Download Financial Market Time Series Data
Originally published: 14/05/2019 10:08
Last version published: 24/05/2020 20:44
Publication number: ELQ-78821-3
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Download Financial Market Time Series Data

Download and align Open, High, Low, Close and Volume stock and index data for multiple symbols and time frequencies.

Description
An Excel VBA driven solution to download time series data from financial markets for multiple symbols. Symbols for stocks, indices or any publicly traded financial instrument can be identified from web lookup links to extract and align the time series data for daily, weekly or monthly periods.

Multiple download sources are integrated with optional API key specification options: Yahoo Finance, IEX Global, Quandl (optional API key), and Alpha Vantage (required API key freely available). This is to suit preferences and requirements and also provide backup options should sources stop functioning.
Time series data can be Open, High, Low, Close, Volume or Adjusted Close (for dividends, splits and buybacks) and is aligned by date across symbols for analysis or subsequent system processing.

An analysis tab is provided to compare two symbols, such as a benchmark index and security. The analysis provides statistical and performance metrics and charts including return, correlation, risk and ratio calculations.

A query tab is provided to test the download of data for one symbol and one download source. This gets the raw data for all fields and I used within the main downloading process for date matching and time consolidation. The VBA code is open for viewing and modification if required.

This Best Practice includes
1 Excel file

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Further information

Download time series data for multiple financial market symbols

Requiring historical data for stocks and indices for analysis

Performing complex analysis of financial market data

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Discussion feed for Download Financial Market Time Series Data

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  • aphiri2010
    how to download
    arrow_drop_uparrow_drop_downReply reply
    • Business Spreadsheets
      The tool require macros to be enabled. After that, just enter the symbols required to download the market data.
      arrow_drop_uparrow_drop_downReply reply


    4.7 / 5 (11 votes)

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