Historical Data

A new release of quantmod is now on CRAN! The only change was to address changes to Yahoo! Finance and their effects on getSymbols.yahoo().  GitHub issue #157 contains some details about the fix implementation.

Unfortunately, the URL wasn’t the only thing that changed.  The actual data available for download changed as well.

The most noticeable difference is that the adjusted close column is no longer dividend-adjusted (i.e. it’s only split-adjusted).  Also, only the close price is unadjusted; the open, high, and low are split-adjusted.

I assume that you’re reading this because you are one of many people who were affected by the changes to Yahoo Finance data in May (2017).  Not only did the URL change, but the actual data changed as well!

The most noticeable difference is that the adjusted close column is now only split-adjusted, whereas it used to be split- and dividend-adjusted.  Another oddity is that only the close prices is unadjusted (strangely, the open, high, and low are split-adjusted).

Josh had kindly invited me to post on FOSS Trading around the time when he first came up with the idea for the blog. Fast forward a year and I am finally taking him up on his offer.

I’ll start by highlighting that while all the software in this post is indeed free (true to FOSS), an account with Interactive Brokers is needed to make use of it. For those not familiar with IB, they offer a trading platform that excels on numerous fronts but is most appealing to those of us who trade algorithmically. IB makes available a rather comprehensive API that makes data access and trade execution entirely possible programmatically via a handful of “supported” languages. These include Java (the language of the platform), C#, VBA and even Excel. The also have a POSIX compliant C++ version for those who enjoy C++ but dislike Windows.