rusquant (version 1.1.4)

getSymbols.Algopack: Download AlgoPack data from MOEX

Description

Download historical market data from AlgoPack for a given symbol and time range.

Usage

getSymbols.Algopack(
  Symbols = "",
  env = globalenv(),
  from = Sys.Date() - 30,
  to = Sys.Date(),
  date = Sys.Date(),
  verbose = FALSE,
  type = "tradestats",
  market = "eq",
  auto.assign = FALSE,
  ...
)

Value

returns an data.table object containing financial data

Arguments

Symbols

a character vector of AlgoPack symbols to download data for.

env

environment where to create the downloaded data object.

from

a character string indicating the start date of the data to download, in YYYY-MM-DD format.

to

a character string indicating the end date of the data to download, in YYYY-MM-DD format.

date

a character string indicating the date of the data to download, in YYYY-MM-DD format.

verbose

a logical indicating whether to print the response details or not.

type

a character string indicating the AlgoPack type possible values are c('tradestats','orderstats','obstats','hi2','oi'), default 'tradestats'.

market

a character string indicating the market type possible values are c('eq','fo','fx'), default 'eq'.

auto.assign

a logical indicating whether to automatically assign the downloaded data to the global environment.

...

additional arguments passed to getSymbols.AlgoPack

Author

Vyacheslav Arbuzov

Examples

getSymbols.Algopack('SBER',from = '2023-10-24',to='2023-11-04')
# open interest for available futures
getSymbols.Algopack(date = '2024-05-10',type = 'oi')
# open interest for Si futures
getSymbols.Algopack(Symbols = 'Si',type = 'oi')
# market concentration for available stocks
#getSymbols.Algopack(date = '2024-05-10',type = 'hi2')
# market concentration for current stock
#devgetSymbols.Algopack('SBER',from = '2023-10-24',to='2023-11-04',type = 'hi2')
# market concentration for available fx
#getSymbols.Algopack(date = '2024-05-10',type = 'hi2',market='fx')
# market concentration for available futures
#getSymbols.Algopack(date = '2024-05-10',type = 'hi2',market='fo')
# market concentration for CNYRUB_TOM
#getSymbols.Algopack(Symbols = 'CNYRUB_TOM',type = 'hi2',market='fx')