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mjaniec on 08/11/11

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Downloading market data from Stooq to R

/ Published in: R

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# http://www.rhinocerus.net/forum/lang-php/662887-how-read-download-attachment-uri.html - inspiration :)

library(RCurl)

getStooqData <- function(asset_code,static_cookie=TRUE) {
 
 data_tmp <- tempfile() # "data.csv"
 cookie_tmp <- "cookie.txt"
 
 u1 <- paste("http://stooq.com/q/d/?s=",asset_code,sep="")
 u2 <- paste("http://stooq.com/q/d/l/?s=",asset_code,"&i=d",sep="")
 
 if (!static_cookie) {

h <- c(paste("GET ",u1," HTTP/1.0",sep=""),
    Accept="image/gif",Accept="image/x-xbitmap",Accept="image/jpeg",Accept="mage/pjpeg",Accept="application/x-shockwave-flash",Accept="application/vnd.ms-excel",Accept="application/msword",Accept="*/*",
    'Accept-Language'="pl, en-us;q=0.7",'User-Agent'="Mozilla/4.0 (compatible; MSIE 6.0; Windows NT 5.1;SV1)",'Proxy-Connection'="Keep-Alive")

u1Opts <- curlOptions(header=TRUE,httpheader=h,cookiejar=cookie_tmp)
  curlPerform(url=u1,.opts=u1Opts,verbose=TRUE)
  
  h <- c(paste("GET",u2,"HTTP/1.0"),
    Accept="image/gif",Accept="image/x-xbitmap",Accept="image/jpeg",Accept="mage/pjpeg",Accept="application/x-shockwave-flash",Accept="application/vnd.ms-excel",Accept="application/msword",Accept="*/*",
    'Accept-Language'="pl, en-us;q=0.7",'User-Agent'="Mozilla/4.0 (compatible; MSIE 6.0; Windows NT 5.1;SV1)",'Proxy-Connection'="Keep-Alive")   
 
  u2Opts <- curlOptions(header=TRUE,httpheader=h,cookiefile=cookie_tmp)
 
 }
 
 else {

h <- c(paste("GET",u2,"HTTP/1.0"),
    Accept="image/gif",Accept="image/x-xbitmap",Accept="image/jpeg",Accept="mage/pjpeg",Accept="application/x-shockwave-flash",Accept="application/vnd.ms-excel",Accept="application/msword",Accept="*/*",
    'Accept-Language'="pl, en-us;q=0.7",'User-Agent'="Mozilla/4.0 (compatible; MSIE 6.0; Windows NT 5.1;SV1)",'Proxy-Connection'="Keep-Alive",Cookie=paste("cookie_uu=p;cookie_user=%3F0001dllg000011500d1300%7C",asset_code,sep=""))   
 
  u2Opts <- curlOptions(header=TRUE,httpheader=h)
  
 }

reader <- basicTextGatherer() 
 
 w <- getURLContent(url=u2,.opts=u2Opts)

write(w,file=data_tmp)
 
 stooq_data <- read.csv(data_tmp)
 
 stooq_data
}

stooq_data <- getStooqData("es.f",static_cookie=TRUE)

URL: http://mjaniec.bloger.com

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