Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

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H-2
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Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

H-2
I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available.

Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files?

My interest is really US equities, stock options and ETFs - if possible from the same data source...

Pointers to favorite data sources appreciated!

Thank you.

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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

Lars Nygaard
I have quite good experience with this website: https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/>
You have to pay some money but its quite good in my opinion.

> On 4 Apr 2019, at 05:08, H <[hidden email]> wrote:
>
> I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available.
>
> Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files?
>
> My interest is really US equities, stock options and ETFs - if possible from the same data source...
>
> Pointers to favorite data sources appreciated!
>
> Thank you.
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.


        [[alternative HTML version deleted]]

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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

Mario-2
In reply to this post by H-2


https://iextrading.com/trading/market-data/

https://www.barchart.com




> El 4 abr 2019, a las 5:08, H <[hidden email]> escribió:
>
> I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available.
>
> Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files?
>
> My interest is really US equities, stock options and ETFs - if possible from the same data source...
>
> Pointers to favorite data sources appreciated!
>
> Thank you.
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.

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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

Siegfried Köstlmeier
In reply to this post by H-2
A list of data sources for financial and economic data available online
is posted on Quantitative Finance Stack Exchange here:

https://quant.stackexchange.com/a/168/29318

Am 04.04.19 um 05:08 schrieb H:

> I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available.
>
> Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files?
>
> My interest is really US equities, stock options and ETFs - if possible from the same data source...
>
> Pointers to favorite data sources appreciated!
>
> Thank you.
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.

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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

braverock
In reply to this post by H-2
quantmod supports multiple data sources, both paid and free.

The documentation is installed with the package or you can find a pdf here:
https://cran.r-project.org/web/packages/quantmod/quantmod.pdf

The code is here:
https://github.com/joshuaulrich/quantmod/blob/master/R/getSymbols.R

For free daily data sources, I usually use Tiingo or Quandl in my public
talks.  These certainly have US equities and ETF's.

Especially for intraday data, expect to have to pay for it.  We have had
good luck with IQFeed on the low end of the cost scale. I am not aware
of a simple online source for historical options data.  Also, check if
your broker has an API.  e.g. Interactive Brokers(IB), TD Ameritrade,
and Fidelity (at least) all have programmatic ways of retrieving data.

IB has an R package, as does Quandl.

For CSV data sources that would be downloaded from online, you can bring
them directly into R without having to go through the intermediary step
of saving the file to your local disk. R's data functions can use a url
as a handle to open a data stream (this is how quantmod's downloaders
work, see the code above).

Regards,

Brian

On 4/3/19 10:08 PM, H wrote:
> I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available.
>
> Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files?
>
> My interest is really US equities, stock options and ETFs - if possible from the same data source...
>
> Pointers to favorite data sources appreciated!
>
> Thank you.

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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

Joshua Ulrich
In reply to this post by Lars Nygaard
On Wed, Apr 3, 2019 at 11:37 PM Lars Nygaard <[hidden email]> wrote:
>
> I have quite good experience with this website: https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/>
> You have to pay some money but its quite good in my opinion.
>
There's no need to pay for this data.  You can get the same data for
free from tiingo.com.  You only need to sign up to get an API key.

> > On 4 Apr 2019, at 05:08, H <[hidden email]> wrote:
> >
> > I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available.
> >
> > Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files?
> >
> > My interest is really US equities, stock options and ETFs - if possible from the same data source...
> >
> > Pointers to favorite data sources appreciated!
> >
> > Thank you.
> >
> >       [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > [hidden email] mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R questions should go.
>
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
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> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.



--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com
R/Finance 2019 | www.rinfinance.com

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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

Lars Nygaard
Yes for US stocks tiingo.com is good. I use eodhistoricaldata.com <http://eodhistoricaldata.com/> because i need also other markets in Europe.

> On 4 Apr 2019, at 13:23, Joshua Ulrich <[hidden email]> wrote:
>
> On Wed, Apr 3, 2019 at 11:37 PM Lars Nygaard <[hidden email] <mailto:[hidden email]>> wrote:
>>
>> I have quite good experience with this website: https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/> <https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/>>
>> You have to pay some money but its quite good in my opinion.
>>
> There's no need to pay for this data.  You can get the same data for
> free from tiingo.com <http://tiingo.com/>.  You only need to sign up to get an API key.
>
>>> On 4 Apr 2019, at 05:08, H <[hidden email]> wrote:
>>>
>>> I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available.
>>>
>>> Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files?
>>>
>>> My interest is really US equities, stock options and ETFs - if possible from the same data source...
>>>
>>> Pointers to favorite data sources appreciated!
>>>
>>> Thank you.
>>>
>>>      [[alternative HTML version deleted]]
>>>
>>> _______________________________________________
>>> [hidden email] mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>> -- Also note that this is not the r-help list where general R questions should go.
>>
>>
>>        [[alternative HTML version deleted]]
>>
>> _______________________________________________
>> [hidden email] <mailto:[hidden email]> mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance <https://stat.ethz.ch/mailman/listinfo/r-sig-finance>
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions should go.
>
>
>
> --
> Joshua Ulrich  |  about.me/joshuaulrich <http://about.me/joshuaulrich>
> FOSS Trading  |  www.fosstrading.com <http://www.fosstrading.com/>
> R/Finance 2019 | www.rinfinance.com <http://www.rinfinance.com/>

        [[alternative HTML version deleted]]

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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

Mark McClellan
How about breadth data? Can't find the symbols for advance declines on
Yahoo.

Mark

On Thu, Apr 4, 2019, 6:49 AM Lars Nygaard <[hidden email]> wrote:

> Yes for US stocks tiingo.com is good. I use eodhistoricaldata.com <
> http://eodhistoricaldata.com/> because i need also other markets in
> Europe.
>
> > On 4 Apr 2019, at 13:23, Joshua Ulrich <[hidden email]> wrote:
> >
> > On Wed, Apr 3, 2019 at 11:37 PM Lars Nygaard <[hidden email]
> <mailto:[hidden email]>> wrote:
> >>
> >> I have quite good experience with this website:
> https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/> <
> https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/>>
> >> You have to pay some money but its quite good in my opinion.
> >>
> > There's no need to pay for this data.  You can get the same data for
> > free from tiingo.com <http://tiingo.com/>.  You only need to sign up to
> get an API key.
> >
> >>> On 4 Apr 2019, at 05:08, H <[hidden email]> wrote:
> >>>
> >>> I am relatively new to analyzing financial data but have some
> experience with R. I understand that the data available from Yahoo Finance
> via its API is often questionable in quality and Google Finance is no
> longer available.
> >>>
> >>> Although Googling pointed me to some other sources such as Quandl
> etc., I am curious which other data sources quantmod itself supports for
> data retrieval, ie via an API, not via downloading and importing CSV-files?
> >>>
> >>> My interest is really US equities, stock options and ETFs - if
> possible from the same data source...
> >>>
> >>> Pointers to favorite data sources appreciated!
> >>>
> >>> Thank you.
> >>>
> >>>      [[alternative HTML version deleted]]
> >>>
> >>> _______________________________________________
> >>> [hidden email] mailing list
> >>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> >>> -- Subscriber-posting only. If you want to post, subscribe first.
> >>> -- Also note that this is not the r-help list where general R
> questions should go.
> >>
> >>
> >>        [[alternative HTML version deleted]]
> >>
> >> _______________________________________________
> >> [hidden email] <mailto:[hidden email]>
> mailing list
> >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance <
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance>
> >> -- Subscriber-posting only. If you want to post, subscribe first.
> >> -- Also note that this is not the r-help list where general R questions
> should go.
> >
> >
> >
> > --
> > Joshua Ulrich  |  about.me/joshuaulrich <http://about.me/joshuaulrich>
> > FOSS Trading  |  www.fosstrading.com <http://www.fosstrading.com/>
> > R/Finance 2019 | www.rinfinance.com <http://www.rinfinance.com/>
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
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> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

        [[alternative HTML version deleted]]

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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

Rmetrics mailing list
 Quantgo is also an option i.e. rent of survivorship bias-free data rather than buyhttps://www.quantgo.com/Discussion on rent vs buy.Rent, don’t buy, data: our experience with QuantGo (Guest Post)

|
|
|  |
Rent, don’t buy, data: our experience with QuantGo (Guest Post)

By Roger Hunter I am a quant researcher and developer for QTS Partners, a commodity pool Ernie (author of this...
 |

 |

 |


Anil
    On Thursday, April 4, 2019, 7:59:21 AM EDT, Mark McClellan <[hidden email]> wrote:  
 
 How about breadth data? Can't find the symbols for advance declines on
Yahoo.

Mark

On Thu, Apr 4, 2019, 6:49 AM Lars Nygaard <[hidden email]> wrote:

> Yes for US stocks tiingo.com is good. I use eodhistoricaldata.com <
> http://eodhistoricaldata.com/> because i need also other markets in
> Europe.
>
> > On 4 Apr 2019, at 13:23, Joshua Ulrich <[hidden email]> wrote:
> >
> > On Wed, Apr 3, 2019 at 11:37 PM Lars Nygaard <[hidden email]
> <mailto:[hidden email]>> wrote:
> >>
> >> I have quite good experience with this website:
> https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/> <
> https://eodhistoricaldata.com/ <https://eodhistoricaldata.com/>>
> >> You have to pay some money but its quite good in my opinion.
> >>
> > There's no need to pay for this data.  You can get the same data for
> > free from tiingo.com <http://tiingo.com/>.  You only need to sign up to
> get an API key.
> >
> >>> On 4 Apr 2019, at 05:08, H <[hidden email]> wrote:
> >>>
> >>> I am relatively new to analyzing financial data but have some
> experience with R. I understand that the data available from Yahoo Finance
> via its API is often questionable in quality and Google Finance is no
> longer available.
> >>>
> >>> Although Googling pointed me to some other sources such as Quandl
> etc., I am curious which other data sources quantmod itself supports for
> data retrieval, ie via an API, not via downloading and importing CSV-files?
> >>>
> >>> My interest is really US equities, stock options and ETFs - if
> possible from the same data source...
> >>>
> >>> Pointers to favorite data sources appreciated!
> >>>
> >>> Thank you.
> >>>
> >>>      [[alternative HTML version deleted]]
> >>>
> >>> _______________________________________________
> >>> [hidden email] mailing list
> >>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> >>> -- Subscriber-posting only. If you want to post, subscribe first.
> >>> -- Also note that this is not the r-help list where general R
> questions should go.
> >>
> >>
> >>        [[alternative HTML version deleted]]
> >>
> >> _______________________________________________
> >> [hidden email] <mailto:[hidden email]>
> mailing list
> >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance <
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance>
> >> -- Subscriber-posting only. If you want to post, subscribe first.
> >> -- Also note that this is not the r-help list where general R questions
> should go.
> >
> >
> >
> > --
> > Joshua Ulrich  |  about.me/joshuaulrich <http://about.me/joshuaulrich>
> > FOSS Trading  |  www.fosstrading.com <http://www.fosstrading.com/>
> > R/Finance 2019 | www.rinfinance.com <http://www.rinfinance.com/>
>
>        [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

    [[alternative HTML version deleted]]

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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

Daniel Cegiełka
In reply to this post by braverock


> On 4 Apr 2019, at 11:31, Brian G. Peterson <[hidden email]> wrote:
>
> quantmod supports multiple data sources, both paid and free.
>
> The documentation is installed with the package or you can find a pdf here:
> https://cran.r-project.org/web/packages/quantmod/quantmod.pdf
>
> The code is here:
> https://github.com/joshuaulrich/quantmod/blob/master/R/getSymbols.R
>
> For free daily data sources, I usually use Tiingo or Quandl in my public talks.  These certainly have US equities and ETF's.
>
> Especially for intraday data, expect to have to pay for it.  We have had good luck with IQFeed on the low end of the cost scale. I am not aware of a simple online source for historical options data.  Also, check if your broker has an API.  e.g. Interactive Brokers(IB), TD Ameritrade, and Fidelity (at least) all have programmatic ways of retrieving data.
>
There is also ActiveTick. They have options. The prices depend on the number of subscribed instruments. Their API also works on Linux.

https://www.activetick.com/activetick/contents/MarketDataServicesPricing.aspx

https://www.activetick.com/activetick/contents/MarketDataServicesDevelopers.aspx

Best regards,
Daniel


> IB has an R package, as does Quandl.
>
> For CSV data sources that would be downloaded from online, you can bring them directly into R without having to go through the intermediary step of saving the file to your local disk. R's data functions can use a url as a handle to open a data stream (this is how quantmod's downloaders work, see the code above).
>
> Regards,
>
> Brian


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H-2
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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

H-2
In reply to this post by braverock
On 04/04/2019 05:31 AM, Brian G. Peterson wrote:

> quantmod supports multiple data sources, both paid and free.
>
> The documentation is installed with the package or you can find a pdf here:
> https://cran.r-project.org/web/packages/quantmod/quantmod.pdf
>
> The code is here:
> https://github.com/joshuaulrich/quantmod/blob/master/R/getSymbols.R
>
> For free daily data sources, I usually use Tiingo or Quandl in my public talks.  These certainly have US equities and ETF's.
>
> Especially for intraday data, expect to have to pay for it.  We have had good luck with IQFeed on the low end of the cost scale. I am not aware of a simple online source for historical options data.  Also, check if your broker has an API.  e.g. Interactive Brokers(IB), TD Ameritrade, and Fidelity (at least) all have programmatic ways of retrieving data.
>
> IB has an R package, as does Quandl.
>
> For CSV data sources that would be downloaded from online, you can bring them directly into R without having to go through the intermediary step of saving the file to your local disk. R's data functions can use a url as a handle to open a data stream (this is how quantmod's downloaders work, see the code above).
>
> Regards,
>
> Brian
>
> On 4/3/19 10:08 PM, H wrote:
>> I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available.
>>
>> Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files?
>>
>> My interest is really US equities, stock options and ETFs - if possible from the same data source...
>>
>> Pointers to favorite data sources appreciated!
>>
>> Thank you.
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.

Thank you. I have not reviewed the code but did not find a mention of any other data source besides Yahoo in the PDF-file but it is possible I missed it?

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H-2
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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

H-2
On 04/04/2019 09:22 PM, H wrote:

> On 04/04/2019 05:31 AM, Brian G. Peterson wrote:
>> quantmod supports multiple data sources, both paid and free.
>>
>> The documentation is installed with the package or you can find a pdf here:
>> https://cran.r-project.org/web/packages/quantmod/quantmod.pdf
>>
>> The code is here:
>> https://github.com/joshuaulrich/quantmod/blob/master/R/getSymbols.R
>>
>> For free daily data sources, I usually use Tiingo or Quandl in my public talks.  These certainly have US equities and ETF's.
>>
>> Especially for intraday data, expect to have to pay for it.  We have had good luck with IQFeed on the low end of the cost scale. I am not aware of a simple online source for historical options data.  Also, check if your broker has an API.  e.g. Interactive Brokers(IB), TD Ameritrade, and Fidelity (at least) all have programmatic ways of retrieving data.
>>
>> IB has an R package, as does Quandl.
>>
>> For CSV data sources that would be downloaded from online, you can bring them directly into R without having to go through the intermediary step of saving the file to your local disk. R's data functions can use a url as a handle to open a data stream (this is how quantmod's downloaders work, see the code above).
>>
>> Regards,
>>
>> Brian
>>
>> On 4/3/19 10:08 PM, H wrote:
>>> I am relatively new to analyzing financial data but have some experience with R. I understand that the data available from Yahoo Finance via its API is often questionable in quality and Google Finance is no longer available.
>>>
>>> Although Googling pointed me to some other sources such as Quandl etc., I am curious which other data sources quantmod itself supports for data retrieval, ie via an API, not via downloading and importing CSV-files?
>>>
>>> My interest is really US equities, stock options and ETFs - if possible from the same data source...
>>>
>>> Pointers to favorite data sources appreciated!
>>>
>>> Thank you.
>> _______________________________________________
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> Thank you. I have not reviewed the code but did not find a mention of any other data source besides Yahoo in the PDF-file but it is possible I missed it?
>
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eodhistoricaldata.com

API. Not free. Stock prices $20/mo, option in all-in-one package $50/mo. Not sure which module allows access to API.

iextrading.com

API. Seems to be free but will only include IEX data starting June. R module at https://github.com/imanuelcostigan/iex.

barchart.com

API. Did not find information on any R module.

tiingo.com

API. Did not see options on the website. Not sure which module allows access to API.

quantco.com

No information on website.

fidelity.com

Somebody mentioned Fidelity where I have an account. I did, however, not find any information on their website about API and R. Does anyone know?

Any other sites?

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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

James Hirschorn-3
In reply to this post by braverock
I looked into IQFeed for intraday stock data, and unfortunately they only
provide historical 1-minute data for stocks that are currently traded. This
is not good enough for one of the strategies I'm working on.

I am looking into other alternatives and will post my findings in this
thread.

Please let me know if you have other suggestions for historical intraday
stock data covering the S&P 500.

James Hirschorn, Ph.D.
*Quantitative Technologies*
Toronto, Canada
+1-647-929-0494


On Thu, Apr 4, 2019 at 5:31 AM Brian G. Peterson <[hidden email]>
wrote:

> quantmod supports multiple data sources, both paid and free.
>
> The documentation is installed with the package or you can find a pdf here:
> https://cran.r-project.org/web/packages/quantmod/quantmod.pdf
>
> The code is here:
> https://github.com/joshuaulrich/quantmod/blob/master/R/getSymbols.R
>
> For free daily data sources, I usually use Tiingo or Quandl in my public
> talks.  These certainly have US equities and ETF's.
>
> Especially for intraday data, expect to have to pay for it.  We have had
> good luck with IQFeed on the low end of the cost scale. I am not aware
> of a simple online source for historical options data.  Also, check if
> your broker has an API.  e.g. Interactive Brokers(IB), TD Ameritrade,
> and Fidelity (at least) all have programmatic ways of retrieving data.
>
> IB has an R package, as does Quandl.
>
> For CSV data sources that would be downloaded from online, you can bring
> them directly into R without having to go through the intermediary step
> of saving the file to your local disk. R's data functions can use a url
> as a handle to open a data stream (this is how quantmod's downloaders
> work, see the code above).
>
> Regards,
>
> Brian
>
> On 4/3/19 10:08 PM, H wrote:
> > I am relatively new to analyzing financial data but have some experience
> with R. I understand that the data available from Yahoo Finance via its API
> is often questionable in quality and Google Finance is no longer available.
> >
> > Although Googling pointed me to some other sources such as Quandl etc.,
> I am curious which other data sources quantmod itself supports for data
> retrieval, ie via an API, not via downloading and importing CSV-files?
> >
> > My interest is really US equities, stock options and ETFs - if possible
> from the same data source...
> >
> > Pointers to favorite data sources appreciated!
> >
> > Thank you.
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

Daniel Cegiełka
pt., 5 kwi 2019 o 05:34 James Hirschorn
<[hidden email]> napisał(a):

>
> I looked into IQFeed for intraday stock data, and unfortunately they only
> provide historical 1-minute data for stocks that are currently traded. This
> is not good enough for one of the strategies I'm working on.
>
> I am looking into other alternatives and will post my findings in this
> thread.
>
> Please let me know if you have other suggestions for historical intraday
> stock data covering the S&P 500.

polygon.io - 6Y tick by tick history. $399/m if you are a pro (it's
rather cheap)
https://polygon.io/stocks

TradingPhysics - milliseconds resolution. You pay per symbol, but it
is often cheaper than buying the whole market data. They offer a lot
of HFT indicators if you want to be very active.
http://www.tradingphysics.com/Feeds/AvailableFeeds.aspx
http://www.tradingphysics.com/Resources/Specifications/HistoricalTimeAndSales.aspx

ActiveTick - 1-minute resolution or tick data (original, unfiltered
and unmodified format)
https://www.activetick.com/activetick/contents/MarketDataServicesDevelopers.aspx

Take into account that if you want to have regular time series, the
database in seconds or milliseconds will be huge.

Best regards,
Daniel

>
> James Hirschorn, Ph.D.
> *Quantitative Technologies*
> Toronto, Canada
> +1-647-929-0494
>
>
> On Thu, Apr 4, 2019 at 5:31 AM Brian G. Peterson <[hidden email]>
> wrote:
>
> > quantmod supports multiple data sources, both paid and free.

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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

James Hirschorn-3
On Fri, Apr 5, 2019 at 5:53 AM Daniel Cegiełka <[hidden email]>
wrote:

> pt., 5 kwi 2019 o 05:34 James Hirschorn
> <[hidden email]> napisał(a):
> >
> > I looked into IQFeed for intraday stock data, and unfortunately they only
> > provide historical 1-minute data for stocks that are currently traded.
> This
> > is not good enough for one of the strategies I'm working on.
> >
> > I am looking into other alternatives and will post my findings in this
> > thread.
> >
> > Please let me know if you have other suggestions for historical intraday
> > stock data covering the S&P 500.
>

Thanks for the great list Daniel.

>
> polygon.io - 6Y tick by tick history. $399/m if you are a pro (it's
> rather cheap)
> https://polygon.io/stocks


Looks very promising. They go further back for 1-minute data, but they said
that there is still some missing data for unlisted stocks which they expect
to have added over the next few weeks.

>
>
> TradingPhysics - milliseconds resolution. You pay per symbol, but it
> is often cheaper than buying the whole market data. They offer a lot
> of HFT indicators if you want to be very active.
> http://www.tradingphysics.com/Feeds/AvailableFeeds.aspx
>
> http://www.tradingphysics.com/Resources/Specifications/HistoricalTimeAndSales.aspx


Very impressive looking, but it appears to only go back to 2015.

>
>
> ActiveTick - 1-minute resolution or tick data (original, unfiltered
> and unmodified format)
>
> https://www.activetick.com/activetick/contents/MarketDataServicesDevelopers.aspx
>
> This looks like the best deal. Their Live Support is offline though, and I
am still waiting to hear back from them.

Best Regards

> Take into account that if you want to have regular time series, the
> database in seconds or milliseconds will be huge.
>
> Best regards,
> Daniel
>
> >
> > James Hirschorn, Ph.D.
> > *Quantitative Technologies*
> > Toronto, Canada
> > +1-647-929-0494
> >
> >
> > On Thu, Apr 4, 2019 at 5:31 AM Brian G. Peterson <[hidden email]>
> > wrote:
> >
> > > quantmod supports multiple data sources, both paid and free.
>

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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

James Hirschorn-3
On Fri, Apr 5, 2019 at 6:07 PM James Hirschorn <
[hidden email]> wrote:

>
> On Fri, Apr 5, 2019 at 5:53 AM Daniel Cegiełka <[hidden email]>
> wrote:
>
>> pt., 5 kwi 2019 o 05:34 James Hirschorn
>> <[hidden email]> napisał(a):
>> >
>> > I looked into IQFeed for intraday stock data, and unfortunately they
>> only
>> > provide historical 1-minute data for stocks that are currently traded.
>> This
>> > is not good enough for one of the strategies I'm working on.
>> >
>> > I am looking into other alternatives and will post my findings in this
>> > thread.
>> >
>> > Please let me know if you have other suggestions for historical intraday
>> > stock data covering the S&P 500.
>>
>
> Thanks for the great list Daniel.
>
>>
>> polygon.io - 6Y tick by tick history. $399/m if you are a pro (it's
>> rather cheap)
>> https://polygon.io/stocks
>
>
> Looks very promising. They go further back for 1-minute data, but they
> said that there is still some missing data for unlisted stocks which they
> expect to have added over the next few weeks.
>
>>
>>
>> TradingPhysics - milliseconds resolution. You pay per symbol, but it
>> is often cheaper than buying the whole market data. They offer a lot
>> of HFT indicators if you want to be very active.
>> http://www.tradingphysics.com/Feeds/AvailableFeeds.aspx
>>
>> http://www.tradingphysics.com/Resources/Specifications/HistoricalTimeAndSales.aspx
>
>
> Very impressive looking, but it appears to only go back to 2015.
>
>>
>>
>> ActiveTick - 1-minute resolution or tick data (original, unfiltered
>> and unmodified format)
>>
>> https://www.activetick.com/activetick/contents/MarketDataServicesDevelopers.aspx
>>
>> This looks like the best deal. Their Live Support is offline though, and
> I am still waiting to hear back from them.
>

I still have not been able to contact them, so I will give up if I don't
hear back by tomorrow.

The next best deal I found was:

https://pitrading.com/historical-market-data.html

$179 for 1-minute stock data on 1241 US Stocks, going back about 15 years.

My only concern is if the quality is good. Has anyone heard of them?

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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

Rmetrics mailing list
 On Monday, April 8, 2019, 5:30:52 PM EDT, James Hirschorn <[hidden email]> wrote:
 <snip>
The next best deal I found was:

https://pitrading.com/historical-market-data.html

$179 for 1-minute stock data on 1241 US Stocks, going back about 15 years.

My only concern is if the quality is good. Has anyone heard of them?
****************************************************************************************************************
I have not used Pi Trading . The Caltech Quantitative Finance Group http://quant.caltech.edu/historical-stock-data.html has criticized the quality of its data and of some other vendors mentioned in this thread, but a thread at a trader forumhttps://www.elitetrader.com/et/threads/is-kibot-legit-place-to-get-tick-historical-data-from.308296/ says that CQFG is not
disinterested.
AlphaVantage https://www.alphavantage.co/ lets you download historical stock prices from Python (and maybe R)
Vivek Rao, CFABoston, MA  
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Re: Free financial data - equities, equity options and ETFs - for quantmod package (or other packages)

James Hirschorn-3
I have read some bad things about CQFG and their "affiliate" QuantQuote.
For example:

https://github.com/michaelsmusing/sources-for-intraday-historical-stock-data

It looks to me like AlphaVantage only has intraday stock data going back a
couple of weeks.

On Mon, Apr 8, 2019 at 6:01 PM Vivek Rao <[hidden email]> wrote:

> On Monday, April 8, 2019, 5:30:52 PM EDT, James Hirschorn <
> [hidden email]> wrote:
>
> <snip>
>
> The next best deal I found was:
>
> https://pitrading.com/historical-market-data.html
>
> $179 for 1-minute stock data on 1241 US Stocks, going back about 15 years.
>
> My only concern is if the quality is good. Has anyone heard of them?
>
>
> ****************************************************************************************************************
>
> I have not used Pi Trading . The Caltech Quantitative Finance Group
> http://quant.caltech.edu/historical-stock-data.html
> has criticized the quality of its data and of some other vendors mentioned
> in this thread, but a thread at a trader forum
>
> https://www.elitetrader.com/et/threads/is-kibot-legit-place-to-get-tick-historical-data-from.308296/ says
> that CQFG is not
> disinterested.
>
> AlphaVantage https://www.alphavantage.co/ lets you download historical
> stock prices from Python (and maybe R)
>
> Vivek Rao, CFA
> Boston, MA
>

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