How to download historical data using R? [closed]

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Closed 9 years ago.

I am looking for a package to download historical data of Futures (NO STOCK DATA).

could someone advice me some good R package?

Thanks!

P.S. I Know there are many packages, but they only seem to retrive stock prices, and not Futures. I Only need futures.

Answer 1

There is no free source of futures data. Atleast not comprehensive.

You can look into 'FinancialInstruments` package's source on R-Forge especially this file

https://r-forge.r-project.org/scm/viewvc.php/pkg/FinancialInstrument/inst/parser/download.tblox.R?view=markup&root=blotter

It will download historical data for select futures which TradingBlox publishes daily. Mind you this data is back adjusted continuous contract data and is created using TradingBlox's own methodology of back adjusting.

Among paid sources, CSI data is reasonably priced for smaller traders and can give data in multiple formats and allows you to customize back adjustment logic.

There is interesting project Quandl but I really haven't seen it mentioned around much or tested accuracy of the data.