Import Market Data from the Internet

Description

A collection and description of functions to import financial and economic market data from the Internet. Download functions are available for economic and financial market data from Economagic's, from Yahoo's, from the Federal Reserve's, and from the the forecasts.org Internet sites.

The functions are:

Usage

economagicImport(query, file = "tempfile", 
    source = "http://www.economagic.com/em-cgi/data.exe/",  
    frequency = c("quarterly", "monthly", "daily"), save = FALSE, 
    colname = "VALUE", try = TRUE)  
yahooImport(query, file = "tempfile", 
    source = "http://chart.yahoo.com/table.csv?", save = FALSE,
    sep = ";", swap = 20, try = TRUE)
keystatsImport(query, file = "tempfile", 
    source = "http://finance.yahoo.com/q/ks?s=", save = FALSE, 
    try = TRUE) 
fredImport(query, file = "tempfile", 
    source = "http://research.stlouisfed.org/fred2/series/", 
    frequency = "daily", save = FALSE, sep = ";", try = TRUE) 
forecastsImport(query, file = "tempfile", 
    source = "http://www.forecasts.org/data/data/", save = FALSE, 
    try = TRUE) 
    
yahooSeries(symbols = c("^DJI", "IBM"), from = NULL, to = NULL, 
    nDaysBack = 365, quote = c("Open", "High", "Low", "Close", "Volume"), 
    aggregation = c("d", "w", "m"), returnClass = c("timeSeries", "ts", 
    "matrix", "data.frame"), getReturns = FALSE, ...)
        
show.fWEBDATA(object)
## S3 method for class 'keystats':
print(x, ...)

Arguments

Details

Import data from www.economagic.com

Frequently requested data files from Economagic for the US economy include:

Import data from chart.yahoo.com:

The query string is given as

s=SYMBOL&a=DD&b=MM&c=CCYY&g=d&q=q&z=SYMBOL&x=.csv

where SYMBOL has to replaced by the symbol name of the instrument, and DD, MM, and CCYY by the day, month-1 and century/year when the time series should start.

Here are some examples of symbols:

The meaning of the tokens in the query string are the following:

Note, that month tokens range between 0 and 11 for January to December!

Value

The functions economagicImport, fredImport, and yahooImport return an S4 object of class fWEBDATA with the following slots:

The function yahooSeries returns by default an S4 object of class timeSeries or alternatively an object specified by the function argument returnClass.

Note

Internet Download:

Note, that if the service provider changes the data file format it may become necessary to modify and update the functions.
The R package tseries from Adrian Trapletti offers an alternative function to download stock market data and indexes from Yahoo's Internet site.

Functions added to Splus Version:

These functions are only used when running Rmetrics under SPlus. Note, that only part of the functionality is supported which is required running these R functions for Rmetrics under Splus.

Author(s)

Diethelm Wuertz for the Rmetrics R-port.

Examples

## Not run: 
## SOURCE("fcALENDAR.6A-TimeSeriesImport")

## economagicImport -
   USDEUR = economagicImport(query = "fedny/day-fxus2eu", 
     frequency = "daily", colname = "USDEUR")
   # Print Data Slot if Internet Download was Successful:
   if (!is.null(USDEUR)) print(USDEUR@data[1:20, ])

## economagicImport -
   USFEDFUNDS = economagicImport(query = "fedstl/fedfunds+2", 
     frequency = "monthly", colname = "USFEDFUNDS")
   if (!is.null(USFEDFUNDS)) print(USFEDFUNDS@data[1:20, ])
   
## economagicImport -
   USGNP = economagicImport(query = "fedstl/gnp", 
     frequency = "quarterly", colname = "USGNP")
   if(!is.null(USGNP)) print(USGNP@data[1:20, ])  
     
## yahooImport -
   # [test 19/20 century change 01-12-1999 -- 31-01-2000]
   query = "s=IBM&a=11&b=1&c=1999&d=0&q=31&f=2000&z=IBM&x=.csv"
   IBM = yahooImport(query)  
   if (!is.null(IBM)) print(IBM@data[1:20, ]) 
   
## fredImport -
   DPRIME = fredImport("DPRIME")
   if (!is.null(DPRIME)) print(DPRIME@data[1:20, ])       
## End(Not run)