https://github.com/juliaquant/marketdata.jl

Time series market data
https://github.com/juliaquant/marketdata.jl

financial-data julia time-series

Last synced: 27 days ago
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Time series market data

• Host: GitHub
• URL: https://github.com/juliaquant/marketdata.jl
• Owner: JuliaQuant
• License: other
• Created: 2014-01-07T14:49:27.000Z (over 11 years ago)
• Default Branch: main
• Last Pushed: 2024-09-09T10:12:38.000Z (8 months ago)
• Last Synced: 2025-03-30T04:09:46.956Z (about 1 month ago)
• Topics: financial-data, julia, time-series
• Language: Julia
• Homepage: https://juliaquant.github.io/MarketData.jl/stable/
• Size: 5.94 MB
• Stars: 154
• Watchers: 9
• Forks: 22
• Open Issues: 12
• Metadata Files:
  • Readme: README.md
  • Changelog: NEWS.md
  • License: LICENSE

Awesome Lists containing this project

README

        
[![Build Status](https://travis-ci.com/JuliaQuant/MarketData.jl.svg?branch=main)](https://travis-ci.com/JuliaQuant/MarketData.jl)

[![codecov](https://codecov.io/gh/JuliaQuant/MarketData.jl/branch/main/graph/badge.svg)](https://codecov.io/gh/JuliaQuant/MarketData.jl)

[![](https://img.shields.io/badge/docs-stable-blue.svg)](https://JuliaQuant.github.io/MarketData.jl/stable)

[![](https://img.shields.io/badge/docs-dev-blue.svg)](https://JuliaQuant.github.io/MarketData.jl/dev)

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](https://juliaquant.github.io/MarketData.jl/stable/test_data/).

```julia

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

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](https://juliaquant.github.io/MarketData.jl/stable/downloads/).