get Symbols quantmod OHLC currency data

Question

I am trying to retrieve the OHLC Price data for currency pairs. As you can see below I have managed to get the Close price for a defined period of time. Ideally I would also like the Open, High and Low prices too. From there I aim to analyse the data to create a forex trading system.

Here is my work so far:

> getSymbols("GBP/USD",src="oanda", from="2014-05-30", to= "2014-06-14")  
[1] "GBPUSD"  
Warning message:  
In download.file(paste(oanda.URL, from.date, to.date, "exch=", currency.pair[1],  :  
  downloaded length 18395 != reported length 200  
> last(GBPUSD,4)    
               GBP.USD  
2014-06-11  1.6787  
2014-06-12  1.6773  
2014-06-13  1.6820  
2014-06-14  1.6959

`getSymbols` is only an interface to vendor data. You need to find a vendor that supplies OHLC currency data. — Joshua Ulrich, Jun 15 '14 at 14:51
Thanks @JoshuaUlrich. Do you know which vendor supplies OHLC currency data please? — user3740289, Jun 19 '14 at 04:22

score 3 · Answer 1 · edited May 23 '17 at 10:30

Yahoo provides free daily currency data in OHLC format for at least currencies converted to USD, which can be accessed via quantmod:

library(quantmod)
getSymbols("GBP=X",src="yahoo",from="2005-01-01")
getSymbols("AUD=X",src="yahoo",from="2005-01-01")
getSymbols("EUR=X",src="yahoo",from="2005-01-01")
# `EUR=X` (which is USD/EUR) is the number of Euros per 1 USD.

tail(`EUR=X`)
# EUR=X.Open EUR=X.High EUR=X.Low EUR=X.Close EUR=X.Volume EUR=X.Adjusted
# 2016-08-05    0.89811   0.905050  0.895940     0.89809            0        0.89809
# 2016-08-08    0.90190   0.903040  0.900414     0.90175            0        0.90175
# 2016-08-09    0.90197   0.903179  0.899119     0.90223            0        0.90223
# 2016-08-10    0.89943   0.899430  0.892857     0.89962            0        0.89962
# 2016-08-11    0.89397   0.897827  0.893580     0.89394            0        0.89394
# 2016-08-12    0.89775   0.898260  0.891266     0.89774            0        0.89774

Note that volume is not available by most data providers as FX is an OTC market. The answers to this question might also be useful to you: yahoo API discussion

Notwithstanding, be aware of the caveats discussed here when using Yahoo daily fx data. Exact time stamp on quantmod currency (FX) data

get Symbols quantmod OHLC currency data

1 Answers1