readYahooFinance started

src/readYahooFinance.jl

@@ -0,0 +1,105 @@
+function readYahooFinance(dates::DateRange{ISOCalendar},
+                          ticker::Array{ASCIIString, 1},
+                          freq=:d)
+
+    #############################
+    ## get download parameters ##
+    #############################
+
+    ## get number of tickers
+    nStocks = length(ticker)
+
+    ## get download urls
+    urls = getUrls(dates, ticker, freq)
+
+    ###################
+    ## download data ##
+    ###################
+
+    vals = Array(AbstractTimenum, nStocks)
+
+    for ii=1:nStocks
+
+        filepath = download(urls[ii])
+        td = readTimedata(filepath)
+
+        vals[ii] = flipud(td)
+    end
+    vals
+end
+
+function readYahooFinance(dates::DateRange{ISOCalendar},
+                          ticker::ASCIIString,
+                          freq=:d)
+
+    #############################
+    ## get download parameters ##
+    #############################
+
+    ## get download urls
+    urls = getUrls(dates, [ticker], freq)
+
+    ###################
+    ## download data ##
+    ###################
+
+    filepath = download(urls[1])
+    td = readTimedata(filepath)
+    vals = flipud(td)
+end
+
+function getUrls(dates::DateRange{ISOCalendar},
+                 ticker::Array{ASCIIString, 1},
+                 freq)
+    nStocks = length(ticker)
+
+    urls = Array(ASCIIString, nStocks)
+    (bd, bm, by, ed, em, ey) = getDates(dates)
+
+    for ii=1:nStocks
+        urls[ii] = string("http://real-chart.finance.yahoo.com/table.csv?s=",
+                          ticker[ii],
+                          "&a=",bm,"&b=",bd,"&c=",by,
+                          "&d=",em,"&e=",ed,"&f=",ey,
+                          "&g=",freq,"&ignore=.csv")
+    end
+    urls
+end
+
+function getDates(dates::DateRange{ISOCalendar})
+    ## get start and end date
+    startDate = dates[1]
+    endDate = dates[end]
+
+    ## decompose dates
+    (bd, bm, by) = (day(startDate), month(startDate), year(startDate))
+    (ed, em, ey) = (day(endDate), month(endDate), year(endDate))
+
+    (lpad(string(bd-1), 2, "0"),
+     lpad(string(bm-1), 2, "0"),
+     string(by),
+     lpad(string(ed-1), 2, "0"),
+     lpad(string(em-1), 2, "0"),
+     string(ey))
+end
+
+
+
+################
+## test cases ##
+################
+
+dates = date(1960, 11, 26):date(2014, 7, 23)
+ticker = "^GDAXI"
+ticker = ["^GDAXI", "^GSPC", "BMW.DE"]
+
+kk = readYahooFinance(dates, ticker, :w)
+
+
+## one function that returns complete data for single ticker
+## this function can be applied to each element of ticker array
+##
+## another function that returns adj_closing prices for array of
+## ticker symbols in one large
+
+kk = map((x) -> readYahooFinance(dates, [x]), ticker)