Import Market Data from the Internet

Description

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

Key statistics data from finance.yahoo.com:

The functions downloads the key statistics for the specified equity query and returns the result as a two column data frame. The key names included are: "Market Cap", "Enterprise Value", "Trailing P/E", "Forward P/E", "PEG Ratio", "Price/Sales", "Price/Book", "Enterprise Value/Revenue", "Enterprise Value/EBITDA", "Annual Dividend", "Dividend Yield", "Beta", "52-Week Change", "52-Week High", and "52-Week Low".

Value

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

The function keystatsImport returns an S3 object of class keystsats with two entries: $query holds the query name, and keystats holds the dataframe with the statistical values.

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.

Author(s)

Diethelm Wuertz for the Rmetrics R-port.

Examples

## Not run: 
## SOURCE("fBasics.12A-TimeSeriesData")

## economagicImport -
   xmpBasics("\nStart: Daily Foreign Exchange Rates > ")
   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 -
   xmpBasics("\nNext: USFEDFUNDS Monthly US FedFunds Rates > ")
   USFEDFUNDS = economagicImport(query = "fedstl/fedfunds+2", 
     frequency = "monthly", colname = "USFEDFUNDS")
   if (!is.null(USFEDFUNDS)) print(USFEDFUNDS@data[1:20, ])
   
## economagicImport -
   xmpBasics("\nNext: USDGNP Quarterly GNP Data Records > ")
   USGNP = economagicImport(query = "fedstl/gnp", 
     frequency = "quarterly", colname = "USGNP")
   if(!is.null(USGNP)) print(USGNP@data[1:20, ])  
     
## yahooImport -
   xmpBasics("\nNext: IBM Shares from Yahoo > ")
   # [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, ])
   
## keystatsImport -
   xmpBasics("\nNext: Key Statistics IBM Shares from Yahoo > ")  
   keystatsImport("IBM")  
   
## fredImport -
   xmpBasics("\nNext: DPRIME Daily Bank Prime Load Rate Records > ")
   DPRIME = fredImport("DPRIME")
   if (!is.null(DPRIME)) print(DPRIME@data[1:20, ])       
## End(Not run)