tidyfinance

New features

• download_data_constituents() gains a path argument that reads an iShares or BlackRock holdings CSV saved from the fund's web page instead of downloading it, e.g. download_data("Index Constituents", path = "holdings.csv"). index is optional with path. Use it as a fallback when the provider moves its files (#311).
• Added download_data_fred_md() and the "FRED-MD" / "FRED-QD" datasets for download_data("FRED", ...), which download the McCracken and Ng (2016, 2021) curated monthly / quarterly macro panels as wide tables (one column per series). transform = TRUE applies each series' stationarity transform code (tcode). vintage selects the current release (default), a specific "YYYY-MM" release, or "all" - the full real-time panel across every archived vintage (recent vintages are hosted individually; older ones are read from the St. Louis Fed vintage archive ZIPs), enabling leak-free point-in-time analysis.

Bug fixes

• download_data_constituents() works again for DAX, EURO STOXX 50, Dow Jones Industrial Average, S&P 500, Nasdaq 100, FTSE 100, MSCI World, STOXX Europe 600, MDAX, TecDAX, MSCI Emerging Markets, and MSCI Europe. iShares removed the German retail pages the holdings files were downloaded from; they are now read from the Swiss professional pages. The header row of a holdings file is detected automatically instead of skipping a fixed number of rows, and a failed download now names the index and the URL and points to path (#311).
• download_factor_library_grid() caches the grid of the factor library for the rest of the session, so download_factor_library_ids() and download_data("Tidy Finance", "factor_library", ...) no longer download the grid of more than four million rows on every call (previously twice per download_data() call when filtering). Use refresh = TRUE to download it again.
• Passing a legacy identifier such as "factors_ff_3_monthly" as dataset now warns that this value is deprecated and names the dataset that replaces it, e.g. "Fama/French 3 Factors". The warning previously claimed that the type argument was used, although the caller never passed it.
• estimate_fama_macbeth() now orders the cross-sections chronologically before aggregating them over time. Newey-West standard errors depend on the order of the time series, so the same data in a different row order previously returned different standard errors and t-statistics while the risk premia were unchanged. Results for chronologically sorted input are unaffected (#302).
• The documentation of estimate_fama_macbeth(detail = TRUE) now lists the adj_r_squared column, which the function has always returned in summary_statistics alongside r_squared and n_obs.
• download_data_stock_prices() now derives dates from the exchange time zone reported by Yahoo Finance instead of converting the timestamps in UTC. Timestamps refer to the market open in local time, so for exchanges ahead of UTC (e.g. "^AXJO", "^NZ50") every observation was previously dated one calendar day too early and could fall on a weekend.
• download_data_stock_prices() now returns a range that is inclusive of both start_date and end_date for every exchange, matching the other download_data_*() functions. The range was previously delegated to Yahoo Finance's period1 / period2, which are resolved in the exchange's local time zone, so end_date was excluded for markets at or behind UTC but included for markets ahead of it.
• download_factor_library_grid(), and with it download_data("Tidy Finance", "factor_library"), now reads portfolio_sort_grid.parquet by name instead of every Parquet file listed in the grid repo, which also holds one slice of the grid per sorting variable and the list of sorting variables. Reading the listing failed as soon as the repo held more than one Parquet file.
• download_factor_library_ids(), and with it download_data("Tidy Finance", "factor_library"), no longer fails with "HTTP 404 Not Found" for IDs in a range of 1,000 IDs for which the factor library has no file because none of its portfolio sorts produced portfolios (e.g., IDs 833001 to 835000, which hold "rdcap" sorts with min_size_quantile = 0.2). Requested IDs without returns are absent from the result, as documented, and a warning now lists them; if none of the requested IDs has returns, the result is an empty tibble with all columns.