Yahoo market data download - R

getYahooStock.R

require(data.table)

yahoo_downloader_env <- new.env()

.get_yahoo_curl = function(symbol) {
  curl = RCurl::getCurlHandle( cookiejar = '' )
  html = RCurl::getURL( paste0('https://finance.yahoo.com/quote/',symbol,sep=""), curl = curl )
  crumb = gsub( '^.*crumb":"\\s*|".*', '', html )
  assign( 'crumb', crumb, envir = yahoo_downloader_env )
  assign( 'curl' , curl , envir = yahoo_downloader_env )
}

.get_yahoo_data = function( symbol, from, to = Sys.Date(), events ) {
  
  if( is.null( yahoo_downloader_env$crumb ) ) .get_yahoo_curl(symbol)
  url = paste0( 'https://query1.finance.yahoo.com/v7/finance/download/', symbol,
                '?period1=', as.numeric( as.POSIXct( from ) ),
                '&period2=', as.numeric( as.POSIXct( to ) ),
                '&interval=1d&events=', events, '&crumb=', yahoo_downloader_env$crumb )
  x = RCurl::getURL( url, curl = yahoo_downloader_env$curl )
  if( x == '' | grepl( 'Not Found|Bad Request', x ) ) return( NULL )
  if( grepl( 'Invalid cookie', x, fixed = T ) ) {
    .get_yahoo_curl()
    .get_yahoo_data( symbol, from, to, events )
  }
  x = gsub( 'null', '', x, fixed = T )
  x = fread( x )
  setnames( x, tolower( gsub( ' ', '_', names( x ) ) ) )
  . = stock_splits = date = NULL
  if( events == 'split' ) x[, stock_splits := sapply( parse( text = stock_splits ), eval ) ]
  x[, date := as.Date( date ) ]
  x[]
  
}

get_yahoo_data = function( symbol, from, to = Sys.Date(), split.adjusted = TRUE ) {
  
  splits = .get_yahoo_data( symbol, from, to, events = 'split' )
  
  dat = .get_yahoo_data( symbol, from, to, events = 'history' )
  
  if( is.null( dat ) || nrow( dat ) == 0 ) return( dat )
  
  # return downloaded data
  return( dat[] )
  
}

# get_yahoo_data("SHY", from = "2016-06-21")