I need FX data (the most accurate possible) for use in R. Right now I have developed a script in Java to download the CSV file (from Oanda) and use this file to read it in R, but I think that is a turn around. Someone know a best option to work with R?

  • $\begingroup$ Do you need a time series or a script which can get the price every, let's say, 5 minutes (or 1 hour or 30 seconds or whatever you want)? $\endgroup$ – simmy Mar 10 '16 at 20:43
  • $\begingroup$ Welcome to quant.SE @ferran87. Maybe you could some of the available R framework to connect with the most common data provider API's (r-bloggers.com/financial-data-accessible-from-r-part-iii) $\endgroup$ – muffin1974 Mar 11 '16 at 11:25
  • $\begingroup$ @Simone Bortolato: yes initially, but the most perfect solution would be tick by tick data. Do you have this script? $\endgroup$ – ferran87 Mar 12 '16 at 8:06
  • $\begingroup$ @muffin1974: thank you! I will try every option! $\endgroup$ – ferran87 Mar 12 '16 at 8:10
  • $\begingroup$ If you are oper to a different programming behavior, I would suggest you to try with MATLAB: I've been able to download the price of a stock from Yahoo Finance two times every second, with just a loop and a couple of instructions. (I've got a very slow 1mb connection at my home) $\endgroup$ – simmy Mar 12 '16 at 8:48

Have a look at the TFX R package.


FX is a very different beast because there's no centralized market and the actual flow you can interact with differs greatly from participant to participant. I would recommend that you only use historical data that you are storing yourself.


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