Add periodicity argument to getSymbols.yahoo()

Kurt Hornik expressed an interest in using getSymbols.yahoo() as a
drop-in replacement for tseries::get.hist.quote(), because that would
create a single point of failure for any future changes to Yahoo
Finance.

But tseries::get.hist.quote() has a has a 'compression' argument that
allows users to pull daily, weekly, or monthly data as provided by
Yahoo. Add the periodicity argument to getSymbols.yahoo(), so
get.hist.quote() can maintain functionality for its 'compression'
argument.

Fixes #162.

R/getSymbols.R

@@ -272,7 +272,8 @@ function(symbol, from, to, period, type, handle)
 function(Symbols,env,return.class='xts',index.class="Date",
          from='2007-01-01',
          to=Sys.Date(),
-         ...)
+         ...,
+         periodicity="daily")
 {
      if(getOption("getSymbols.yahoo.warning",TRUE)) {
        # Warn about Yahoo Finance quality and stability
@@ -296,6 +297,9 @@ function(Symbols,env,return.class='xts',index.class="Date",
      default.from <- from
      default.to <- to
 
+     intervals <- c(daily = "1d", weekly = "1wk", monthly = "1mo")
+     default.periodicity <- match.arg(periodicity, names(intervals))
+
      if(!hasArg(verbose)) verbose <- FALSE
      if(!hasArg(auto.assign)) auto.assign <- TRUE
 
@@ -308,6 +312,15 @@ function(Symbols,env,return.class='xts',index.class="Date",
        return.class <- getSymbolLookup()[[Symbols[[i]]]]$return.class
        return.class <- ifelse(is.null(return.class),default.return.class,
                               return.class)
+       periodicity <- getSymbolLookup()[[Symbols[[i]]]]$periodicity
+       periodicity <- if(is.null(periodicity)) default.periodicity else periodicity
+
+       # ensure valid periodicity
+       p <- pmatch(periodicity, names(intervals))
+       if(is.na(p))
+         stop("periodicity must be one of: ", paste(intervals, collapse=", "))
+       interval <- intervals[p]
+
        from <- getSymbolLookup()[[Symbols[[i]]]]$from
        from <- if(is.null(from)) default.from else from
        to <- getSymbolLookup()[[Symbols[[i]]]]$to
@@ -321,7 +334,7 @@ function(Symbols,env,return.class='xts',index.class="Date",
        if(verbose) cat("downloading ",Symbols.name,".....\n\n")
 
        yahoo.URL <- .yahooURL(Symbols.name, from.posix, to.posix,
-                              "1d", "history", handle)
+                              interval, "history", handle)
        dl <- try(curl::curl_download(yahoo.URL, destfile = tmp,
                                      quiet = !verbose, handle = handle$ch),
                   silent = TRUE)
@@ -334,7 +347,7 @@ function(Symbols,env,return.class='xts',index.class="Date",
          handle <- .getHandle(force.new = TRUE)
          # try again
          yahoo.URL <- .yahooURL(Symbols.name, from.posix, to.posix,
-                                "1d", "history", handle)
+                                interval, "history", handle)
          dl <- try(curl::curl_download(yahoo.URL, destfile = tmp,
                                        quiet = !verbose, handle = handle$ch),
                     silent = TRUE)

man/getSymbols.yahoo.Rd

@@ -19,7 +19,8 @@ getSymbols.yahoo(Symbols,
                  index.class  = 'Date',
                  from = "2007-01-01",
                  to = Sys.Date(),
-                  ...)
+                 ...,
+                 periodicity = "daily")
 }
 %- maybe also 'usage' for other objects documented here.
 \arguments{
@@ -32,6 +33,8 @@ getSymbols.yahoo(Symbols,
                     (2007-01-01)}
        \item{to}{ Retrieve data through this date (Sys.Date())}
        \item{\dots}{ additional parameters }
+       \item{periodicity}{ periodicity of data to query and return. Must be
+                           one of "daily", "weekly", "monthly". ("daily") }
 }
 \details{
 Meant to be called internally by \code{getSymbols} (see also).