Motivation

BatchGetSymbols is a R package for large-scale download of financial data from Yahoo Finance. Based on a set of tickers and date ranges, the package will download and organize the financial data in the tidy/long format.

Warnings

• Yahoo finance data is far from perfect or reliable, specially for individual stocks. In my experience, using it for research code with stock indices is fine and I can match it with other data sources. But, adjusted stock prices for individual assets is messy as stock events such as splits or dividends are not properly registered. I was never able to match it with other data sources. My advice is to never use the data of individual stocks in production.

• Since version 2.6, the cache system is session-persistent by default, meaning that whenever you restart your R session, you lose all your cached data. This is a safety feature for mismatching prices due to corporate events.

Main features:

• Organizes data in a tabular/long or wide format, returning prices and returns (arithmetic or logarithmic)
• A session-persistent cache system was implemented in version 2.0, meaning that the data is saved locally and only missing portions of the data are downloaded, if needed.
• All dates are compared to a benchmark ticker such as SP500 and, whenever an individual asset does not have a sufficient number of dates, the software drops it from the output. This means you can choose to ignore tickers with high number of missing dates.
• Allows the choice for the wide format, with tickers as columns
• Users can choose the frequency of the resulting dataset (daily, weekly, monthly, yearly)
• Option for parallel computing, speeding up the data importation process

Installation

# CRAN (official release)
install.packages('BatchGetSymbols')

# Github (dev version)
devtools::install_github('msperlin/BatchGetSymbols')

A simple example

See vignette.