Alpha Vantage is a free API which provides both real time and historical stock market data. It is easy to get an API key, intraday data is available, and many technical indicators are included in the service. This package is a simple wrapper client to get data from the API into easy-to-use R objects, namely xts.
This package is available on CRAN and can be installed with install.packages("AlphaVantageClient").
To install this Github version, use devtools::install_github("athompson1991/AlphaVantageClient").
First, set your API key (Note: this is a 100% fake API key. Get key here if you don't already have one):
setAPIKey("ABCD")
Here is how to get daily time series loaded directly into an xts object:
amzn <- fetchSeries(function_nm = "time_series_daily", symbol = "amzn", outputsize = "full", datatype = "json")
The function returns a list with two elements - the xts object that is interpreted from the response, and the response from the httr package request. Now the data can be plotted, analyzed, manipulated into returns, etc.:
head(amzn$xts_object)
plot(amzn$xts_object[ ,1])
amzn_returns <- diff(log(amzn$xts_object[ ,1]))
Similarly, the other Alpha Vantage data offerings are available using the same function:
amzn_sma <- fetchSeries(function_nm = "sma", symbol = "amzn", interval = "daily", time_period = 60, series_type = "close")
amzn_bbands <- fetchSeries(function_nm = "bbands", symbol = "amzn", interval = "daily", time_period = 60, series_type = "close")