R code snippet : Read Historical Prices of Cryptocurrencies

This post shows how to read prices of cryptocurrencies given symbols as a string.


Read historical prices of cryptocurrencies


R code snippet : Read Historical Prices of Cryptocurrencies
Pairs trading also can be applied to cryptocurrencies. It is, therefore, a starting point of pairs trading backtest to collect daily prices of them. I collected the symbols of major cryptocurrencies at

https://finance.yahoo.com/cryptocurrencies/


Some limitations : data lengths


It is worth noting that the quantmod R package we used in this work does not provide the full or longer history of crypto prices. For example the first historical data of BTC begins at 2014-09-17 and ETH at 2017-11-09. The available sample periods of other coins are similar to or less than that of ETH.


R code


The following R code retrieves historical daily prices of major cryptocurrencies given their symbols as of 2022-08-13.


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#========================================================#
# Quantitative ALM, Financial Econometrics & Derivatives 
# ML/DL using R, Python, Tensorflow by Sang-Heon Lee 
#
# https://shleeai.blogspot.com
#--------------------------------------------------------#
# read prices of cryptocurrencies
#========================================================#
 
graphics.off(); rm(list = ls())
 
library(quantmod)
library(stringr) # trim
 
#-------------------------------------------------
# Major cryptocurrencies, as of 2022-08-13
#-------------------------------------------------
vstr_symbol <- "
    Symbol  ,    Name
    BTC-USD  ,    Bitcoin USD        
    ETH-USD  ,    Ethereum USD   
    USDT-USD ,    Tether USD
    USDC-USD ,    USD Coin USD
    BNB-USD  ,    Binance Coin USD
    ADA-USD  ,    Cardano USD
    XRP-USD  ,    XRP USD
    BUSD-USD ,    Binance USD USD
    SOL-USD  ,    Solana USD
    HEX-USD  ,    HEX USD
    DOT-USD  ,    Polkadot USD
    DOGE-USD ,    Dogecoin USD
    AVAX-USD ,    Avalanche USD
    MATIC-USD,    Polygon USD
    DAI-USD  ,    Dai USD
    WTRX-USD ,    Wrapped TRON USD
    SHIB-USD ,    SHIBA INU USD
    STETH-USD,    Lido stETH USD
    UNI1-USD ,    Uniswap USD
    TRX-USD  ,    TRON USD
    ETC-USD  ,    Ethereum Classic USD
    WBTC-USD ,    Wrapped Bitcoin USD
    LEO-USD  ,    UNUS SED LEO USD
    LTC-USD  ,    Litecoin USD
    NEAR-USD ,    NEAR-USD
      "
 
#-------------------------------------------
# split Symbol and make vector
#-------------------------------------------
df <- read.table(text = str_trim(vstr_symbol), 
                 sep = ",", header = TRUE)
df <- as.data.frame(df); df
 
df$Symbol <- str_trim(gsub("[\t\r\n,]", "", df$Symbol))
df$Name   <- str_trim(gsub("[\t\r\n,]", "", df$Name))
df
nc <- nrow(df) # number of crypto
 
#-------------------------------------------
# read price information
#-------------------------------------------
 
# limitation of data length
# BTC                 : from 2014-09-17
# ETH and some coins  : from 2017-11-09
# others              : short period
 
sdate <- as.Date("2017-11-09")
edate <- as.Date("2022-08-12")
getSymbols(df$Symbol,from=sdate,to=edate)
 
#-------------------------------------------
# collect only adjusted prices
#-------------------------------------------
price <- NULL
for(i in 1:nc) {
    eval(parse(text=paste0(
        #"price <- cbind(price,`",df$Symbol[i],"`[,6])")))
    
    "price <- cbind(price,`",
    gsub("\\^","",df$Symbol[i]),"`[,6])")))
}
 
# modify column name as only symbol
colnames(price) <- gsub(".USD.Adjusted", "", colnames(price))
 
# convert to data.frame with the first column as Date
df.price <- cbind(time=time(price), as.data.frame(price))
rownames(df.price) <- NULL
 
#-------------------------------------------
# print time series of daily prices
#-------------------------------------------
head(df.price)
tail(df.price)
 
cs


Running the above R code displays the status of data reading process as follows.

R code snippet : Read and Concatenate Prices of Cryptocurrencies


Finally, we can get the collection of individual cryptocurrency prices.

R code snippet : Read and Concatenate Prices of Cryptocurrencies

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