yahoo finance

Posted on Jul 29, 2017 by Kris Longmore
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In keeping with our recent theme of providing useful tidbits of algo trading practicalities, here's an elegant solution that resolves Yahoo's unceremonious exit from the free financial data space. Regular readers would know that I use various tools in my algo trading stack, but the one I keep coming back to, particularly when I'm ready to start running serious simulations, is Zorro. Not only is it a fast, accurate, and powerful backtester and execution engine, the development team is clearly committed to solving issues and adding features that really matter, from a practical perspective. This is another example of the speedy and elegant resolution of a serious issue - namely, the loss of free access to good quality, properly adjusted equities data, thanks to Yahoo's exit. Zorro version 1.60 is currently undergoing it's final stages of beta testing and will likely be released publicly in the coming days. The latest version includes integration with Alpha Vantage's API, providing access to free, high quality, properly adjusted stock and ETF price data. All you need to do to use it is sign...

Posted on May 21, 2017 by Kris Longmore
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Recently, Yahoo Finance - a popular source of free end-of-day price data - made some changes to their server which wreaked a little havoc on anyone relying on it for their algos or simulations. Specifically, Yahoo Finance switched from HTTP to HTTPS and changed the data download URLs. No doubt this is a huge source of frustration, as many backtesting and trading scripts that relied on such data will no longer work. Users of the excellent R package quantmod  however are in luck! The package's author, Joshua Ulrich, has already addressed the change in a development version of quantmod. You can update your quantmod  package to the development version that addresses this issue using this command in R: devtools::install_github("joshuaulrich/quantmod", ref="157_yahoo_502") Of course, you need the devtools  package installed, so do install.packages("devtools")  first if you don't already have it installed. Once the package updates, quantmod::getSymbols(src = "yahoo")  should work just as it did prior to the updates on the Yahoo Finance server. I can verify that this worked for me. Of course, if you don't want to update quantmod to a version that lives on...