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⚠️ Package BatchGetSymbols is soft-deprecated in favor of yfR. See this Readme.md for my motivation in writing a new R package. In practice, this means that BatchGetSymbols is no longer maintained besides the correction of major bugs. All efforts goes to the development of yfR. While BatchGetSymbols will be be available in CRAN in the near future, my plan is to remove it from CRAN and archive it in Github once yfR becames more stable.

Motivation

CRAN Status Badge CRAN Total Downloads

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.