Re: [R-SIG-Finance] yahoo dates
FWIW, I download 33 fields from yahoo every night at 10 p.m. CDT using quantmod::getQuote, and the prices and volumes (and everything else except 50-day MA, 200-day MA and Ave. Daily Volume) reported by getQuote at 10 p.m. CDT on 2012-07-03 were the same as those reported at 10 p.m. CDT on 2012-07-04 I only download data for stocks (not stock indexes), but using SPY as an example, the Volume as reported by getQuote was 80450168 on both dates. If I use getSymbols now, it tells me that the volume was 8045 (i.e. the same, but rounded). getQuote reported the same volume on both days for all of the roughly 7500 stocks and ETFs that are listed in the U.S. for which I collect data. So, at least for stocks, the extra volume never showed up using getQuote. But, since I wasn't downloading data for indexes, I can't say whether it would have shown up there. Regards, Garrett On Thu, Jul 5, 2012 at 4:47 PM, Motley Fool motleyf...@dawgstar.org wrote: On Thu, Jul 5, 2012 at 11:33 AM, Paul Gilbert pgilbert...@gmail.com wrote: Occasionally this week it seems that yahoo is using the previous day's date SNIP Does anyone know what is going on at yahoo? What is the convention at other data suppliers for adjustment data on holidays, or are these real prices and volume that occurred after July 3? Paul Paul I saw this start Tueday, the closing $amount for the previous day is the same, but the volume is different. I've used Yahoo data though Holiday periods before and this is the first time I've seen this happen. diana ___ R-SIG-Finance@r-project.org 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. ___ R-SIG-Finance@r-project.org 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.
[R-SIG-Finance] yahoo dates
Occasionally this week it seems that yahoo is using the previous day's date on holidays (I believe, at least yesterday evening there were two entries dated July 3). There is a possible logic to this, since holiday data may be just adjustments to the previous day's data. However, in some downloads this is done, and other downloads of the same data it seems the holiday is simply removed, suggesting that it is really a bug at yahoo. For example, the evening of July 4 the data for ^gspc was DateOpenHigh Low Close Volume Adj.Close 1 2012-07-03 1365.75 1374.81 1363.53 1373.97 277158200 1374.02 2 2012-07-03 1365.75 1374.81 1363.53 1374.02 211639 1374.02 3 2012-07-02 1362.33 1366.35 1355.70 1365.51 330165 1365.51 4 2012-06-29 1330.12 1362.17 1330.12 1362.16 459048 1362.16 5 2012-06-28 1331.52 1331.52 1313.29 1329.04 396937 1329.04 ... whereas this morning, July 5, it is DateOpenHigh Low Close Volume Adj.Close 1 2012-07-03 1365.75 1374.81 1363.53 1374.02 211639 1374.02 2 2012-07-02 1362.33 1366.35 1355.70 1365.51 330165 1365.51 3 2012-06-29 1330.12 1362.17 1330.12 1362.16 459048 1362.16 4 2012-06-28 1331.52 1331.52 1313.29 1329.04 396937 1329.04 ... The holiday with the previous days date causes duplicate index entries, which causes zoo to issue warnings, and causes a failure when there is an attempt to put two series together into a multivariate series. Does anyone know what is going on at yahoo? What is the convention at other data suppliers for adjustment data on holidays, or are these real prices and volume that occurred after July 3? Paul ___ R-SIG-Finance@r-project.org 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.
Re: [R-SIG-Finance] yahoo dates
On Thu, Jul 5, 2012 at 11:33 AM, Paul Gilbert pgilbert...@gmail.com wrote: Occasionally this week it seems that yahoo is using the previous day's date SNIP Does anyone know what is going on at yahoo? What is the convention at other data suppliers for adjustment data on holidays, or are these real prices and volume that occurred after July 3? Paul Paul I saw this start Tueday, the closing $amount for the previous day is the same, but the volume is different. I've used Yahoo data though Holiday periods before and this is the first time I've seen this happen. diana ___ R-SIG-Finance@r-project.org 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.
