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Appending Intraday Data

01 Jan 2015

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There are times when I need to run a back-test before market close, to put trades market on close. Unfortuantelly, Yahoo Finance updates their EOD files at the end of the day, and using these files intraday will not have the price for today.

I made a very simple function that:

  • downloads historical prices using getSymbols from Yahoo Finance
  • downloads intraday snapshot from Yahoo Finance
  • and appends intraday snapshot to historical prices

I.e.

getSymbols.intraday <- function(Symbols, env, ...) {
	getSymbols(Symbols, env = env, ...)
	data.today = getQuote.yahoo.today(Symbols)
	bt.append.today(env, data.today)
}

Now, I can easily run a back-test at 3:30 using intraday prices from Yahoo Finance and compute signal for today. For example:

#*****************************************************************
# Load historical data
#*****************************************************************
library(SIT)
load.packages('quantmod')
tickers = spl('SPY,TLT,GLD,SHY')

data <- new.env()
getSymbols.intraday(tickers, src = 'yahoo', from = '1970-01-01', env = data, auto.assign = T)

Please note that I used getSymbols.intraday instead of getSymbols function above. The data environment will contain both historical EOD prices and today’s quotes

(this report was produced on: 2015-01-02)

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