Yahoo Import

Yahoo import works by downloading and parsing JSON data files from finance.yahoo.com. Several of the example scripts include Yahoo import sections, e.g.

To import data from Yahoo, you must provide a symbol list using one or more IncludeList statements. This will be the list of symbols that are downloaded and imported.

To find out what symbols are available, visit https://finance.yahoo.com/ and use the search function, e.g.

When using Yahoo to import large lists of symbols, you may find that it becomes very slow after the first few hundred. Yahoo deliberately slows down the connection when they see too many download requests from the same IP address in too short a time. You get what you pay for (Yahoo is free).

Yahoo data includes both splits and dividends, so RealTest is able to provide accurate as-traded backtests using this data. Yahoo does not, however, offer delisted symbols or historical index constituency information. If these are important to you, Norgate Data is the recommended source to use.

Yahoo data also does not provide any symbol-level information such as company name or industry. Although some of that information is on the website, RealTest does not do any screen-scraping. If you have such information in CSV format and want to apply it to a Yahoo import, you can do so by adding a SyminfoFile path to the import definition. An example SymInfo file for the S&P 500 components is included in the Examples folder and used in the script shown above.

In addition to the advantages mentioned above, the biggest advantage to using a paid data service like Norgate has to do with this kind of meta-data. Specifically, there is never a need for a SymInfo file when using Norgate. The company name, industry, exchange, country, currency, etc. are all obtained automatically during import.

More importantly, Norgate includes a dynamic Watchlist facility that makes it easy to know that every day, you are importing "all the symbols in the market" (or in an index, or however you want to define your universe). If you use a free source like Yahoo, be prepared to do a lot of research every day just to keep track of symbol changes, additions, delistings, etc.