quantmod
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Published
20 hours ago •
joshuaulrich
joshuaulrich
getSymbols date limit problem
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Description
I'm trying to replicate an example from Ang, C. S. (2015). Analyzing financial data and implementing financial models using R. Springer, Retrieving yahoo finance data directly using getsymbols page 11, where i need to use from = and to= arguments.
Using from = 2010-12-31" and end = "2013-12-31"
Expected behavior
i expect data starting on "2010-12-31" and ending at "2013-12-31", using the same code used by Ang (2015).
Minimal, reproducible example
library(quantmod)
#> Loading required package: xts
#> Loading required package: zoo
#>
#> Attaching package: 'zoo'
#> The following objects are masked from 'package:base':
#>
#> as.Date, as.Date.numeric
#> Loading required package: TTR
#> Registered S3 method overwritten by 'quantmod':
#> method from
#> as.zoo.data.frame zoo
df <- getSymbols(Symbols = "AMZN",
from = "2010-12-31",
to = "2013-12-31",
auto.assign = F)
#> 'getSymbols' currently uses auto.assign=TRUE by default, but will
#> use auto.assign=FALSE in 0.5-0. You will still be able to use
#> 'loadSymbols' to automatically load data. getOption("getSymbols.env")
#> and getOption("getSymbols.auto.assign") will still be checked for
#> alternate defaults.
#>
#> This message is shown once per session and may be disabled by setting
#> options("getSymbols.warning4.0"=FALSE). See ?getSymbols for details.
summary(df)
#> Index AMZN.Open AMZN.High AMZN.Low
#> Min. :2010-12-31 Min. :161.2 Min. :163.5 Min. :160.6
#> 1st Qu.:2011-09-29 1st Qu.:192.8 1st Qu.:195.3 1st Qu.:190.2
#> Median :2012-06-28 Median :226.5 Median :230.6 Median :224.6
#> Mean :2012-06-30 Mean :238.0 Mean :240.8 Mean :235.0
#> 3rd Qu.:2013-04-02 3rd Qu.:266.6 3rd Qu.:269.3 3rd Qu.:263.7
#> Max. :2013-12-30 Max. :404.6 Max. :405.6 Max. :399.2
#> AMZN.Close AMZN.Volume AMZN.Adjusted
#> Min. :161.0 Min. : 984400 Min. :161.0
#> 1st Qu.:193.3 1st Qu.: 2662775 1st Qu.:193.3
#> Median :227.2 Median : 3707050 Median :227.2
#> Mean :238.1 Mean : 4322605 Mean :238.1
#> 3rd Qu.:266.4 3rd Qu.: 5162025 3rd Qu.:266.4
#> Max. :404.4 Max. :24134200 Max. :404.4
Created on 2022-01-29 by the reprex package (v1.0.0)
Session Info
sessionInfo()
#> R version 4.0.4 (2021-02-15)
#> Platform: x86_64-pc-linux-gnu (64-bit)
#> Running under: Debian GNU/Linux 11 (bullseye)
#>
#> Matrix products: default
#> BLAS: /usr/lib/x86_64-linux-gnu/blas/libblas.so.3.9.0
#> LAPACK: /usr/lib/x86_64-linux-gnu/lapack/liblapack.so.3.9.0
#>
#> locale:
#> [1] LC_CTYPE=es_NI.UTF-8 LC_NUMERIC=C
#> [3] LC_TIME=es_NI.UTF-8 LC_COLLATE=es_NI.UTF-8
#> [5] LC_MONETARY=es_NI.UTF-8 LC_MESSAGES=es_NI.UTF-8
#> [7] LC_PAPER=es_NI.UTF-8 LC_NAME=C
#> [9] LC_ADDRESS=C LC_TELEPHONE=C
#> [11] LC_MEASUREMENT=es_NI.UTF-8 LC_IDENTIFICATION=C
#>
#> attached base packages:
#> [1] stats graphics grDevices utils datasets methods base
#>
#> other attached packages:
#> [1] quantmod_0.4.18 TTR_0.24.3 xts_0.12.1 zoo_1.8-9
#>
#> loaded via a namespace (and not attached):
#> [1] lattice_0.20-41 digest_0.6.27 assertthat_0.2.1 grid_4.0.4
#> [5] magrittr_2.0.1 reprex_1.0.0 evaluate_0.14 highr_0.8
#> [9] stringi_1.5.3 rlang_0.4.10 cli_2.3.0 curl_4.3.2
#> [13] rstudioapi_0.13 fs_1.5.0 rmarkdown_2.6 tools_4.0.4
#> [17] stringr_1.4.0 glue_1.4.2 xfun_0.20 yaml_2.2.1
#> [21] compiler_4.0.4 htmltools_0.5.1.1 knitr_1.31
Created on 2022-01-29 by the reprex package (v1.0.0)
Related to #258.
@espher1987, add 1 day to your retrieval will give you the data you want:
amzn <- getSymbols(Symbols = "AMZN",
from = "2010-12-31",
to = "2014-01-01",
auto.assign = FALSE)
I have noticed a similar issue. I typically do not specify a "to" date, assuming the most recent close date will be returned. This does not seem to be the case.
e.g.
> p <- getSymbols(Symbols = "^GSPC", auto.assign = FALSE)
> tail(p)
GSPC.Open GSPC.High GSPC.Low GSPC.Close GSPC.Volume GSPC.Adjusted
2022-10-20 3689.05 3736.00 3656.44 3665.78 4496620000 3665.78
2022-10-21 3657.10 3757.89 3647.42 3752.75 5078020000 3752.75
2022-10-24 3762.01 3810.74 3741.65 3797.34 4747930000 3797.34
2022-10-25 3799.44 3862.85 3799.44 3859.11 4843120000 3859.11
2022-10-26 3825.97 3886.15 3824.07 3830.60 4817310000 3830.60
2022-10-27 3834.69 3859.95 3803.79 3807.30 4687320000 3807.30
>
> p <- getSymbols(Symbols = "^GSPC", auto.assign = FALSE, to = Sys.Date())
> tail(p)
GSPC.Open GSPC.High GSPC.Low GSPC.Close GSPC.Volume GSPC.Adjusted
2022-10-20 3689.05 3736.00 3656.44 3665.78 4496620000 3665.78
2022-10-21 3657.10 3757.89 3647.42 3752.75 5078020000 3752.75
2022-10-24 3762.01 3810.74 3741.65 3797.34 4747930000 3797.34
2022-10-25 3799.44 3862.85 3799.44 3859.11 4843120000 3859.11
2022-10-26 3825.97 3886.15 3824.07 3830.60 4817310000 3830.60
2022-10-27 3834.69 3859.95 3803.79 3807.30 4687320000 3807.30
>
> p <- getSymbols(Symbols = "^GSPC", auto.assign = FALSE, to = Sys.Date() + 1)
> tail(p)
GSPC.Open GSPC.High GSPC.Low GSPC.Close GSPC.Volume GSPC.Adjusted
2022-10-21 3657.10 3757.89 3647.42 3752.75 5078020000 3752.75
2022-10-24 3762.01 3810.74 3741.65 3797.34 4747930000 3797.34
2022-10-25 3799.44 3862.85 3799.44 3859.11 4843120000 3859.11
2022-10-26 3825.97 3886.15 3824.07 3830.60 4817310000 3830.60
2022-10-27 3834.69 3859.95 3803.79 3807.30 4687320000 3807.30
2022-10-28 3808.26 3905.42 3808.26 3901.06 4459410000 3901.06
>
> Sys.Date()
[1] "2022-10-28"
I see a few related open issues. Is there a fix, beyond always adding to = Sys.Date() + 1 for safety?
