[R-SIG-Finance] Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

James Hirschorn j@me@@h|r@chorn @end|ng |rom qu@nt|t@t|ve-techno|og|e@@com
Fri Apr 5 05:33:39 CEST 2019

I looked into IQFeed for intraday stock data, and unfortunately they only
provide historical 1-minute data for stocks that are currently traded. This
is not good enough for one of the strategies I'm working on.

I am looking into other alternatives and will post my findings in this

Please let me know if you have other suggestions for historical intraday
stock data covering the S&P 500.

James Hirschorn, Ph.D.
*Quantitative Technologies*
Toronto, Canada

On Thu, Apr 4, 2019 at 5:31 AM Brian G. Peterson <brian using braverock.com>

> quantmod supports multiple data sources, both paid and free.
> The documentation is installed with the package or you can find a pdf here:
> https://cran.r-project.org/web/packages/quantmod/quantmod.pdf
> The code is here:
> https://github.com/joshuaulrich/quantmod/blob/master/R/getSymbols.R
> For free daily data sources, I usually use Tiingo or Quandl in my public
> talks.  These certainly have US equities and ETF's.
> Especially for intraday data, expect to have to pay for it.  We have had
> good luck with IQFeed on the low end of the cost scale. I am not aware
> of a simple online source for historical options data.  Also, check if
> your broker has an API.  e.g. Interactive Brokers(IB), TD Ameritrade,
> and Fidelity (at least) all have programmatic ways of retrieving data.
> IB has an R package, as does Quandl.
> For CSV data sources that would be downloaded from online, you can bring
> them directly into R without having to go through the intermediary step
> of saving the file to your local disk. R's data functions can use a url
> as a handle to open a data stream (this is how quantmod's downloaders
> work, see the code above).
> Regards,
> Brian
> On 4/3/19 10:08 PM, H wrote:
> > I am relatively new to analyzing financial data but have some experience
> with R. I understand that the data available from Yahoo Finance via its API
> is often questionable in quality and Google Finance is no longer available.
> >
> > Although Googling pointed me to some other sources such as Quandl etc.,
> I am curious which other data sources quantmod itself supports for data
> retrieval, ie via an API, not via downloading and importing CSV-files?
> >
> > My interest is really US equities, stock options and ETFs - if possible
> from the same data source...
> >
> > Pointers to favorite data sources appreciated!
> >
> > Thank you.
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