Summarizing:
- google provides an other source of adjusted data, whose quality remains to
be proven
- there is a simple way to merge the data so that they are compatible, this
is great I was planning to do the same, but it would probably not have been
as elegant as Josh approach.  I am pretty new to time series, so I was
looking into some looping constructs.

On Mon, Nov 17, 2008 at 9:16 AM, Josh Ulrich <josh.m.ulrich@gmail.com>wrote:

> Hi Marc,
>
> The adjustment algorithm will be separate from getYahooData in the
> next release of TTR.  Then you'll be able to adjust data and pull data
> using whichever function you prefer.
>
> This is what I would do, though I'm not sure it's the most
> correct/robust way to handle this issue.
>
> aapl <- getYahooData("AAPl", 19910101, 20080101, quiet=TRUE)
> genz <- getYahooData("GENZ", 19910101, 20080101, quiet=TRUE)
> aapl <- xts(aapl[,-1],aapl[,1])
> genz <- xts(genz[,-1],genz[,1])
>
> both <- merge(aapl,genz,all=FALSE)
>
> The all=FALSE arg removes any rows that don't appear in both objects,
> giving you compatible series.
>
> HTH,
> Josh
> --
> http://quantemplation.blogspot.com
>
>
>
> On Mon, Nov 17, 2008 at 10:38 AM, Marc Delvaux <mdelvaux@gmail.com> wrote:
> > I am trying to get historical quotes from Yahoo.  Ideally I want high
> > quality split and dividend adjusted close prices for a set of stocks.
> > My history so far:
> > - I started with yahooSeries in pacjage fImport.  This would be ideal,
> > but it does look like the series is for non adjusted data.  I didn't
> > find any function to adjust the serires yet, is there any.
> > - I then used getYahooData in package TTR.  This has the split
> > adjusted values I want, but it seems that the returned data series
> > don't always have the same dates present.  The series are OK for the
> > near past, up to about 1600 points, but some series become
> > incompatible later on.  A quick illustration of the problem is shown
> > below, but many series are affected in that way.  Anybody that already
> > faced that problem and came with a solution to get compatible series?
> > It is not a real problem if you are using only one series, but is a
> > serious problems when comparing series.
> >
> >> aapl <- getYahooData("AAPl", 19910101, 20080101)
> > End date out of range, 2007-12-31 is last available date.
> > Start date out of range, 1991-01-02 is first available date.
> >> genz <- getYahooData("genz", 19910101, 20080101)
> > End date out of range, 2007-12-31 is last available date.
> > Start date out of range, 1991-01-02 is first available date.  << GENZ
> > and AAPL report same start and end date
> >> dim(genz)
> > [1] 4279   10
> >> dim(aapl)
> > [1] 4285   10   << but different number of samples
> >
> > After some manipulations, including reverting the time order
> >
> >> aapl[1488:1490,]
> >          Date  Open   High    Low  Close   Volume Unadj.Close Div Split
> Adj.Div
> > 523 2002-02-04 12.16 12.760 12.100 12.675 18656200       25.35  NA    NA
>      NA
> > 522 2002-02-01 12.17 12.480 12.170 12.205 14225200       24.41  NA    NA
>      NA
> > 521 2002-01-31 12.08 12.365 12.055 12.360 16730200       24.72  NA    NA
>      NA
> >> genz[1488:1490,]
> >          Date  Open  High   Low Close   Volume Unadj.Close Div Split
> Adj.Div
> > 517 2002-02-04 46.45 46.50 43.30 44.04  5297000       44.04  NA    NA
> >    NA  << where is 2002-02-01 ?
> > 516 2002-01-31 44.70 46.49 44.22 45.61  4983100       45.61  NA    NA
>  NA
> > 515 2002-01-30 45.89 46.00 40.69 44.46 13818300       44.46  NA    NA
>  NA
> >
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