Downloading Data from Quandl Databases

The workhorse is the Quandl() function.

> Quandl(code, type = c("raw", "ts", "zoo", "xts", "timeSeries"),
+        transform = c("", "diff", "rdiff", "normalize", "cumul", "rdiff_from"),
+        collapse = c("", "daily", "weekly", "monthly", "quarterly", "annual"),
+        order = c("desc", "asc"), meta = FALSE, force_irregular = FALSE, ...)
  • code: dataset code on Quandl specified as a string or an array of strings
  • type: type of data returned
  • transform: apply Quandl API data transformations
  • order: select if data returned by R is in ascending or descending format
  • meta: adds meta data as an attribute to the returned data
  • force_irregular: if set to TRUE, forces the index of the data to be of date format yyyy-mm-dd
  • ...: additional named values that are interpreted as Quandl API parameters. Please see https://www.quandl.com/docs/api#retrieve-data-and-metadata for a full list of parameters.

You can start downloading data by only using the code argument. Codes can be found on the website of Quandl or you can query the databases directly within R. (see chapter Querying Quandl Databases from R Console). Suppose we want the data for the automobile manufacturer BMW from Frankfurt Stock Exchange using Google Finance as database.

> bmw <- Quandl("GOOG/FRA_BMW")

> str(bmw)

'data.frame':    1197 obs. of  6 variables:
 $ Date  : Date, format: "2015-09-18" "2015-09-17" ...
 $ Open  : num  88.3 87.8 87.7 85.8 86 ...
 $ High  : num  88.3 88.5 88.7 87.8 86.2 ...
 $ Low   : num  84.9 87.8 87 85.8 85 ...
 $ Close : num  86 88 87.6 87.7 85.5 ...
 $ Volume: num  10712 3715 3761 5164 1897 ...
 - attr(*, "freq")= chr "daily"

> head(bmw)

        Date  Open  High   Low Close Volume
1 2015-09-18 88.35 88.35 84.91 85.97  10712
2 2015-09-17 87.80 88.48 87.80 88.04   3715
3 2015-09-16 87.70 88.71 86.95 87.64   3761
4 2015-09-15 85.85 87.81 85.76 87.65   5164
5 2015-09-14 86.00 86.24 84.98 85.55   1897
6 2015-09-11 86.40 86.40 85.10 86.07   4836

> tail(bmw)

           Date  Open  High   Low Close Volume
1192 2011-01-10 58.90 59.26 58.43 58.56  13532
1193 2011-01-07 59.55 60.07 58.83 59.47  15508
1194 2011-01-06 60.00 61.02 59.70 59.83   8911
1195 2011-01-05 60.40 60.55 58.42 60.06  21851
1196 2011-01-04 61.44 61.57 60.09 60.77  30843
1197 2011-01-03 59.70 61.54 59.70 61.31  19869

> summary(bmw)

      Date                 Open             High             Low        
 Min.   :2011-01-03   Min.   :  0.00   Min.   : 46.64   Min.   : 43.56  
 1st Qu.:2012-02-29   1st Qu.: 61.21   1st Qu.: 61.79   1st Qu.: 60.52  
 Median :2013-05-08   Median : 72.09   Median : 72.67   Median : 71.37  
 Mean   :2013-05-07   Mean   : 75.46   Mean   : 76.33   Mean   : 74.58  
 3rd Qu.:2014-07-14   3rd Qu.: 87.70   3rd Qu.: 88.47   3rd Qu.: 86.28  
 Max.   :2015-09-18   Max.   :122.89   Max.   :123.70   Max.   :120.22  
                      NA's   :2        NA's   :2        NA's   :2       
     Close            Volume      
 Min.   : 44.94   Min.   :     0  
 1st Qu.: 61.29   1st Qu.:  5693  
 Median : 71.99   Median :  9477  
 Mean   : 75.48   Mean   : 12330  
 3rd Qu.: 87.50   3rd Qu.: 15200  
 Max.   :123.00   Max.   :185389