{intraday}, \dQuote{daily}, \dQuote{adjdaily}, \dQuote{weekly}, \dQuote{monthly}.
>> ##' @param outputsize Character string value, one of \dQuote{compact} or \dQuote{full}. Applies
>> ##' only daily or intraday data.
>> ##' @return A data.table object
>> ##' @author Dirk Eddelbuettel
>> alphavantage <- function(sym,
>>                          datatype=c("intraday", "daily", "adjdaily", "weekly", "monthly"),
>>                          outputsize=c("compact", "full")) {
>>     datatype <- match.arg(datatype)
>>     outputsize <- match.arg(outputsize)
>>     datatypeArg <- switch(datatype,
>>                           intraday = "TIME_SERIES_INTRADAY",
>>                           daily    = "TIME_SERIES_DAILY",
>>                           adjdaily = "TIME_SERIES_DAILY_ADJUSTED",
>>                           weekly   = "TIME_SERIES_WEEKLY",
>>                           monthly  = "TIME_SERIES_MONTHLY")
>>     cmd <- paste0("https://www.alphavantage.co/query?",
>>                   "function=", datatypeArg, "&",
>>                   "symbol=", sym, "&",
>>                   "interval=1min&",
>>                   "apikey=", getOption("alphavantageKey", "demo"), "&",
>>                   "datatype=csv&")
>>     if (datatype %in% c("intraday", "daily", "adjdaily")) {
>>         cmd <- paste0(cmd, "outputsize=", outputsize)
>>     }
>>     #print(cmd)
>>     data <- data.table::fread(cmd, showProgress=FALSE)
>> }
>> 
> 
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