Script to fetch stock quotes from Yahoo, based on stock symbol supplied, and generate four files--e.g. if 'ibm' symbol used, files written to drive will be ibm.html, ibmlog.jpg, ibmdiff.jpg and ibm.csv. Sample html can be viewed here.
It's customary for data analysts to analyze stock prices (yt) on log scale, log(yt). Notice the first differences of the log prices, log(yt) - log(yt-1), are approximately equal to the (small) percentage changes of the stock per time period (which can be shown by Taylor expansion).
(As you see in the second chart on the sample html page, the daily changes of the stock roughly center around zero. That's why stock market sometimes is considered nothing short of sheer gambling.)
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Caution. Beware when you fetch data automatically via the Internet. "Large" volumn might result in your IP being blocked by the website you make request to. Some sites did that for security reason. They might do so if they believe you're a "robot" or "worm."
use strict;
use warnings;
# - - - - - - - - - - - - - - - - - - - - - - - - - -
# e.g. if 'ibm' queried, script writes to files:
# ibm.html ibmdiff.jpg ibmlog.jpg ibm.csv
# - - - - - - - - - - - - - - - - - - - - - - - - - -
# stock symbol lookup: http://finance.yahoo.com/l
# e.g. aapl ko ibm msft rhat sunw
my $stocksymbol = "rhat";
my $startdate = "4-15-2002"; # since it's for historical date,
my $enddate = "6-30-2003"; # latest data may not be available
my $interval = "d"; # d: daily, w: weekly, m: monthly
my $agent = "Mozilla/4.0"; # your id sent to Yahoo Web server, enter
+ something
my $q = quotes::get($stocksymbol, $startdate, $enddate, $interval, $ag
+ent);
my ($ma, $diff) = (20, 1); # lags for MA & differencing
open OUT, ">$stocksymbol.html";
print OUT chart::html($stocksymbol, $q, $ma, $diff); # expecting hea
+ders: Date,Open,High,Low,Close,Volume
close OUT;
print "done: $stocksymbol.html generated.\n";
{package quotes;
use LWP::UserAgent;
sub get {
my ($symbol, $startdate, $enddate, $agent) = @_;
print "fetching data...\n";
my $dat = _fetch($symbol, $startdate, $enddate, $agent); # c
+sv file, 1st row = header
my @q = split /\n/, $dat;
my @header = split /,/, shift @q;
my %quotes = map { $_ => [] } @header;
for my $q (@q) {
my @val = split ',', $q;
unshift @{$quotes{$header[$_]}}, $val[$_] for 0..$#val;
+# unshift instead of push if data listed latest 1st & oldest last
}
open OUT, ">$symbol.csv";
print OUT $dat;
close OUT;
print "data written to $symbol.csv.\n";
return \%quotes;
}
sub _fetch {
my ($symbol, $startdate, $enddate, $interval, $agent) = @_;
my $url = "http://chart.yahoo.com/table.csv?";
my $freq = "g=$interval"; # d: daily, w: weekly, m: monthly
my $stock = "s=$symbol";
my @start = split '-', $startdate;
my @end = split '-', $enddate;
$startdate = "a=" . ($start[0]-1) . "&b=$start[1]&c=$start[2]"
+;
$enddate = "d=" . ($end[0]-1) . "&e=$end[1]&f=$end[2]";
$url .= "$startdate&$enddate&$stock&y=0&$freq&ignore=.csv";
my $ua = new LWP::UserAgent(agent=>$agent);
my $request = new HTTP::Request('GET',$url);
my $response = $ua->request($request);
if ($response->is_success) {
return $response->content;
} else {
warn "Cannot fetch $url (status ", $response->code, " ", $
+response->message, ")\n";
return 0;
}
}
}
{package chart;
use GD::Graph::lines;
# my @headers = qw/ Date Open High Low Close Volume /; hardcoded i
+n _tbl()
# $q->{Close} assumed exists in plotlog() & plotdiff()
sub html {
my ($stock, $q, $ma, $diff) = @_;
print "generating html...\n";
my $str = "";
$str .= "<html><head><title>$stock</title></head><body bgcolor
+=\"#00000\" text=\"ffffff\"><center>\n";
$str .= "<p><img src=\"" . plotlog($stock, $q, $ma) . "\"></p>
+\n";
$str .= "<p><img src=\"" . plotdiff($stock, $q, $ma, $diff) .
+"\"></p>\n";
$str .= _tbl($stock, $q);
$str .= "</center></body></html>\n";
return $str;
}
sub plotlog {
my ($stock, $q, $diff) = @_;
my $img = $stock . "log.jpg";
print "generating $img...\n";
my ($s, $lines) = ([],[]);
my $y_format = sub { sprintf " \$%.2f", exp $_[0] };
$s = ts::logs($q->{Close});
$lines->[0] = { name => 'Log of Closing Price', color => 'm
+arine', data => $s };
$lines->[1] = { name => "MA($diff) (Moving Avg)", color =>
+'cyan', data => ts::ma($lines->[0]->{data}, $diff) };
plotlines($img, $stock, $q->{Date}, $lines, $y_format);
return $img;
}
sub plotdiff {
my ($stock, $q, $lag, $diff) = @_;
my $img = $stock . "diff.jpg";
print "generating $img...\n";
my ($s, $lines) = ([],[]);
my $y_format = sub { sprintf " %.2f", $_[0] };
$s = ts::logs($q->{Close});
$lines->[0] = { name => "Diff($diff)", color => 'marine', d
+ata => ts::diff($s, $diff) };
$lines->[1] = { name => "MA($lag) (Moving Avg)", color => '
+cyan', data => ts::ma($lines->[0]->{data}, $lag) };
$s = ts::stdev($lines->[0]->{data}, $lag);
$s = ts::nstdev_ma($s, $lines->[1]->{data}, 2);
$lines->[2] = { name => 'MA + 2 Std Dev', color => 'lred',
+data => $s->[0] };
$lines->[3] = { name => 'MA - 2 Std Dev', color => 'lred',
+data => $s->[1] };
plotlines($img, $stock, $q->{Date}, $lines, $y_format);
return $img;
}
sub plotlines {
my ($file, $stock, $x, $lines, $y_format) = @_;
my @legend;
my ($data, $colors) = ([], []);
$data->[0] = $x; # x-axis labels
for (0..$#{$lines}) {
$data->[(1+$_)] = $lines->[$_]->{data};
$colors->[$_] = $lines->[$_]->{color};
$legend[$_] = $lines->[$_]->{name};
}
my $graph = GD::Graph::lines->new(740,420);
$graph->set (dclrs => $colors) or die $graph->error;
$graph->set_legend(@legend) or die $graph->error;
$graph->set (legend_placement => 'BC') or die $graph->error;
$graph->set(y_number_format => $y_format) if $y_format;
$graph->set (
title => "stock: $stock",
boxclr => 'black',
bgclr => 'dgray',
axislabelclr => 'white',
legendclr => 'white',
textclr => 'white',
r_margin => 20,
tick_length => -4,
y_long_ticks => 1,
axis_space => 10,
x_labels_vertical => 1,
x_label_skip => int(0.2*scalar(@{$data->[0]}))
) or die $graph->error;
my $gd = $graph->plot($data) or die $graph->error;
open (IMG, ">$file") or die $!;
binmode IMG;
print IMG $gd->jpeg(90);
return 1;
}
sub _tbl {
my ($stock, $q) = @_;
my $str = "";
my @headers = qw/ Date Open High Low Close Volume /;
my $tr_start = "<tr align=\"center\">\n";
$str .= "<table border=\"1\" cellpadding=\"3\" cellspacing=\"0
+\">\n";
$str .= $tr_start . "<td colspan=\"" . scalar @headers . "\">"
+;
$str .= "<b>Stock: $stock</b></td></tr>\n";
$str .= $tr_start;
$str .= "<td><b>" . $headers[$_] . "</b></td>\n" for 0..$#head
+ers;
$str .= "</tr>\n";
for my $i (reverse 0..$#{$q->{Date}}) {
$str .= $tr_start;
$str .= "<td>" . $q->{$headers[$_]}->[$i] . "</td>\n" for
+0..$#headers;
$str .= "</tr>\n";
}
$str .= "</table>\n";
return $str;
}
}
{package ts;
sub logs {
my $s = shift;
return [ map {log} @{$s}[0..$#{$s}] ];
}
sub diff {
my ($series, $lag) = @_;
my @diff = map {undef} 1..$lag;
push @diff, $series->[$_] - $series->[$_-$lag] for ( $lag..$#{
+$series} );
return \@diff;
}
sub ma {
my ($series, $lag) = @_;
my @ma = map {undef} 1..$lag;
for(@{$series}){unless($_){push @ma,undef}else{last}}
my $sum = 0;
for my $i ($#ma..$#{$series}) {
$sum += $series->[$i-$_] for (0..($lag-1));
push @ma, $sum/($lag);
$sum = 0;
}
return \@ma;
}
sub stdev {
my ($series, $lag) = @_;
my @stdev = map {undef} 1..$lag;
for(@{$series}){unless($_){push @stdev,undef}else{last}}
my ($sum, $sum2) = (0, 0);
for my $i ($#stdev..$#{$series}) {
for (0..($lag-1)) {
$sum2 += ($series->[$i-$_])**2;
$sum += $series->[$i-$_] ;
}
push @stdev, ($sum2/$lag - ($sum/$lag)**2)**0.5;
($sum, $sum2) = (0, 0);
}
return \@stdev;
}
sub nstdev_ma{
my ($sd, $ma, $n) = @_;
my $ans=[[],[]];
for (0..$#{$sd}) {
my $yn = defined $sd->[$_] && defined $ma->[$_];
$ans->[0][$_] = $yn ? $ma->[$_] + $n*($sd->[$_]) : undef;
$ans->[1][$_] = $yn ? $ma->[$_] - $n*($sd->[$_]) : undef;
+
}
return $ans;
}
}
