R语言可以非常轻松的获得证券（股票、债券、基金、期货（黄金、原油等）、期权），指数、外汇和美联储提供的各种经济数据。我来详细说一下。
quantstrat包的金融数据很全
- yahoo提供的各种证券数据，股票、债券、基金、期货、期权、指数都有，非常全。你在雅虎财经页面上看见的我们都能拿到。缺点是咱们这边访问速度非常慢。
- Google也提供了相同的数据。但是2018年之后已经不能用了。看老资料的时候一定要注意。
- OANDA提供了180天的外汇数据。访问也不是速度的问题。你懂的。
- FRED是美联储提供的经济数据。利率、GDP、国债收益率之类的都在这里找。速度慢点，但是能用。
- Rdata文件。放什么随意，速度看你的硬盘速度。
- CSV文件
- MySql数据库
我们先载入quantstrat包
> library(quantstrat)
载入需要的程辑包：quantmod
载入需要的程辑包：xts
载入需要的程辑包：zoo
载入程辑包：‘zoo’
The following objects are masked from ‘package:base’:
as.Date, as.Date.numeric
载入需要的程辑包：TTR
Version 0.4-0 included new data defaults. See ?getSymbols.
载入需要的程辑包：blotter
载入需要的程辑包：FinancialInstrument
载入需要的程辑包：PerformanceAnalytics
载入程辑包：‘PerformanceAnalytics’
The following object is masked from ‘package:graphics’:
legend
载入需要的程辑包：foreachyahoo的证券数据
获取美股苹果公司股票数据
> getSymbols(
Symbols = "AAPL",
src = "yahoo",
from = "2018-01-01",
to = "2020-02-24",
index.class = "POSIXct"
)
[1] "AAPL"主要参数：
- Symbols证券代码字符型向量
- scr数据源，字符型
- from开始日期，字符型
- to结束日期，字符型
- index.class索引类型，字符型
我们看一下股价数据和图表
> head(AAPL)
AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
2018-01-02 170.16 172.30 169.26 172.26 25555900 166.8040
2018-01-03 172.53 174.55 171.96 172.23 29517900 166.7750
2018-01-04 172.54 173.47 172.08 173.03 22434600 167.5496
2018-01-05 173.44 175.37 173.05 175.00 23660000 169.4572
2018-01-08 174.35 175.61 173.93 174.35 20567800 168.8278
2018-01-09 174.55 175.06 173.41 174.33 21584000 168.8085
> chartSeries(AAPL)
获取工商银行A股和港股数据
> getSymbols(
+ Symbols = c("601398.SS","1398.HK"),
+ src = "yahoo",
+ from = "2018-01-01",
+ to = "2020-02-24",
+ index.class = "POSIXct"
+ )
[1] "601398.SS" "1398.HK"
> head(`601398.SS`)
601398.SS.Open 601398.SS.High 601398.SS.Low 601398.SS.Close 601398.SS.Volume 601398.SS.Adjusted
2018-01-02 6.19 6.39 6.11 6.18 537466207 5.667023
2018-01-03 6.18 6.32 6.12 6.16 349361124 5.648683
2018-01-04 6.18 6.18 6.06 6.07 435136522 5.566154
2018-01-05 6.09 6.11 6.06 6.08 281784265 5.575324
2018-01-08 6.09 6.10 6.04 6.07 218487604 5.566154
2018-01-09 6.07 6.11 6.04 6.09 167185706 5.584494
> head(`1398.HK`)
1398.HK.Open 1398.HK.High 1398.HK.Low 1398.HK.Close 1398.HK.Volume 1398.HK.Adjusted
2018-01-02 6.32 6.48 6.32 6.48 424057742 5.860297
2018-01-03 6.50 6.54 6.46 6.50 411577497 5.878385
2018-01-04 6.51 6.66 6.49 6.57 391732554 5.941690
2018-01-05 6.62 6.62 6.50 6.56 291961164 5.932646
2018-01-08 6.62 6.62 6.53 6.55 256489358 5.923603
2018-01-09 6.59 6.59 6.50 6.50 290694432 5.878385
> chartSeries(`1398.HK`)
> chartSeries(`601398.SS`)
获取道琼斯指数和上证指数数据
Dow Jones Industrial Average
> getSymbols(
+ Symbols = "^DJI",
+ src = "yahoo",
+ from = "2018-01-01",
+ to = "2020-02-24",
+ index.class = "POSIXct"
+ )
[1] "^DJI"看一下数据
> head(DJI)
DJI.Open DJI.High DJI.Low DJI.Close DJI.Volume DJI.Adjusted
2018-01-02 24809.35 24864.19 24741.70 24824.01 341130000 24824.01
2018-01-03 24850.45 24941.92 24825.55 24922.68 456790000 24922.68
2018-01-04 24964.86 25105.96 24963.27 25075.13 403280000 25075.13
2018-01-05 25114.92 25299.79 25112.01 25295.87 358020000 25295.87
2018-01-08 25308.40 25311.99 25235.41 25283.00 341390000 25283.00
2018-01-09 25312.05 25439.78 25308.41 25385.80 333490000 25385.80
> chartSeries(DJI)
A股大家最关心的上证指数，也有~
SSE Composite Index
代码一样
> getSymbols(
+ Symbols = "000001.SS",
+ src = "yahoo",
+ from = "2018-01-01",
+ to = "2020-02-24",
+ index.class = "POSIXct"
+ )
[1] "000001.SS"
> head(`000001.SS`)
000001.SS.Open 000001.SS.High 000001.SS.Low 000001.SS.Close 000001.SS.Volume 000001.SS.Adjusted
2018-01-02 3314.031 3349.053 3314.031 3348.326 202300 3348.326
2018-01-03 3347.743 3379.915 3345.289 3369.108 213800 3369.108
2018-01-04 3371.000 3392.826 3365.295 3385.710 207000 3385.710
2018-01-05 3386.464 3402.069 3380.245 3391.750 213100 3391.750
2018-01-08 3391.553 3412.731 3384.559 3409.480 236200 3409.480
2018-01-09 3406.112 3417.228 3403.587 3413.900 191500 3413.900
> chartSeries(`000001.SS`)
获取比特币数据
CoinMarketCap价格
> getSymbols(
+ Symbols = "BTC-USD",
+ src = "yahoo",
+ from = "2018-01-01",
+ to = "2020-02-24",
+ index.class = "POSIXct"
+ )
[1] "BTC-USD"看一下数据
> head(`BTC-USD`)
BTC-USD.Open BTC-USD.High BTC-USD.Low BTC-USD.Close BTC-USD.Volume BTC-USD.Adjusted
2018-01-01 14112.2 14112.2 13154.7 13657.2 10291200000 13657.2
2018-01-02 13625.0 15444.6 13163.6 14982.1 16846600192 14982.1
2018-01-03 14978.2 15572.8 14844.5 15201.0 16871900160 15201.0
2018-01-04 15270.7 15739.7 14522.2 15599.2 21783199744 15599.2
2018-01-05 15477.2 17705.2 15202.8 17429.5 23840899072 17429.5
2018-01-06 17462.1 17712.4 16764.6 17527.0 18314600448 17527.0
> chartSeries(`BTC-USD`)
获取黄金价格数据
COMEX黄金价格
> getSymbols(
+ Symbols = "GC=F",
+ src = "yahoo",
+ from = "2018-01-01",
+ to = "2020-02-24",
+ index.class = "POSIXct"
+ )
[1] "GC=F"看一下数据
> head(`GC=F`)
GC=F.Open GC=F.High GC=F.Low GC=F.Close GC=F.Volume GC=F.Adjusted
2019-12-30 1517.7 1518.4 1517.5 1517.8 3597128 1517.8
2019-12-31 1526.5 1529.0 1519.2 1520.0 117342599 1520.0
2020-01-02 1521.9 1534.0 1520.9 1531.2 138920019 1531.2
2020-01-03 1541.4 1556.6 1540.9 1555.2 252835424 1555.2
2020-01-05 1562.7 1590.9 1562.3 1571.3 1601769 1571.3
2020-01-06 1578.4 1581.5 1562.7 1565.9 351767794 1565.9
> chartSeries(`GC=F`)
获取原油价格数据
NY Mercantile原油价格
> getSymbols(
+ Symbols = "CL=F",
+ src = "yahoo",
+ from = "2018-01-01",
+ to = "2020-02-24",
+ index.class = "POSIXct"
+ )
[1] "CL=F"看一下数据
> head(`CL=F`)
CL=F.Open CL=F.High CL=F.Low CL=F.Close CL=F.Volume CL=F.Adjusted
2020-01-24 54.39 54.41 54.15 54.20 34447364 54.20
2020-01-26 53.70 53.71 52.15 52.64 1009546 52.64
2020-01-27 52.89 53.54 52.13 52.97 332069958 52.97
2020-01-28 53.08 54.08 52.68 53.82 279037102 53.82
2020-01-29 54.14 54.37 52.81 53.10 277368615 53.10
2020-01-30 52.79 52.99 51.67 52.85 308221904 52.85
> chartSeries(`CL=F`)
获取债券价格数据
美国十年期国债
> getSymbols(
+ Symbols = "^TNX",
+ src = "yahoo",
+ from = "2018-01-01",
+ to = "2020-02-24",
+ index.class = "POSIXct"
+ )
[1] "^TNX"看一下数据
> head(TNX)
TNX.Open TNX.High TNX.Low TNX.Close TNX.Volume TNX.Adjusted
2018-01-02 2.433 2.480 2.425 2.465 0 2.465
2018-01-03 2.451 2.465 2.440 2.447 0 2.447
2018-01-04 2.473 2.487 2.449 2.453 0 2.453
2018-01-05 2.465 2.480 2.436 2.476 0 2.476
2018-01-07 NA NA NA NA NA NA
2018-01-08 2.471 2.489 2.462 2.480 0 2.480
> chartSeries(TNX)
获取外汇价格数据
欧元兑美元
> getSymbols(
+ Symbols = "EURUSD=X",
+ src = "yahoo",
+ from = "2018-01-01",
+ to = "2020-02-24",
+ index.class = "POSIXct"
+ )
[1] "EURUSD=X"看有一下数据
> head(`EURUSD=X`)
EURUSD=X.Open EURUSD=X.High EURUSD=X.Low EURUSD=X.Close EURUSD=X.Volume EURUSD=X.Adjusted
2018-01-01 1.200495 1.201504 1.199904 1.200495 0 1.200495
2018-01-02 1.201086 1.208094 1.200855 1.201158 0 1.201158
2018-01-03 1.206200 1.206709 1.200495 1.206345 0 1.206345
2018-01-04 1.201129 1.209190 1.200495 1.201043 0 1.201043
2018-01-05 1.206622 1.208459 1.202154 1.206884 0 1.206884
2018-01-08 1.203949 1.205400 1.195972 1.203746 0 1.203746
> chartSeries(`EURUSD=X`)
获取基金数据
Vanguard Morgan Growth Fund
> getSymbols(
+ Symbols = "VMRGX",
+ src = "yahoo",
+ from = "2018-01-01",
+ to = "2020-02-24",
+ index.class = "POSIXct"
+ )
[1] "VMRGX"看一下数据
> head(VMRGX)
VMRGX.Open VMRGX.High VMRGX.Low VMRGX.Close VMRGX.Volume VMRGX.Adjusted
2018-01-02 29.60 29.60 29.60 29.60 0 23.86189
2018-01-03 29.91 29.91 29.91 29.91 0 24.11180
2018-01-04 30.08 30.08 30.08 30.08 0 24.24884
2018-01-05 30.36 30.36 30.36 30.36 0 24.47456
2018-01-08 30.49 30.49 30.49 30.49 0 24.57936
2018-01-09 30.56 30.56 30.56 30.56 0 24.63579
> chartSeries(VMRGX)
FRED的经济数据
FRED是美联储给大家的免费经济数据库。大家需要的很多基本面数据都可以获得。
获取美国城市CPI和中国M2数据
> getSymbols(
+ Symbols = c("CPIAUCSL","MYAGM2CNM189N"),
+ src = "FRED",
+ from = "2018-01-01",
+ to = "2020-02-24",
+ index.class = "POSIXct"
+ )
[1] "CPIAUCSL" "MYAGM2CNM189N"
> head(CPIAUCSL)
CPIAUCSL
1947-01-01 21.48
1947-02-01 21.62
1947-03-01 22.00
1947-04-01 22.00
1947-05-01 21.95
1947-06-01 22.08
> plot(CPIAUCSL)
> head(MYAGM2CNM189N)
MYAGM2CNM189N
1998-12-01 1.044985e+13
1999-01-01 1.055003e+13
1999-02-01 1.077784e+13
1999-03-01 1.084382e+13
1999-04-01 1.092183e+13
1999-05-01 1.100609e+13
> plot(MYAGM2CNM189N)
感谢阅读，欢迎关注和留言
量化投资与期货外汇散仙，基金保险水平也拿的出手