avalonx / MarketData.jl

Time series market data

Historical financial time series data for research and testing in Julia.

Examples

Testing data

There are some data builtin for testing or demo purpose. The full list of testing data is here.

julia> using MarketData

julia> cl
500×1 TimeArray{Float64,1,Date,Array{Float64,1}} 2000-01-03 to 2001-12-31
│            │ Close  │
├────────────┼────────┤
│ 2000-01-03 │ 111.94 │
│ 2000-01-04 │ 102.5  │
│ 2000-01-05 │ 104.0  │
│ 2000-01-06 │ 95.0   │
│ 2000-01-07 │ 99.5   │
│ 2000-01-10 │ 97.75  │
│ 2000-01-11 │ 92.75  │
   ⋮

Remote data source

This package supports Yahoo Finance API for retrieving data.

julia> yahoo(:INTC)
10187×6 TimeArray{Float64,2,Date,Array{Float64,2}} 1980-03-17 to 2020-08-07
│            │ Open   │ High   │ Low    │ Close  │ AdjClose │ Volume     │
├────────────┼────────┼────────┼────────┼────────┼──────────┼────────────┤
│ 1980-03-17 │ 0.3255 │ 0.3307 │ 0.3255 │ 0.3255 │ 0.2022   │ 1.09248e7  │
│ 1980-03-18 │ 0.3255 │ 0.3281 │ 0.3229 │ 0.3229 │ 0.2006   │ 1.70688e7  │
│ 1980-03-19 │ 0.3307 │ 0.3359 │ 0.3307 │ 0.3307 │ 0.2055   │ 1.85088e7  │
│ 1980-03-20 │ 0.3307 │ 0.3346 │ 0.3294 │ 0.3294 │ 0.2047   │ 1.11744e7  │
│ 1980-03-21 │ 0.3229 │ 0.3229 │ 0.3177 │ 0.3177 │ 0.1974   │ 1.21728e7  │
│ 1980-03-24 │ 0.3164 │ 0.3164 │ 0.3112 │ 0.3112 │ 0.1933   │ 8.9664e6   │
│ 1980-03-25 │ 0.3125 │ 0.3177 │ 0.3125 │ 0.3125 │ 0.1941   │ 1.13472e7  │
│ 1980-03-26 │ 0.3125 │ 0.3151 │ 0.3099 │ 0.3099 │ 0.1925   │ 1.62624e7  │
│ 1980-03-27 │ 0.3047 │ 0.3047 │ 0.2995 │ 0.2995 │ 0.186    │ 2.69184e7  │
│ 1980-03-28 │ 0.3112 │ 0.3164 │ 0.3112 │ 0.3112 │ 0.1933   │ 2.01024e7  │
│ 1980-03-31 │ 0.3216 │ 0.3268 │ 0.3216 │ 0.3216 │ 0.1998   │ 9.0048e6   │
│ 1980-04-01 │ 0.3229 │ 0.3281 │ 0.3229 │ 0.3229 │ 0.2006   │ 8.1792e6   │
│ 1980-04-02 │ 0.3255 │ 0.3307 │ 0.3255 │ 0.3255 │ 0.2022   │ 1.25568e7  │
   ⋮

The full API reference is here.