[R] Constant (= wrong) historical quotes via get.hist.quote() from yahoo.finance

[Achim Zeileis]

On Fri, 23 Nov 2012, Marius Hofert wrote:

> Dear expeRts,
>
> I would like to download a time series of historical data from the 
> ticker with symbol "ROG.VX". Interestingly, I obtain constant values 
> (138.3 for each day in the chosen period) although the yahoo.finance 
> website tells me that the time series is not at all constant. What's 
> wrong?

Yahoo! Finance.

> require(tseries)
> hq <- get.hist.quote(instrument="ROG.VX", start="2011-09-09", end="2012-03-28",
>                     quote="Close", provider="yahoo", drop=TRUE)
> plot(hq) # => constant
> stopifnot(hq==138.3) # => constant 138.3
> ## However, under http://finance.yahoo.com/q/hp?s=ROG.VX&a=08&b=09&c=2011&d=02&e=28&f=2012&g=d&z=66&y=132
> ## the historical prices are not all equal to 138.3

It's true that that web page displays the prices correctly. However, if 
you click on "Download to Spreadsheet" you also get the constant 138.3 
prices. And the spreadsheet functionality is what get.hist.quote() and 
other R interface to Yahoo! Finance use.

Hence, you either have to process the HTML table or have to hope that 
Yahoo! Finance fixes the problem. Not sure whether they have functionality 
to report such problems...

Best,
Z