octave_packages/financial-0.4.0/private/fetch_yahoo.m

   1 ## Copyright (C) 2008 Bill Denney <bill@denney.ws>
   2 ##
   3 ## This program is free software; you can redistribute it and/or modify it under
   4 ## the terms of the GNU General Public License as published by the Free Software
   5 ## Foundation; either version 3 of the License, or (at your option) any later
   6 ## version.
   7 ##
   8 ## This program is distributed in the hope that it will be useful, but WITHOUT
   9 ## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
  10 ## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
  11 ## details.
  12 ##
  13 ## You should have received a copy of the GNU General Public License along with
  14 ## this program; if not, see <http://www.gnu.org/licenses/>.
  15
  16 ## -*- texinfo -*-
  17 ## @deftypefn {[@var{data} @var{fields}] =}
  18 ##  fetch_yahoo (@var{conn}, @var{symbol}, @var{fromdate}, @var{todate}, @var{period})
  19 ##
  20 ## Download stock data from yahoo. (Helper for fetch.)
  21 ##
  22 ## @var{fields} are the data fields returned by Yahoo.
  23 ##
  24 ## @var{fromdate} and @var{todate} is the date datenum for the requested
  25 ## date range.  If you enter today's date, you will get yesterday's
  26 ## data.
  27 ##
  28 ## @var{period} (default: "d") allows you to select the period for the
  29 ## data which can be any of
  30 ## @itemize @bullet
  31 ## @item 'd': daily
  32 ## @item 'w': weekly
  33 ## @item 'm': monthly
  34 ## @item 'v': dividends
  35 ## @end itemize
  36 ##
  37 ## @seealso{yahoo, fetch}
  38 ## @end deftypefn
  39
  40 ## FIXME: Actually use the proxy info if given in the connection.
  41 ## FIXME: Do not ignore the fields input.
  42
  43 function [data fields] = fetch_yahoo (conn=[], symbol="",
  44                                           fromdate, todate, period="d")
  45
  46   if strcmpi (conn.url, "http://quote.yahoo.com")
  47     fromdate = datevec (fromdate);
  48     todate   = datevec (todate);
  49     geturl   = sprintf (["http://ichart.finance.yahoo.com/table.csv" ...
  50                          "?s=%s&d=%d&e=%d&f=%d&g=%s&a=%d&b=%d&c=%d&" ...
  51                          "ignore=.csv"],
  52                          symbol, todate(2)-1, todate(3), todate(1),
  53                          period,
  54                          fromdate(2)-1, fromdate(3), fromdate(1));
  55     ## FIXME: This would be more efficient if csv2cell could work on
  56     ## strings instead of files.
  57     [f, success, msg] = urlwrite (geturl, tmpnam ());
  58     if ! success
  59       error ("Could not write Yahoo data to tmp file:\n%s", msg)
  60     endif
  61     d = csv2cell (f);
  62     unlink(f);
  63     ## Pull off the header
  64     fields = d(1,:);
  65     d(1,:) = [];
  66     dates  = strvcat (d(:,1));
  67     dates  = datenum(str2num(dates(:,1:4)),
  68                      str2num(dates(:,6:7)),
  69                      str2num(dates(:,9:10)));
  70     data   = [dates, cell2mat(d(:,2:end))];
  71   else
  72     error ("Non-yahoo connection passed to yahoo fetch")
  73   endif
  74
  75 endfunction
  76
  77 %!shared fgood, dgood
  78 %! fgood = {"Date", "Open", "High", "Low", "Close", "Volume", "Adj Close"};
  79 %! dgood = [732501,34.77,34.87,34.25,34.62,15515400,34.62;
  80 %!          732500,33.87,34.77,33.72,34.63,16354300,34.63;
  81 %!          732499,34.64,34.97,34.03,34.12,13585700,34.12;
  82 %!          732498,34.25,35.08,34.20,34.60,16086700,34.60;
  83 %!          732494,34.76,34.85,34.22,34.44,9861600,34.44];
  84 %!test
  85 %! [d f] = fetch_yahoo (yahoo(), "yhoo", 732494, 732501, "d");
  86 %! assert(d, dgood, eps);
  87 %! assert(f, fgood, eps);
  88 ## test that the automatic period works
  89 %!test
  90 %! [d f] = fetch_yahoo (yahoo(), "yhoo", 732494, 732501);
  91 %! assert(d, dgood, eps);
  92 %! assert(f, fgood, eps);
  93
  94 ## The test below fails because yahoo gives a different volume on 732498
  95 ##%!xtest
  96 ##%! [d f] = fetch(yahoo(), "yhoo", "01-Jul-2005", "10-Jul-2005", "w");
  97 ##%! assert(d, dgood(4:5,:), eps);
  98 ##%! assert(f, fgood, eps);