An updated version of quantmod is now on CRAN. It adds functions HL(), is.HL(), and has.HL() to check for ‘high’ and ‘low’ price columns. It also makes accessing Yahoo Finance price, dividend, and split data more robust. getSymbols.FRED() got to and from arguments, like other getSymbols() methods. The remaining changes are bug fixes and maintenace chores.

This was mainly a maintenance and bug fix release, but it does include a couple nice features. quantmod versions 0.4.17 through 0.4.21 included several relevant features that weren’t highlighted in any previous posts. They’re included in a separate section below.

New Features

• Exported HL(), is.HL(), and has.HL() functions and added documentation. These were added in 0.4.20 but not exported or included in the documentation.

• Switched to the Yahoo Finance v8 JSON endpoint and removed the v7 CSV endpoint. There seems to be a rate limit for the number of tickers you can request via the CSV endpoint. The yfinance python library uses the JSON endpoint and doesn’t seem to have rate limit issues. (#360, #362, #364)

• getSymbols.FRED() now supports to and from arguments. So users can set the ‘from’ and ‘to’ arguments for FRED data like they can for other data sources like Yahoo. Those values had been ignored and the entire series was always returned. (#368)

Bug Fixes

• Fixed getDividends() and getSplits() for stocks that issue monthly dividends. (#372)

• Added error handling to getSplits() and getDividends(). getDividends() didn’t handle cases where the download failed, or when dividends needed to be split-adjusted but there were no splits. It also tried to set colnames on the empty xts object that’s returned when there are no dividends. getSplits() had the same colnames issue. Thanks to Chris Cheung for the report! (#366)

• Remove “^” prefix from getSymbols() return value. The name of the object getSymbols() created and the symbol value it returned were inconsistent when the ‘Symbols’ argument has a “^” prefix and auto.assign = TRUE:

  • getSymbols() removed the “^” from the object it creates, but
  • returned the ‘Symbols’ argument unchanged, and
  • removed the “^” from the column names of the object it creates.

  The example below will create an object named IXIC but the value of sym will be “^IXIC”.

    sym <- getSymbols("^IXIC")
  

  That means x <- get(sym) will not work because an object named ^IXIC doesn’t exist. (#371)

Chores

• Moved jsonlite from Suggests to Imports so it doesn’t cause a problem when a package that doesn’t also Suggest jsonlite but uses getSymbols(). Thanks to Kurt Hornik for the report and fix! (#380)

• Fixed S3 method issues. R-devel (83995-ish) added a check that found methods that were not registered (str.replot(), seriesHi.timeSeries(), and seriesLo.timeSeries()). It was also confused by range.bars() and unique.formula.names() because they are named like S3 methods. Neither were exported so they didn’t affect users. Thanks to Kurt Hornik for the report! (#375)

Changes in Prior Versions

New Features

• Added HL() and supporting functions. These are analogues to HLC(), OHLC(), etc. Thanks for Karl Gauvin for the nudge to implement them.

• Added adjusted close price to getSymbols.tiingo() output. Thanks to Ethan Smith for the suggestion and patch! (#289, #345)

• Updated getSymbols.tiingo() to use a Date index for daily data. Thanks to Ethan Smith for the report! (#350)

• Updated getOptionChain() to return all the fields that Yahoo Finance provides. Thanks to Adam Childers (@rhizomatican) for the patch! (#318, #336)

• Added orats as a source for getOptionChain(). Thanks to Steve Bronder (@SteveBronder) for the suggestion and implementation! (#325)

• Added “Defaults” handling to getQuote() and getQuote.yahoo(). Thanks to Ethan Smith for the report. (#291)

• Added Bid and Ask fields to the output from getQuote(). Thanks to @jrburl for the report and PR. (#302)

Bug Fixes

• Removed check for Yahoo Finance cookies because the site no longer responds with a cookie, and that caused the connection attempt to fail. This affected getSymbols(), getDividends(), and getSplits(). Thanks to several users for reporting, and especially to @pverspeelt and @alihru for investigating potential fixes! (#358)

• Updated getSymbols.yahooj() for changes to the web page. (#312)

• Removed unneeded arguments to the getSymbols.tiingo() implementation. Thanks to Ethan Smith for the suggestion and patch! (#343, #344)

• Load dividends and splits data into the correct environment when the user provides a value for the env argument. The previous behavior always loaded the data into the environment the function was called from. Thanks to Stewart Wright for the report and patch! (#33)

• Improved the error message when getSymbols() cannot import data for a symbol because the symbol is not valid or does not have historical data. Thanks to Peter Carl for the report. (#333)

• Fixed the getMetals() example in the documentation. The example section previously had an example of getFX(). Thanks to Gerhard Nachtmann (@nachti) for the report and patch! (#330)

• Fixed getQuote() so it returns data when the ticker symbol contains an “&”. Thanks to @pankaj3009 for the report! (#324)

• Fixed addMACD() when col is specified. Thanks to @nvalueanalytics for the report! (#321)

• Fixed issues handling https:// in getSymbols.yahooj(). Thanks to @lobo1981 and @tchevri for the reports and Ethan Smith for the suggestion to move from XML to xml2. (#310, #312)

• Fixed getSymbols.yahoo(), getDividends(), and getSplits() so they all handle download errors and retry again. Thanks for @helgasoft for the report on getSymbols.yahoo() and @msfsalla for the report on getDividends() and getSplits(). (#307, #314)

• Added implied volatility and last trade date to getOptionChain() output. Thanks to @hd2581 and @romanlelek for the reports. And thanks to @rjvelasquezm for noticing the error when lastTradeDate is NULL. (#224, #304)

• Fixed getOptionChain() to throw a warning and return NULL for every expiry that doesn’t have data. (#299)

• Fixed “Defaults” to handle unexported function (e.g. getQuote.av(). Thanks to @helgasoft for the report. (#316)

• importDefaults() didn’t call get() on vector with length > 1. Thanks to Kurt Hornik for the report. (#319)

• chartTheme() now works when quantmod is not attached. Thanks to Kurt Hornik for the report.