Downloading from remote data source

Three eponymous methods are provided for downloading free data, from Yahoo Finance (yahoo) the Federal Reserve St. Louis (fred) and the United Kingdom's Office for National Statistics (ons)

These methods take a string argument that represents the name of the desired data set to be downloaded.

These methods have default arguments. These defaults only apply when no argument is passed, otherwise the user is left with determining the correct name for the data of interest.

Yahoo

For the yahoo() method, the default data is the S&P 500 end-of-day daily prices. That symbol is named ^GSPC.

MarketData.yahoo — Function

yahoo(symbol::AbstractString, opt::YahooOpt = YahooOpt())::TimeArray
yahoo(symbol::Symbol, opt::YahooOpt = YahooOpt())::TimeArray

This is a wrapper for downloading historical stock prices from Yahoo Finance.

The yahoo method takes a stock name in the form of a string and returns a TimeSeries.TimeArray corresponding to the Yahoo Finance ticker. With no argument, the default historical time series is the S&P 500.

Examples

AAPL = yahoo(:AAPL)
SPX = yahoo("^GSPC")
NQ = yahoo("^IXIC")

julia> start = DateTime(2018, 1, 1)
2018-01-01T00:00:00

julia> yahoo(:AAPL, YahooOpt(period1 = start))
655×6 TimeArray{Float64,2,Date,Array{Float64,2}} 2018-01-02 to 2020-08-07
...

References

https://finance.yahoo.com

See Also

fred() which accesses the St. Louis Federal Reserve financial and economic data sets.
ons() which is a wrapper to download financial and economic time series data from the Office for National Statistics (ONS).

source

MarketData.YahooOpt — Type

struct YahooOpt <: AbstractQueryOpt
  period1  # the start time
  period2  # the end time
  interval # "1d", "1wk" or "1mo"
  events   # currently only `:history` supported
end

The Yahoo Finance HTTP API query object.

Examples

julia> t = Dates.now()
2020-08-09T01:38:04.735

julia> YahooOpt(period1 = t - Year(2), period2 = t)
YahooOpt{DateTime} with 4 entries:
  :period1  => 1533778685
  :period2  => 1596937085
  :interval => "1d"
  :events   => :history

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FRED

The default data for the fred() method is CPIAUCNS, which represents the Consumer Price Index for All Urban Consumers data.

MarketData.fred — Function

fred(data::String="CPIAUCNS")::TimeArray

The fred() method is a wrapper to download financial and economic time series data from the St. Louis Federal Reserve (FRED).

The fred() method takes a string argument that corresponds to a series code from the St. Louis Federal Reserve (FRED) database. It returns the data in the TimeSeries.TimeArray data structure. When no argument is provided, the default data set is the Consumer Price Index for All Urban Consumers: All Items (CPIAUCNS).

Examples

DGS = fred("DGS10")
CPI = fred()

References

https://research.stlouisfed.org/fred2

See Also

yahoo() which is a wrapper to download financial time series for stocks from Yahoo Finance.
ons() which is a wrapper to download financial and economic time series data from the Office for National Statistics (ONS).

source

ONS

For the ons() method, the default data is the L522 timeseries from the MM23 dataset, which represents the Consumer Price Index including housing costs, in the UK. This is the ONS' headline monthly price inflation statistic.

MarketData.ons — Function

ons(timeseries::String="L522", dataset::String="MM23")::TimeArray

The ons() method is a wrapper to download financial and economic time series data from the Office for National Statistics (ONS).

The ons() method takes two string arguments corresponding to a dataset and timeseries code from the ONS database, to explore the database, you can use https://www.ons.gov.uk/timeseriestool. It returns the data in the TimeSeries.TimeArray data structure with additional information in the meta field. The data might include monthly values, quarterly averages and yearly averages, with column names monthly, quarterly and yearly. The timestamps are the first day of the period. When no argument is provided, the default dataset is the Consumer Price Index including housing costs (CPIH) which is the ONS’s headline measure of inflation.

Examples

UK_RPI = ("CHAW","MM23")
UK_CPI = ("D7BT","MM23")
UK_CPIH = ("L522","MM23")

References

https://www.ons.gov.uk/timeseriestool

See Also

fred() which accesses the St. Louis Federal Reserve financial and economic data sets.
yahoo() which is a wrapper from downloading financial time series for stocks from Yahoo Finance.

source