Fetch data from the Tiingo API with a getSymbols.tiingo() method.

This enables package users to download historical OHLC, Adjusted OHLC,
Dividend, and Split information from the Tiingo API. Tiingo's free
offering allows access to 60K global securities for 30+ years. Tiingo
provides daily, weekly, monthly, and annual frequencies.

Details of the service can be found at the following links
https://www.tiingo.com/pricing
https://api.tiingo.com/docs/tiingo/daily

Tiingo also provides fundamentals and a 5 minute delay quote system,
though this implimentation includes no provision for downloading them.

NAMESPACE

@@ -256,6 +256,7 @@ export(
     getSymbols.yahoo,
     getSymbols.yahooj,
     getSymbols.oanda,
+    getSymbols.tiingo,
     #getSymbols.Bloomberg,
     #getSymbols.IBrokers,
     getSymbols.csv,

R/getSymbols.R

@@ -1350,6 +1350,132 @@ getSymbols.av <- function(Symbols, env, api.key,
 # Mnemonic alias, letting callers use getSymbols("IBM", src="alphavantage")
 getSymbols.alphavantage <- getSymbols.av
 
+#
+#  Download OHLC Data From Tiingo
+#  
+#  Meant to be called internally by getSymbols().
+#  
+getSymbols.tiingo <- function(Symbols, env, api.key,
+                              return.class="xts",
+                              periodicity="daily",
+                              adjusted = FALSE,
+                              from='2007-01-01',
+                              to=Sys.Date(),
+                              data.type="json",
+                              ...) {
+
+  return.class = match.arg(return.class,
+                           c("xts", "data.frame", "zoo",
+                             "ts", "matrix", "timeSeries",
+                             "quantmod.OHLC"))
+  periodicity = match.arg(periodicity,
+                          c("daily", "weekly",
+                            "monthly", "annually"))
+  adjusted = match.arg(as.character(adjusted),
+                       c("TRUE", "FALSE", "both"))
+  # match.arg returns a char so we do conversion back to logical
+  if (adjusted == "TRUE" | adjusted == "FALSE") {
+    adjusted = as.logical(adjusted)
+  }
+  data.type = match.arg(data.type, c("json", "csv"))
+  importDefaults("getSymbols.tiingo")
+  this.env <- environment()
+  for (var in names(list(...))) {
+    assign(var, list(...)[[var]], this.env)
+  }
+
+  if (!hasArg("api.key")) {
+    stop("getSymbols.tiingo: An API key is required (api.key). Register",
+         " at https://api.tiingo.com.", call. = FALSE)
+  }
+  if (!hasArg("auto.assign")) auto.assign <- TRUE
+  if (!hasArg("verbose")) verbose <- FALSE
+  if (!hasArg("warnings")) warnings <- TRUE
+
+  valid.periodicity <- c("daily", "weekly", "monthly", "annually")
+  periodicity <- match.arg(periodicity, valid.periodicity)
+  default.return.class <- return.class
+  default.periodicity <- periodicity
+
+  if (!requireNamespace("jsonlite", quietly = TRUE)) {
+    stop("getSymbols.tiingo: Package", dQuote("jsonlite"), "is required but",
+         " cannot be loaded.", call. = FALSE)
+  }
+
+  tmp <- tempfile()
+  on.exit(file.remove(tmp))
+
+  downloadOne <- function(sym, default.return.class, default.periodicity) {
+
+    return.class <- getSymbolLookup()[[sym]]$return.class
+    return.class <- if (is.null(return.class)) default.return.class else return.class
+    periodicity <- getSymbolLookup()[[sym]]$periodicity
+    periodicity <- if (is.null(periodicity)) default.periodicity else periodicity
+    periodicity <- match.arg(periodicity, valid.periodicity)
+    sym.name <- getSymbolLookup()[[sym]]$name
+    sym.name <- if (is.null(sym.name)) sym else sym.name
+
+    if (verbose) cat("loading", sym.name, ".....")
+    from.strftime <- strftime(from, format = "%Y-%m-%d")
+    to.strftime <- strftime(to, format = "%Y-%m-%d")
+    if (adjusted == FALSE) {
+      return_columns = c("open", "high", "low", "close", "volume",
+                         "divCash", "splitFactor")
+    } else if (adjusted == TRUE) {
+      return_columns = c("adjClose", "adjHigh", "adjLow", "adjOpen",
+                         "adjVolume", "divCash", "splitFactor")
+    } else {
+      return_columns = c("open", "high", "low", "close", "volume",
+                         "adjClose", "adjHigh", "adjLow", "adjOpen",
+                         "adjVolume", "divCash", "splitFactor")
+    }
+    URL <- paste0("https://api.tiingo.com/tiingo/",
+                  default.periodicity, "/",
+                  sym.name, "/prices/",
+                  "?startDate=", from.strftime,
+                  "&endDate=", to.strftime,
+                  "&format=", data.type,
+                  "&token=", api.key,
+                  "&columns=", paste0(return_columns, collapse = ","))
+    download.file(url = URL, destfile = tmp, quiet = !verbose)
+    tiingo.names <- c("open", "high", "low", "close", "volume",
+                      "adjClose", "adjHigh", "adjLow", "adjOpen",
+                      "adjVolume", "divCash", "splitFactor")
+    qm.names <- paste(sym, c("Open", "High", "Low", "Close", "Volume",
+                             "AdjustedClose", "AdjustedHigh", "AdjustedLow",
+                             "AdjustedOpen", "AdjustedVolume", "DivCash",
+                             "SplitFactor"), sep = ".")
+    data.names <- data.frame(tiingo.names = tiingo.names, qm.names = qm.names,
+                             stringsAsFactors = FALSE)
+
+    if (data.type == "json") {
+      stock.data <- jsonlite::fromJSON(tmp)
+      if (verbose) cat("done.\n")
+    } else {
+      stock.data <- as.data.frame(read.csv(tmp, header = TRUE))
+    }
+    tm.stamps = as.POSIXct(stock.data[, "date"], ...)
+    stock.data[, "date"] = NULL
+    colnames(stock.data) <- qm.names[match(colnames(stock.data), tiingo.names)]
+    # convert data to xts
+    xts.data <- xts(stock.data, tm.stamps, src = "tiingo", updated = Sys.time())
+    xts.data <- convert.time.series(xts.data, return.class = return.class)
+    if (auto.assign)
+      assign(sym, xts.data, env)
+    return(xts.data)
+  }
+
+  matrices <- lapply(Symbols, FUN=downloadOne,
+                     default.return.class=default.return.class,
+                     default.periodicity=default.periodicity)
+
+  if (auto.assign) {
+    return(Symbols)
+  } else {
+    return(matrices[[1]])
+  }
+}
+
 # convert.time.series {{{
 `convert.time.series` <- function(fr,return.class) {
        if('quantmod.OHLC' %in% return.class) {
@@ -1448,3 +1574,4 @@ function(Symbols=NULL,file.path=stop("must specify 'file.path'"),env=parent.fram
   fr <- convert.time.series(fr=fr,return.class=return.class)
 }
 #}}}
+

man/getSymbols.tiingo.Rd

@@ -0,0 +1,92 @@
+\name{getSymbols.tiingo}
+\alias{getSymbols.tiingo}
+\title{ Download OHLC Data from Tiingo }
+\description{
+  Downloads historical or realtime equity price data
+  from \url{https://api.tiingo.com/}.
+  Registration is required.
+}
+\usage{
+  getSymbols.tiingo(Symbols, env, api.key,
+                              return.class="xts",
+                              periodicity="daily",
+                              adjusted = FALSE,
+                              from='2007-01-01',
+                              to=Sys.Date(),
+                              data.type="json",
+                              ...)
+}
+\arguments{
+  \item{Symbols}{ a character vector specifying the names
+    of the symbols to be loaded}
+  \item{env}{ where to create objects (environment) }
+  \item{api.key}{ the API key issued by Tiingo when you registered (character)}
+  \item{return.class}{ class of returned object, see Value (character) }
+  \item{periodicity}{ one of \code{"daily"}, \code{"weekly"}, \code{"monthly"}, or \code{"Annually"} }
+  \item{adjusted}{if \code{TRUE}, returns OHLC adjusted for dividends and splits, a value of \code{"both"}
+    returns both unadjusted and adjusted}
+  \item{from}{ Retrieve data no earlier than this date. (2007-01-01)}
+  \item{to}{ Retrieve data through this date (Sys.Date())}
+  \item{data.type}{ either \code{"json"} or \code{"csv"} }
+  \item{\dots}{ additional parameters as per \code{\link{getSymbols}} }
+}
+\details{
+  Meant to be called internally by \code{getSymbols} only.
+  This method is not meant to be called directly, instead
+  a call to \code{getSymbols("x", src="tiingo")} will
+  in turn call this method. It is documented for the
+  sole purpose of highlighting the arguments accepted.
+
+  You must register with Tiingo in order to download their data.
+  Register at their web site, \url{https://api.tiingo.com},
+  and you will receive an \emph{API key}:
+    a short string of alphanumeric characters (e.g., "FU4U").
+  Provide the API key every time you call \code{getSymbols};
+  or set it globally using \code{setDefaults(getSymbols.tiingo, api.key="yourKey")}.
+
+  Tiingo provides daily, weekly, monthly, and annual data.
+  Use \code{periodicity} to select one.
+  This API accessor will return adjusted or unadjusted OHLC as well as split and dividend information.
+
+  For daily, weekly, and monthly data, Tiingo says the available data is up to 30 years;
+
+  Tiingo provides access to data via two APIs. You can choose the API via
+  the \code{data.type} argument. \code{data.type="json"}, the default, will
+  import data using the JSON API. This API includes additional metadata (e.g.
+  last updated time, timezone, etc) that is not provided via the CSV API.
+}
+\value{
+A call to \code{getSymbols(Symbols, src="tiingo")} will create objects
+in the specified environment,
+one object for each \code{Symbol} specified.
+The object class of the object(s) is determined by \code{return.class}.
+Presently this may be \code{"ts"}, \code{"zoo"}, \code{"xts"}, or \code{"timeSeries"}.
+}
+% \note{
+% [TBD]
+% }
+\references{ Tiingo documentation available at \url{https://www.tiingo.com} }
+\author{ Steve Bronder }
+\seealso{
+\code{\link{getSymbols}},
+\code{\link{getSymbols.yahoo}},
+\code{\link{getSymbols.google}}
+}
+\examples{
+\dontrun{
+# You'll need the API key given when you registered
+getSymbols("IBM", src="tiingo", api.key="yourKey")
+
+# Return adjusted OHLCV for IBM
+getSymbols("IBM", src="tiingo", api.key="yourKey", adjusted = TRUE)
+
+
+getSymbols("IBM", src="tiingo", api.key="yourKey", from="1992-01-10",
+           periodicity="weekly")
+
+# Repeating your API key every time is tedious.
+# Fortunately, you can set a global default.
+setDefaults(getSymbols.tiingo, api.key="yourKey")
+getSymbols("IBM", src = "tiingo", adjusted = "both")
+}
+}