Quandl API example for R

Quandl.R

Quandl <- function(Symbols, env=.GlobalEnv, from="2000-01-01", to=Sys.Date(), auth=NULL) {
  # Function to pull data using the quandl API
  # Returns an xts object
  # Input Args
  # Symbols     : character vector of quandl codes of the datasets you want to retrieve
  # from        : character vector of the start date in yyyy-mm-dd
  # to          : character vector of the end date in yyyy-mm-dd
  # auth        : authentication toke for quandl API access www.quandl.com/api
  
  # Base url for the quandl api
  quandl.url <- "http://www.quandl.com/api/v1/datasets/"
  
  # remove everything before the "/" for assigning the symbols to variable names
  sym.names <- gsub(".*/", "", Symbols)
  print(sym.names)
  
  # Loop through the symbols to download the data and assign to the environment
  for(i in 1:length(Symbols)) {
    
    # Create a temporary file
    tmp <- tempfile()
    
    # Paste the url together and download the fle to tmp
    download.file(paste(quandl.url, Symbols[i], ".csv", 
                        "?trim_start=", from, 
                        "&trim_end=", to, "&sort_order=asc", 
                        "&auth_token=", auth, sep=""), destfile=tmp)
    
    # Read the tmp file in as a data.frame
    fr <- read.csv(tmp, as.is=TRUE)
    
    # Delete the temporary file
    unlink(tmp)
    
    # Transform the fr object from data.frame to xts
    fr <- xts(x=fr[,-1], order.by=as.Date(fr[,1], format="%Y-%m-%d"))
    
    # Assign the symbol to the environment
    assign(sym.names[i], fr, env)
    
    # Pause 1 second between requests for more than 5 symbols
    if (i >= 5 && length(Symbols) > 5) {
      message("pausing 1 second between requests for more than 5 symbols")
      Sys.sleep(1)
    }
  }
}

# example to load US GDP, Nymex Crude Oil, and the S&P 500

datasets <- c("FRED/GDP", "OFDP/FUTURE_CL1", "YAHOO/INDEX_GSPC")

Quandl(Symbols = datasets)

# View the data
head(FUTURE_CL1)
head(GDP)
head(INDEX_GSPC)

# The data is downloaded as daily. Easily transform to monthly. This leverages
# the xts functions and keeps the Quandl() function simple
to.monthly(x=FUTURE_CL1, indexAt="lastof")