Nothing
R/PoloniexPublic.R
In PoloniexR: Interface to the Poloniex Cryptocurrency Trading API
Defines functions
ProcessRequest
##########################################################
##########################################################
################### POLONIEX PUBLIC API ##################
##########################################################
##########################################################
#' An S4 class representing the Poloniex Public API
#'
#' @slot base.url A length-one numeric vector.
#' Represents the poloniex public API service base url.
#' @slot commands A list containing Key/Value string pairs.
#' Represents the command strings of the associated public API functions.
#' @export PoloniexPublicAPI
PoloniexPublicAPI <- setClass(
# Set the name for the public API class
"PoloniexPublicAPI",
slots = c(base.url = "character",
commands = "list"),
# Set the default value for the slots
prototype=list(base.url = "https://poloniex.com/public?",
commands = public.commands.default),
validity=function(object){
if (!(is(object@base.url, "character"))){
return("base.url must be a length-one numeric vector.")
}
if(!is(object@commands, "list")){
return("commands input argument must be a list containing Key/Value string pairs.")
}
rest.grep <- "https?://.*\\?$"
if (!grepl(rest.grep, object@base.url)){
return(paste("NOK - base.url must be of the following form:", rest.grep))
}
commands.required.names <- names(public.commands.default)
commands.input.names <- names(object@commands)
missing.mask <- vapply(commands.required.names,
function(x) ifelse(!x %in% commands.input.names, TRUE, FALSE),
logical(1))
if(sum(missing.mask) > 0){
return(paste("NOK - commands list has missing key values.",
"Following key values are missing:",
paste(commands.required.names[missing.mask], collapse=', ')))
}
return(TRUE)
}
)
##############################################################
################### GETTERS / SETTERS base.url ###############
##############################################################
#' Returns REST service URL for the Poloniex Public API
#'
#' @param theObject The object on which the function should be called
#' @return base.url - a length-one character vector.
#' Represents the Poloniex public API service base url.
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicURL(poloniex.public)
#' @export
setGeneric(name="GetPoloniexPublicURL",
def=function(theObject){
standardGeneric("GetPoloniexPublicURL")
})
#' Returns REST service URL for the Poloniex Public API
#'
#' @param theObject The object on which the function should be called
#' @return base.url - a length-one character vector.
#' Represents the Poloniex public API service base url.
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicURL(poloniex.public)
#' @export
setMethod(f="GetPoloniexPublicURL",
signature="PoloniexPublicAPI", definition=function(theObject){
return(theObject@base.url)
})
#' Setter for REST service URL for the Poloniex public API
#'
#' @param theObject The public client API object on which the function should be called
#' @param base.url length-one character vector. Represents the REST service URL.
#' @return theObject - a copy of the object with the modified base.url slot
#' @examples
#' poloniex.public <- PoloniexPublicAPI(base.url = "https://not_working/public?")
#' poloniex.public <- SetPoloniexPublicURL(poloniex.public,
#' base.url = "https://poloniex.com/public?")
#' GetPoloniexPublicURL(poloniex.public)
#' @export
setGeneric(name="SetPoloniexPublicURL",
def=function(theObject, base.url){
standardGeneric("SetPoloniexPublicURL")
})
#' Setter for REST service URL for the Poloniex public API
#'
#' @param theObject The public client API object on which the function should be called
#' @param base.url length-one character vector. Represents the REST service URL.
#' @return theObject - a copy of the object with the modified base.url slot
#' @examples
#' poloniex.public <- PoloniexPublicAPI(base.url = "https://not_working/public?")
#' poloniex.public <- SetPoloniexPublicURL(poloniex.public,
#' base.url = "https://poloniex.com/public?")
#' GetPoloniexPublicURL(poloniex.public)
#' @export
setMethod(f="SetPoloniexPublicURL",
signature="PoloniexPublicAPI", definition=function(theObject, base.url){
theObject@base.url <- base.url
validObject(theObject)
return(theObject)
})
##############################################################
################### GETTERS / SETTERS commands ###############
##############################################################
#' Returns REST service commands for the Poloniex Public API
#'
#' @param theObject The public client API object on which the function should be called
#' @return commands - a list with Key/value string pairs
#' Represents the command strings for the respective public API functions.
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicCommands(poloniex.public)
#' @export
setGeneric(name="GetPoloniexPublicCommands",
def=function(theObject){
standardGeneric("GetPoloniexPublicCommands")
})
#' Returns REST service commands for the Poloniex Public API
#'
#' @param theObject The public client API object on which the function should be called
#' @return commands - a list with Key/value string pairs
#' Represents the command strings for the respective public API functions.
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicCommands(poloniex.public)
#' @export
setMethod(f="GetPoloniexPublicCommands",
signature="PoloniexPublicAPI", definition=function(theObject){
return(theObject@commands)
})
#' Setter for REST service commands for the Poloniex public API.
#'
#' @param theObject The public client API object on which the function should be called
#' @param commands - a list with Key/value string pairs
#' Represents the command strings for the respective public API functions.
#' @return theObject - a copy of the object with the modified command slot
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicCommands(poloniex.public)
#' commands.new <- list(returnTicker = "returnTicker.new",
#' return24hVolume = "return24hVolume.new")
#' poloniex.public <- SetPoloniexPublicCommands(poloniex.public,
#' commands = commands.new)
#' GetPoloniexPublicCommands(poloniex.public)
#' @export
setGeneric(name="SetPoloniexPublicCommands",
def=function(theObject, commands){
standardGeneric("SetPoloniexPublicCommands")
})
#' Setter for REST service commands for the Poloniex public API.
#'
#' @param theObject The public client API object on which the function should be called
#' @param commands - a list with Key/value string pairs
#' Represents the command strings for the respective public API functions.
#' @return theObject - a copy of the object with the modified command slot
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicCommands(poloniex.public)
#' commands.new <- list(returnTicker = "returnTicker.new",
#' return24hVolume = "return24hVolume.new")
#' poloniex.public <- SetPoloniexPublicCommands(poloniex.public,
#' commands = commands.new)
#' GetPoloniexPublicCommands(poloniex.public)
#' @export
setMethod(f="SetPoloniexPublicCommands",
signature="PoloniexPublicAPI", definition=function(theObject, commands){
theObject@commands <- commands
# Set missing commands to default (for convenience reasons)
commands.input.names <- names(commands)
commands.required.names <- names(public.commands.default)
missing.mask <- vapply(commands.required.names,
function(x) ifelse(!x %in% commands.input.names, TRUE, FALSE),
logical(1))
if(sum(missing.mask) > 0){
warning(paste("Not all commands were set in the API command list input arguments:",
"Setting missing commands to their respective default values."))
for(missing.name in commands.required.names[missing.mask]){
theObject@commands[[missing.name]] <- public.commands.default[[missing.name]]
}
}
validObject(theObject)
return(theObject)
})
#############################################################
########################## API FUNCTIONS ####################
#############################################################
################################################
########### .ProcessRequest (private) ##########
################################################
.ProcessRequest <- function(request.str){
response <- httr::GET(request.str)
resp.code <- httr::status_code(response)
if (resp.code == "200"){
resp.content <- httr::content(response)
resp.err <- resp.content$error
if (is.null(resp.err)){
return (httr::content(response))
}
else{
stop (paste("Poloniex returned \"",
resp.err, "\" response error while processing ",
request.str, sep=""))
}
}
else{
stop (paste("Unable to connect to ",
request.str, " (", resp.code, ")", sep=""))
}
}
################################################
############### ReturnTicker ###################
################################################
#' Returns the ticker for all markets
#'
#' @param theObject The public client API object on which the function should be called
#' @return A dataframe containing ticker information
#' Rows - Cryptocurrency Pairs
#' Columns - id, last, lowestAsk, highestBid, percentChange
#' baseVolume, quoteVolume, isFrozen, high24hr, low24hr
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicURL(poloniex.public)
#' @export
setGeneric(name="ReturnTicker",
def=function(theObject){
standardGeneric("ReturnTicker")
})
#' Returns the ticker for all markets
#'
#' @param theObject The public client API object on which the function should be called
#' @return A dataframe containing ticker information
#' Rows - Cryptocurrency Pairs
#' Columns - id, last, lowestAsk, highestBid, percentChange
#' baseVolume, quoteVolume, isFrozen, high24hr, low24hr
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicURL(poloniex.public)
#' @export
setMethod(f="ReturnTicker",
signature="PoloniexPublicAPI", definition=function(theObject){
#########################################
## REQUEST PROCESSING / DATA WRANGLING ##
#########################################
returnTicker.command <- theObject@commands$returnTicker
request.str <- paste(theObject@base.url,
paste("command", returnTicker.command, sep="="),
sep="")
# Poloniex API Call
tickers.info <- .ProcessRequest(request.str)
tickers.df <- as.data.frame(matrix(unlist(tickers.info),
nrow=length(tickers.info),
byrow=TRUE))
rownames(tickers.df) <- names(tickers.info)
colnames(tickers.df) <- names(tickers.info[[1]])
return(tickers.df)
})
################################################
############### RETURN24HVOLUME ################
################################################
#' Returns 24-hour trading volumes for all available markets.
#' Additionally, total trading volumes for the 5 primary currencies
#' are also retrieved.
#'
#' @param theObject The public client API object on which the function should be called
#' @return A list containing the 24 hour volume information.
#' volume.pairs: A dataframe
#' Rows - Cryptocurrency Trading Pairs.
#' Every pair represents a market.
#' Columns - Transacted trading volumes for a particular market.
#' Volumes are expressed in both base currency units and quoted
#' currency units.
#' volume.totals: Total trading volumes of five primary currencies.
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' volume.info <- Return24hVolume(poloniex.public)
#' head(volume.info$volume.pairs)
#' volume.info$volume.totals
#' @export
setGeneric(name="Return24hVolume",
def=function(theObject){
standardGeneric("Return24hVolume")
})
#' Returns 24-hour trading volumes for all available markets.
#' Additionally, total trading volumes for the 5 primary currencies
#' are also retrieved.
#'
#' @param theObject The public client API object on which the function should be called
#' @return A list containing the 24 hour volume information.
#' volume.pairs: A dataframe
#' Rows - Cryptocurrency Trading Pairs.
#' Every pair represents a market.
#' Columns - Transacted trading volumes for a particular market.
#' Volumes are expressed in both base currency units and quoted
#' currency units.
#' volume.totals: Total trading volumes of five primary currencies.
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' volume.info <- Return24hVolume(poloniex.public)
#' head(volume.info$volume.pairs)
#' volume.info$volume.totals
#' @export
setMethod(f="Return24hVolume",
signature="PoloniexPublicAPI", definition=function(theObject){
#########################################
## REQUEST PROCESSING / DATA WRANGLING ##
#########################################
return24hVolume.command <- theObject@commands$return24hVolume
request.str <- paste(theObject@base.url,
paste("command", return24hVolume.command, sep="="),
sep="")
# Poloniex API Call
volume.info <- .ProcessRequest(request.str)
volumes.totals <- Filter(function(x) is(x, "character"), volume.info)
volumes.totals.df <- as.data.frame(x = matrix(unlist(volumes.totals), nrow=1))
rownames(volumes.totals.df) <- "volume"
colnames(volumes.totals.df) <- gsub("total", "", names(volumes.totals))
volumes.pairs <- Filter(function(x) is(x, "list"), volume.info)
volumes.pairs.df <- as.data.frame(do.call("rbind",
lapply(volumes.pairs, as.numeric)))
colnames(volumes.pairs.df) <- c("pair1", "pair2")
return( list(volume.pairs = volumes.pairs.df,
volume.totals = volumes.totals.df) )
})
################################################
############### ReturnOrderBook ################
################################################
#' Returns the order book for a given market,
#' as well as a sequence number for use with the Push API
#' and an indicator specifying whether the market is frozen.
#'
#' @param theObject The public client API object on which the function should be called.
#' @param pair length one-character vector - The currencypair
#' for which orderbook information should be fetched.
#' You may set pair to "all" to fetch the order books of all markets.
#' @param depth numeric - depth of the orderbook.
#' @return A list containing orderbook information.
#'
#' if pair == "all": a list containing orderbook
#' information for all available markets.
#' Each list entry contains information for one
#' specific market.
#' if !pair == "all": a list containing orderbook
#' information for the requested markets.
#'
#' Each market list contains following fields:
#' - ask: Orderbook sell side, Dataframe containing
#' ask prices and corresponding amounts.
#' - bid: Orderbook buy side. Dataframe containing
#' bid prices and corresponding amounts.
#' - frozen: indicator specifying wheather market
#' is frozen or not.
#' - seq: Sequence number for Push API.
#'
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#'
#' pair <- "BTC_NXT"
#' depth <- 100
#' order.book <- ReturnOrderBook(poloniex.public,
#' pair = pair,
#' depth = 10)
#' order.book$bid
#' order.book$ask
#' order.book$frozen
#' order.book$seq
#'
#' pair <- "all"
#' depth <- 10
#' order.book <- ReturnOrderBook(poloniex.public,
#' pair = pair,
#' depth = 10)
#'
#' names(order.book)
#' order.book$BTC_ETH$ask
#' @export
setGeneric(name="ReturnOrderBook",
def=function(theObject, pair = "all", depth = 10){
standardGeneric("ReturnOrderBook")
})
#' Returns the order book for a given market,
#' as well as a sequence number for use with the Push API
#' and an indicator specifying whether the market is frozen.
#'
#' @param theObject The public client API object on which the function should be called.
#' @param pair length one-character vector - The currencypair
#' for which orderbook information should be fetched.
#' You may set pair to "all" to fetch the order books of all markets.
#' @param depth numeric - depth of the orderbook.
#' @return A list containing orderbook information.
#'
#' if pair == "all": a list containing orderbook
#' information for all available markets.
#' Each list entry contains information for one
#' specific market.
#' if !pair == "all": a list containing orderbook
#' information for the requested markets.
#'
#' Each market list contains following fields:
#' - ask: Orderbook sell side, Dataframe containing
#' ask prices and corresponding amounts.
#' - bid: Orderbook buy side. Dataframe containing
#' bid prices and corresponding amounts.
#' - frozen: indicator specifying wheather market
#' is frozen or not.
#' - seq: Sequence number for Push API.
#'
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#'
#' pair <- "BTC_NXT"
#' depth <- 2
#' order.book <- ReturnOrderBook(poloniex.public,
#' pair = pair,
#' depth = depth)
#' order.book$bid
#' order.book$ask
#' order.book$frozen
#' order.book$seq
#'
#' pair <- "all"
#' depth <- 2
#' order.book <- ReturnOrderBook(poloniex.public,
#' pair = pair,
#' depth = depth)
#'
#' names(order.book)
#' order.book$BTC_ETH$ask
#' @export
setMethod(f="ReturnOrderBook",
signature="PoloniexPublicAPI",
definition=function(theObject,
pair = "all",
depth = 10){
########################
## INPUT VERIFICATION ##
########################
stopifnot(inherits(pair, "character"))
stopifnot(inherits(depth, "numeric") & depth > 0)
#########################################
## REQUEST PROCESSING / DATA WRANGLING ##
#########################################
returnOrderBook.command <- theObject@commands$returnOrderBook
request.str <- paste(theObject@base.url,
paste(
paste("command", returnOrderBook.command, sep="="),
paste("currencyPair", pair, sep="="),
paste("depth", depth, sep="="),
sep="&"),
sep="")
# Poloniex API Call
orderbook <- .ProcessRequest(request.str)
ExtractInfo <- function (pair.book){
bid <- as.data.frame(matrix(unlist(pair.book$bids), ncol=2, byrow = TRUE))
colnames(bid) <- c("bid", "amount")
ask <- as.data.frame(matrix(unlist(pair.book$asks), ncol=2, byrow = TRUE))
colnames(ask) <- c("ask", "amount")
return (list(bid = bid,
ask = ask,
frozen = as.logical(as.numeric(pair.book$isFrozen)),
seq = pair.book$seq))
}
if (pair == "all"){
return (lapply(orderbook, ExtractInfo))
}
else{
return (ExtractInfo(orderbook))
}
})
################################################
############### ReturnTradeHistory #############
################################################
#' Returns the past 200 trades for a given market, or up to
#' 50,000 trades inside a specified input date range interval.
#'
#' @param theObject The public client API object on which the function should be called.
#' @param pair length-one character vector - The currencypair
#' for which trade history information should be fetched.
#' @param from POSIXct (or NULL) - starting timestamp
#' for optional date range interval.
#' if from != NULL: from must be < 'to' &
#' from must be >= (to - 1 year)
#' @param to POSIXct (or NULL) - ending timestamp for optional
#' date range interval.
#' @return an xts object containing historical trade information
#'
#' Rows - Information for one specific trade.
#' Columns - globalTradeID, tradeID, type, rate, amount, total
#'
#' if from == NULL:
#' Receive information for last 200 trades before 'to'
#' if to == NULL:
#' Ending timestamp for daterange will be set to Sys.time()
#'
#' @examples
#' Sys.setenv(tz = "UTC")
#' poloniex.public <- PoloniexPublicAPI()
#' pair <- "BTC_NXT"
#' from <- as.POSIXct("2017-02-01 00:00:00 UTC")
#' to <- as.POSIXct("2017-02-02 00:00:00 UTC")
#'
#' trades.data <- ReturnTradeHistory(theObject = poloniex.public,
#' pair = pair,
#' from = from,
#' to = to)
#'
#' @export
setGeneric(name="ReturnTradeHistory",
def=function(theObject,
pair = "USDT_BTC",
from = NULL,
to = NULL){
standardGeneric("ReturnTradeHistory")
})
#' Returns the past 200 trades for a given market, or up to
#' 50,000 trades inside a specified input date range interval.
#'
#' @param theObject The public client API object on which the function should be called.
#' @param pair length-one character vector - The currencypair
#' for which trade history information should be fetched.
#' @param from POSIXct (or NULL) - starting timestamp
#' for optional date range interval.
#' if from != NULL: from must be < 'to' &
#' from must be >= (to - 1 year)
#' @param to POSIXct (or NULL) - ending timestamp for optional
#' date range interval.
#' @return an xts object containing historical trade information
#'
#' Rows - Information for one specific trade.
#' Columns - globalTradeID, tradeID, type, rate, amount, total
#'
#' if from == NULL:
#' Receive information for last 200 trades before 'to'
#' if to == NULL:
#' Ending timestamp for daterange will be set to Sys.time()
#'
#' @examples
#' Sys.setenv(tz = "UTC")
#' poloniex.public <- PoloniexPublicAPI()
#' pair <- "BTC_NXT"
#' from <- as.POSIXct("2017-07-04 00:00:00 UTC")
#' to <- as.POSIXct("2017-07-05 00:00:00 UTC")
#'
#' trades.data <- ReturnTradeHistory(theObject = poloniex.public,
#' pair = pair,
#' from = from,
#' to = to)
#'
#' @export
setMethod(f="ReturnTradeHistory",
signature="PoloniexPublicAPI",
definition=function(theObject,
pair = "USDT_BTC",
from = NULL,
to = NULL){
########################
## INPUT VERIFICATION ##
########################
stopifnot(inherits(pair, "character"))
stopifnot(is.null(from) | inherits(from, "POSIXct"))
stopifnot(is.null(to) | inherits(to, "POSIXct"))
if (!is.null(from)){
if (is.null(to)){
to <- Sys.time()
}
if(difftime(to, from) <= 0){
stop (paste("The 'to' POSIXct input argument must greater later than",
"the 'from' POSIXct input argument"))
}
if(difftime(to, from) > 364){
stop (paste("The 'from' and 'to' POSIXct input arguments",
"must lie less than 365 days apart", sep=" "))
}
}
#########################################
## REQUEST PROCESSING / DATA WRANGLING ##
#########################################
returnTradeHistory.command <- theObject@commands$returnTradeHistory
request.str <- paste(paste(theObject@base.url,
paste("command",
returnTradeHistory.command, sep="="), sep=""),
paste("currencyPair", pair, sep="="), sep="&")
if(!is.null(from)){
request.str <- paste(request.str,
paste("start", as.numeric(from), sep="="),
sep = "&")
}
if(!is.null(to)){
request.str <- paste(request.str,
paste("end", as.numeric(to), sep="="),
sep = "&")
}
# Poloniex API Call
trades.history <- .ProcessRequest(request.str)
if (length(trades.history) > 0){
trades.mat <- matrix(unlist(trades.history),
byrow = TRUE,
ncol = length(trades.history[[1]]))
trades.xts <- xts::xts(trades.mat[,-3],
order.by = anytime::anytime(as.POSIXct(trades.mat[, 3]),
asUTC=TRUE))
names(trades.xts) <- names(trades.history[[1]])[-3]
return (trades.xts)
}
else{
warning(paste("No trade data found between",
from, "and", to,
"for currency pair", pair, sep=" "))
return (NULL)
}
})
################################################
############### ReturnChartData ################
################################################
#' Fetch OHLC and volume timeseries data for a specific market.
#' The caller must specify a date range interval
#' and datafrequency for the requested timeseries.
#'
#' @param theObject The object on which the function should be called.
#' @param pair a length-one character vector - The currencypair
#' for which timeseries information should be fetched.
#' @param from POSIXct - Starting timestamp for
#' daterange interval.
#' @param to POSIXct - Ending timestamp for daterange interval.
#' @param period length-one character vector OR length-one
#' numeric vector - datafrequency for requested timeseries.
#' if is(period, "numeric"): 300 / 900 / 1800 / 7200 / 14400 / 86400
#' if is(period, "character"): "5M", "15M", "30M", "2H", "4H", "D"
#' @return an xts timeseries object.
#' rows - ohcl and volume information for one timestamp.
#' columns - high, low, open, close, volume, quotevolume,
#' weightedaverage.
#' @examples
#' Sys.setenv(tz = "UTC")
#' poloniex.public <- PoloniexPublicAPI()
#' pair <- "BTC_NXT"
#' from <- as.POSIXct("2012-04-01 00:00:00 UTC")
#' to <- as.POSIXct("2012-04-09 00:00:00 UTC")
#' period <- "4H"
#'
#' chart.data <- ReturnChartData(theObject = poloniex.public,
#' pair = pair,
#' from = from,
#' to = to,
#' period = period)
#' @export
setGeneric(name="ReturnChartData",
def=function(theObject,
pair = "USDT_BTC",
from = as.POSIXct("2014-01-01 00:00:00 UTC"),
to = as.POSIXct("2018-01-01 00:00:00 UTC"),
period = "4H"){
standardGeneric("ReturnChartData")
})
#' Fetch OHLC and volume timeseries data for a specific market.
#' The caller must specify a date range interval
#' and datafrequency for the requested timeseries.
#'
#' @param theObject The object on which the function should be called.
#' @param pair a length-one character vector - The currencypair
#' for which timeseries information should be fetched.
#' @param from POSIXct - Starting timestamp for
#' daterange interval.
#' @param to POSIXct - Ending timestamp for daterange interval.
#' @param period length-one character vector OR length-one
#' numeric vector - datafrequency for requested timeseries.
#' if is(period, "numeric"): 300 / 900 / 1800 / 7200 / 14400 / 86400
#' if is(period, "character"): "5M", "15M", "30M", "2H", "4H", "D"
#' @return an xts timeseries object.
#' rows - ohcl and volume information for one timestamp.
#' columns - high, low, open, close, volume, quotevolume,
#' weightedaverage.
#' @examples
#' Sys.setenv(tz = "UTC")
#' poloniex.public <- PoloniexPublicAPI()
#' pair <- "BTC_NXT"
#' from <- as.POSIXct("2010-01-01 00:00:00 UTC")
#' to <- as.POSIXct("2012-04-09 00:00:00 UTC")
#' period <- "4H"
#'
#' chart.data <- ReturnChartData(theObject = poloniex.public,
#' pair = pair,
#' from = from,
#' to = to,
#' period = period)
#' @export
setMethod(f="ReturnChartData",
signature="PoloniexPublicAPI",
definition=function(theObject,
pair = "USDT_BTC",
from = as.POSIXct("2014-01-01 00:00:00 UTC"),
to = as.POSIXct("2018-01-01 00:00:00 UTC"),
period = "4H"){
########################
## INPUT VERIFICATION ##
########################
stopifnot(inherits(pair, "character"))
stopifnot(inherits(from, "POSIXct"))
stopifnot(inherits(to, "POSIXct"))
stopifnot(inherits(period, "character") |
inherits(period, "numeric"))
periods.num <- c(300, 900, 1800, 7200, 14400, 86400)
if (inherits(period, "numeric") & !period %in% periods.num){
stop (paste("Numeric period input argument must be one of the following values:",
paste(periods.num, collapse =", ")))
}
periods.str <- c("5M", "15M", "30M", "2H", "4H", "D")
if (inherits(period, "character")){
if (!period %in% periods.str){
stop (paste("Character period input argument must be one of the following values:",
paste(periods.str, collapse =", ")))
}
else{
if(period=="5M")
period = 300
else if(period=="15M")
period = 900
else if(period=="30M")
period= 1800
else if(period=="2H")
period = 7200
else if(period=="4H")
period = 14400
else if(period=="D")
period = 86400
}
}
#########################################
## REQUEST PROCESSING / DATA WRANGLING ##
#########################################
returnChartData.command <- theObject@commands$returnChartData
request.str <- paste(paste(theObject@base.url,
paste("command",
returnChartData.command, sep="="), sep=""),
paste("currencyPair", pair, sep="="),
paste("start", as.numeric(from), sep="="),
paste("end", as.numeric(to), sep="="),
paste("period", period, sep="="), sep="&")
# Poloniex API Call
chart.list <- .ProcessRequest(request.str)
if (length(chart.list) > 1){
chart.mat <- matrix(unlist(chart.list),
byrow=TRUE,
ncol=length(chart.list[[1]]))
chart.xts <- xts::xts(chart.mat[,-1],
order.by=anytime::anytime(chart.mat[,1],
asUTC=TRUE))
names(chart.xts) <- c("high", "low", "open", "close",
"volume", "quotevolume", "weightedaverage")
return (chart.xts)
}
else {
warning(paste("No timeseries data found between",
from, "and", to,
"for currency pair", pair, sep=" "))
return (NULL)
}
})
################################################
############### ReturnCurrencies ###############
################################################
#' Returns information about currencies
#'
#' @param theObject The object on which the function should be called
#' @return A dataframe with currency information
#' - rows: Information about a single currency
#' - columns: id, txfee, minConf, disabled, delisted, frozen
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' currencies <- ReturnCurrencies(poloniex.public)
#' @export
setGeneric(name="ReturnCurrencies",
def=function(theObject){
standardGeneric("ReturnCurrencies")
})
#' Returns information about currencies
#'
#' @param theObject The object on which the function should be called
#' @return A dataframe with currency information
#' - rows: Information about a single currency
#' - columns: id, txfee, minConf, disabled, delisted, frozen
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' currencies <- ReturnCurrencies(poloniex.public)
#' @export
setMethod(f="ReturnCurrencies",
signature="PoloniexPublicAPI",
definition=function(theObject){
#########################################
## REQUEST PROCESSING / DATA WRANGLING ##
#########################################
returnCurrencies.command <- theObject@commands$returnCurrencies
request.str <- paste(theObject@base.url,
paste("command",
returnCurrencies.command, sep="="), sep="")
# Poloniex API Call
currencies <- .ProcessRequest(request.str)
currencies.df <- as.data.frame(do.call("rbind", currencies))
currencies.df <- currencies.df[, -5]
return (currencies.df)
})
################################################
############### ReturnLoanOrders ###############
################################################
#' Returns a list of loan offers and demands for a given currency.
#'
#' @param theObject The object on which the function should be called
#' @param currency - a length-one character vector
#' Represents the currency for which loan information should be
#' fetched.
#' @return A list containing two items. Each item is a dataframe
#' containing the actual loan offers or demands information.
#' eg list$offers / list$demands
#' - rows: offers / demand "order book" entries.
#' - columns: rate, amount, min.days, max.days
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' currency <- "BTC"
#' loan.orders <- ReturnLoanOrders(poloniex.public)
#' @export
setGeneric(name="ReturnLoanOrders",
def=function(theObject, currency = "BTC"){
standardGeneric("ReturnLoanOrders")
})
#' Returns a list of loan offers and demands for a given currency.
#'
#' @param theObject The object on which the function should be called
#' @param currency - a length-one character vector
#' Represents the currency for which loan information should be
#' fetched.
#' @return A list containing two items. Each item is a dataframe
#' containing the actual loan offers or demands information.
#' eg list$offers / list$demands
#' - rows: offers / demand "order book" entries.
#' - columns: rate, amount, min.days, max.days
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' currency <- "BTC"
#' loan.orders <- ReturnLoanOrders(poloniex.public)
#' @export
setMethod(f="ReturnLoanOrders",
signature="PoloniexPublicAPI",
definition=function(theObject, currency = "BTC"){
########################
## INPUT VERIFICATION ##
########################
stopifnot(inherits(currency, "character"))
available.currencies <- rownames(ReturnCurrencies(theObject))
if (!currency %in% available.currencies){
stop (paste(currency, "is not a valid currency"))
}
#########################################
## REQUEST PROCESSING / DATA WRANGLING ##
#########################################
returnLoanOrders.command <- theObject@commands$returnLoanOrders
request.str <- paste(paste(theObject@base.url,
paste("command",
returnLoanOrders.command, sep="="), sep=""),
paste("currency", currency, sep="="), sep="&")
# Poloniex API Call
loan.orders <- .ProcessRequest(request.str)
ExtractLoanOrders <- function(field){
loans.names <- c("rate", "amount", "min.days", "max.days")
loans <- loan.orders[[field]]
loans.depth <- length(loans)
if (loans.depth > 0){
loans.df <- as.data.frame(matrix(unlist(loans),
nrow = loans.depth, byrow = TRUE))
}
else{
loans.df <- data.frame(matrix(ncol = length(loans.names), nrow = 0))
}
names(loans.df) <- loans.names
return (loans.df)
}
loan.demands <- ExtractLoanOrders(field = "demands")
loan.offers <- ExtractLoanOrders(field = "offers")
return (list (offers = loan.offers,
demands = loan.demands) )
})
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Defines functions ProcessRequest
##########################################################
##########################################################
################### POLONIEX PUBLIC API ##################
##########################################################
##########################################################
#' An S4 class representing the Poloniex Public API
#'
#' @slot base.url A length-one numeric vector.
#' Represents the poloniex public API service base url.
#' @slot commands A list containing Key/Value string pairs.
#' Represents the command strings of the associated public API functions.
#' @export PoloniexPublicAPI
PoloniexPublicAPI <- setClass(
# Set the name for the public API class
"PoloniexPublicAPI",
slots = c(base.url = "character",
commands = "list"),
# Set the default value for the slots
prototype=list(base.url = "https://poloniex.com/public?",
commands = public.commands.default),
validity=function(object){
if (!(is(object@base.url, "character"))){
return("base.url must be a length-one numeric vector.")
}
if(!is(object@commands, "list")){
return("commands input argument must be a list containing Key/Value string pairs.")
}
rest.grep <- "https?://.*\\?$"
if (!grepl(rest.grep, object@base.url)){
return(paste("NOK - base.url must be of the following form:", rest.grep))
}
commands.required.names <- names(public.commands.default)
commands.input.names <- names(object@commands)
missing.mask <- vapply(commands.required.names,
function(x) ifelse(!x %in% commands.input.names, TRUE, FALSE),
logical(1))
if(sum(missing.mask) > 0){
return(paste("NOK - commands list has missing key values.",
"Following key values are missing:",
paste(commands.required.names[missing.mask], collapse=', ')))
}
return(TRUE)
}
)
##############################################################
################### GETTERS / SETTERS base.url ###############
##############################################################
#' Returns REST service URL for the Poloniex Public API
#'
#' @param theObject The object on which the function should be called
#' @return base.url - a length-one character vector.
#' Represents the Poloniex public API service base url.
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicURL(poloniex.public)
#' @export
setGeneric(name="GetPoloniexPublicURL",
def=function(theObject){
standardGeneric("GetPoloniexPublicURL")
})
#' Returns REST service URL for the Poloniex Public API
#'
#' @param theObject The object on which the function should be called
#' @return base.url - a length-one character vector.
#' Represents the Poloniex public API service base url.
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicURL(poloniex.public)
#' @export
setMethod(f="GetPoloniexPublicURL",
signature="PoloniexPublicAPI", definition=function(theObject){
return(theObject@base.url)
})
#' Setter for REST service URL for the Poloniex public API
#'
#' @param theObject The public client API object on which the function should be called
#' @param base.url length-one character vector. Represents the REST service URL.
#' @return theObject - a copy of the object with the modified base.url slot
#' @examples
#' poloniex.public <- PoloniexPublicAPI(base.url = "https://not_working/public?")
#' poloniex.public <- SetPoloniexPublicURL(poloniex.public,
#' base.url = "https://poloniex.com/public?")
#' GetPoloniexPublicURL(poloniex.public)
#' @export
setGeneric(name="SetPoloniexPublicURL",
def=function(theObject, base.url){
standardGeneric("SetPoloniexPublicURL")
})
#' Setter for REST service URL for the Poloniex public API
#'
#' @param theObject The public client API object on which the function should be called
#' @param base.url length-one character vector. Represents the REST service URL.
#' @return theObject - a copy of the object with the modified base.url slot
#' @examples
#' poloniex.public <- PoloniexPublicAPI(base.url = "https://not_working/public?")
#' poloniex.public <- SetPoloniexPublicURL(poloniex.public,
#' base.url = "https://poloniex.com/public?")
#' GetPoloniexPublicURL(poloniex.public)
#' @export
setMethod(f="SetPoloniexPublicURL",
signature="PoloniexPublicAPI", definition=function(theObject, base.url){
theObject@base.url <- base.url
validObject(theObject)
return(theObject)
})
##############################################################
################### GETTERS / SETTERS commands ###############
##############################################################
#' Returns REST service commands for the Poloniex Public API
#'
#' @param theObject The public client API object on which the function should be called
#' @return commands - a list with Key/value string pairs
#' Represents the command strings for the respective public API functions.
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicCommands(poloniex.public)
#' @export
setGeneric(name="GetPoloniexPublicCommands",
def=function(theObject){
standardGeneric("GetPoloniexPublicCommands")
})
#' Returns REST service commands for the Poloniex Public API
#'
#' @param theObject The public client API object on which the function should be called
#' @return commands - a list with Key/value string pairs
#' Represents the command strings for the respective public API functions.
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicCommands(poloniex.public)
#' @export
setMethod(f="GetPoloniexPublicCommands",
signature="PoloniexPublicAPI", definition=function(theObject){
return(theObject@commands)
})
#' Setter for REST service commands for the Poloniex public API.
#'
#' @param theObject The public client API object on which the function should be called
#' @param commands - a list with Key/value string pairs
#' Represents the command strings for the respective public API functions.
#' @return theObject - a copy of the object with the modified command slot
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicCommands(poloniex.public)
#' commands.new <- list(returnTicker = "returnTicker.new",
#' return24hVolume = "return24hVolume.new")
#' poloniex.public <- SetPoloniexPublicCommands(poloniex.public,
#' commands = commands.new)
#' GetPoloniexPublicCommands(poloniex.public)
#' @export
setGeneric(name="SetPoloniexPublicCommands",
def=function(theObject, commands){
standardGeneric("SetPoloniexPublicCommands")
})
#' Setter for REST service commands for the Poloniex public API.
#'
#' @param theObject The public client API object on which the function should be called
#' @param commands - a list with Key/value string pairs
#' Represents the command strings for the respective public API functions.
#' @return theObject - a copy of the object with the modified command slot
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicCommands(poloniex.public)
#' commands.new <- list(returnTicker = "returnTicker.new",
#' return24hVolume = "return24hVolume.new")
#' poloniex.public <- SetPoloniexPublicCommands(poloniex.public,
#' commands = commands.new)
#' GetPoloniexPublicCommands(poloniex.public)
#' @export
setMethod(f="SetPoloniexPublicCommands",
signature="PoloniexPublicAPI", definition=function(theObject, commands){
theObject@commands <- commands
# Set missing commands to default (for convenience reasons)
commands.input.names <- names(commands)
commands.required.names <- names(public.commands.default)
missing.mask <- vapply(commands.required.names,
function(x) ifelse(!x %in% commands.input.names, TRUE, FALSE),
logical(1))
if(sum(missing.mask) > 0){
warning(paste("Not all commands were set in the API command list input arguments:",
"Setting missing commands to their respective default values."))
for(missing.name in commands.required.names[missing.mask]){
theObject@commands[[missing.name]] <- public.commands.default[[missing.name]]
}
}
validObject(theObject)
return(theObject)
})
#############################################################
########################## API FUNCTIONS ####################
#############################################################
################################################
########### .ProcessRequest (private) ##########
################################################
.ProcessRequest <- function(request.str){
response <- httr::GET(request.str)
resp.code <- httr::status_code(response)
if (resp.code == "200"){
resp.content <- httr::content(response)
resp.err <- resp.content$error
if (is.null(resp.err)){
return (httr::content(response))
}
else{
stop (paste("Poloniex returned \"",
resp.err, "\" response error while processing ",
request.str, sep=""))
}
}
else{
stop (paste("Unable to connect to ",
request.str, " (", resp.code, ")", sep=""))
}
}
################################################
############### ReturnTicker ###################
################################################
#' Returns the ticker for all markets
#'
#' @param theObject The public client API object on which the function should be called
#' @return A dataframe containing ticker information
#' Rows - Cryptocurrency Pairs
#' Columns - id, last, lowestAsk, highestBid, percentChange
#' baseVolume, quoteVolume, isFrozen, high24hr, low24hr
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicURL(poloniex.public)
#' @export
setGeneric(name="ReturnTicker",
def=function(theObject){
standardGeneric("ReturnTicker")
})
#' Returns the ticker for all markets
#'
#' @param theObject The public client API object on which the function should be called
#' @return A dataframe containing ticker information
#' Rows - Cryptocurrency Pairs
#' Columns - id, last, lowestAsk, highestBid, percentChange
#' baseVolume, quoteVolume, isFrozen, high24hr, low24hr
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' GetPoloniexPublicURL(poloniex.public)
#' @export
setMethod(f="ReturnTicker",
signature="PoloniexPublicAPI", definition=function(theObject){
#########################################
## REQUEST PROCESSING / DATA WRANGLING ##
#########################################
returnTicker.command <- theObject@commands$returnTicker
request.str <- paste(theObject@base.url,
paste("command", returnTicker.command, sep="="),
sep="")
# Poloniex API Call
tickers.info <- .ProcessRequest(request.str)
tickers.df <- as.data.frame(matrix(unlist(tickers.info),
nrow=length(tickers.info),
byrow=TRUE))
rownames(tickers.df) <- names(tickers.info)
colnames(tickers.df) <- names(tickers.info[[1]])
return(tickers.df)
})
################################################
############### RETURN24HVOLUME ################
################################################
#' Returns 24-hour trading volumes for all available markets.
#' Additionally, total trading volumes for the 5 primary currencies
#' are also retrieved.
#'
#' @param theObject The public client API object on which the function should be called
#' @return A list containing the 24 hour volume information.
#' volume.pairs: A dataframe
#' Rows - Cryptocurrency Trading Pairs.
#' Every pair represents a market.
#' Columns - Transacted trading volumes for a particular market.
#' Volumes are expressed in both base currency units and quoted
#' currency units.
#' volume.totals: Total trading volumes of five primary currencies.
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' volume.info <- Return24hVolume(poloniex.public)
#' head(volume.info$volume.pairs)
#' volume.info$volume.totals
#' @export
setGeneric(name="Return24hVolume",
def=function(theObject){
standardGeneric("Return24hVolume")
})
#' Returns 24-hour trading volumes for all available markets.
#' Additionally, total trading volumes for the 5 primary currencies
#' are also retrieved.
#'
#' @param theObject The public client API object on which the function should be called
#' @return A list containing the 24 hour volume information.
#' volume.pairs: A dataframe
#' Rows - Cryptocurrency Trading Pairs.
#' Every pair represents a market.
#' Columns - Transacted trading volumes for a particular market.
#' Volumes are expressed in both base currency units and quoted
#' currency units.
#' volume.totals: Total trading volumes of five primary currencies.
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' volume.info <- Return24hVolume(poloniex.public)
#' head(volume.info$volume.pairs)
#' volume.info$volume.totals
#' @export
setMethod(f="Return24hVolume",
signature="PoloniexPublicAPI", definition=function(theObject){
#########################################
## REQUEST PROCESSING / DATA WRANGLING ##
#########################################
return24hVolume.command <- theObject@commands$return24hVolume
request.str <- paste(theObject@base.url,
paste("command", return24hVolume.command, sep="="),
sep="")
# Poloniex API Call
volume.info <- .ProcessRequest(request.str)
volumes.totals <- Filter(function(x) is(x, "character"), volume.info)
volumes.totals.df <- as.data.frame(x = matrix(unlist(volumes.totals), nrow=1))
rownames(volumes.totals.df) <- "volume"
colnames(volumes.totals.df) <- gsub("total", "", names(volumes.totals))
volumes.pairs <- Filter(function(x) is(x, "list"), volume.info)
volumes.pairs.df <- as.data.frame(do.call("rbind",
lapply(volumes.pairs, as.numeric)))
colnames(volumes.pairs.df) <- c("pair1", "pair2")
return( list(volume.pairs = volumes.pairs.df,
volume.totals = volumes.totals.df) )
})
################################################
############### ReturnOrderBook ################
################################################
#' Returns the order book for a given market,
#' as well as a sequence number for use with the Push API
#' and an indicator specifying whether the market is frozen.
#'
#' @param theObject The public client API object on which the function should be called.
#' @param pair length one-character vector - The currencypair
#' for which orderbook information should be fetched.
#' You may set pair to "all" to fetch the order books of all markets.
#' @param depth numeric - depth of the orderbook.
#' @return A list containing orderbook information.
#'
#' if pair == "all": a list containing orderbook
#' information for all available markets.
#' Each list entry contains information for one
#' specific market.
#' if !pair == "all": a list containing orderbook
#' information for the requested markets.
#'
#' Each market list contains following fields:
#' - ask: Orderbook sell side, Dataframe containing
#' ask prices and corresponding amounts.
#' - bid: Orderbook buy side. Dataframe containing
#' bid prices and corresponding amounts.
#' - frozen: indicator specifying wheather market
#' is frozen or not.
#' - seq: Sequence number for Push API.
#'
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#'
#' pair <- "BTC_NXT"
#' depth <- 100
#' order.book <- ReturnOrderBook(poloniex.public,
#' pair = pair,
#' depth = 10)
#' order.book$bid
#' order.book$ask
#' order.book$frozen
#' order.book$seq
#'
#' pair <- "all"
#' depth <- 10
#' order.book <- ReturnOrderBook(poloniex.public,
#' pair = pair,
#' depth = 10)
#'
#' names(order.book)
#' order.book$BTC_ETH$ask
#' @export
setGeneric(name="ReturnOrderBook",
def=function(theObject, pair = "all", depth = 10){
standardGeneric("ReturnOrderBook")
})
#' Returns the order book for a given market,
#' as well as a sequence number for use with the Push API
#' and an indicator specifying whether the market is frozen.
#'
#' @param theObject The public client API object on which the function should be called.
#' @param pair length one-character vector - The currencypair
#' for which orderbook information should be fetched.
#' You may set pair to "all" to fetch the order books of all markets.
#' @param depth numeric - depth of the orderbook.
#' @return A list containing orderbook information.
#'
#' if pair == "all": a list containing orderbook
#' information for all available markets.
#' Each list entry contains information for one
#' specific market.
#' if !pair == "all": a list containing orderbook
#' information for the requested markets.
#'
#' Each market list contains following fields:
#' - ask: Orderbook sell side, Dataframe containing
#' ask prices and corresponding amounts.
#' - bid: Orderbook buy side. Dataframe containing
#' bid prices and corresponding amounts.
#' - frozen: indicator specifying wheather market
#' is frozen or not.
#' - seq: Sequence number for Push API.
#'
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#'
#' pair <- "BTC_NXT"
#' depth <- 2
#' order.book <- ReturnOrderBook(poloniex.public,
#' pair = pair,
#' depth = depth)
#' order.book$bid
#' order.book$ask
#' order.book$frozen
#' order.book$seq
#'
#' pair <- "all"
#' depth <- 2
#' order.book <- ReturnOrderBook(poloniex.public,
#' pair = pair,
#' depth = depth)
#'
#' names(order.book)
#' order.book$BTC_ETH$ask
#' @export
setMethod(f="ReturnOrderBook",
signature="PoloniexPublicAPI",
definition=function(theObject,
pair = "all",
depth = 10){
########################
## INPUT VERIFICATION ##
########################
stopifnot(inherits(pair, "character"))
stopifnot(inherits(depth, "numeric") & depth > 0)
#########################################
## REQUEST PROCESSING / DATA WRANGLING ##
#########################################
returnOrderBook.command <- theObject@commands$returnOrderBook
request.str <- paste(theObject@base.url,
paste(
paste("command", returnOrderBook.command, sep="="),
paste("currencyPair", pair, sep="="),
paste("depth", depth, sep="="),
sep="&"),
sep="")
# Poloniex API Call
orderbook <- .ProcessRequest(request.str)
ExtractInfo <- function (pair.book){
bid <- as.data.frame(matrix(unlist(pair.book$bids), ncol=2, byrow = TRUE))
colnames(bid) <- c("bid", "amount")
ask <- as.data.frame(matrix(unlist(pair.book$asks), ncol=2, byrow = TRUE))
colnames(ask) <- c("ask", "amount")
return (list(bid = bid,
ask = ask,
frozen = as.logical(as.numeric(pair.book$isFrozen)),
seq = pair.book$seq))
}
if (pair == "all"){
return (lapply(orderbook, ExtractInfo))
}
else{
return (ExtractInfo(orderbook))
}
})
################################################
############### ReturnTradeHistory #############
################################################
#' Returns the past 200 trades for a given market, or up to
#' 50,000 trades inside a specified input date range interval.
#'
#' @param theObject The public client API object on which the function should be called.
#' @param pair length-one character vector - The currencypair
#' for which trade history information should be fetched.
#' @param from POSIXct (or NULL) - starting timestamp
#' for optional date range interval.
#' if from != NULL: from must be < 'to' &
#' from must be >= (to - 1 year)
#' @param to POSIXct (or NULL) - ending timestamp for optional
#' date range interval.
#' @return an xts object containing historical trade information
#'
#' Rows - Information for one specific trade.
#' Columns - globalTradeID, tradeID, type, rate, amount, total
#'
#' if from == NULL:
#' Receive information for last 200 trades before 'to'
#' if to == NULL:
#' Ending timestamp for daterange will be set to Sys.time()
#'
#' @examples
#' Sys.setenv(tz = "UTC")
#' poloniex.public <- PoloniexPublicAPI()
#' pair <- "BTC_NXT"
#' from <- as.POSIXct("2017-02-01 00:00:00 UTC")
#' to <- as.POSIXct("2017-02-02 00:00:00 UTC")
#'
#' trades.data <- ReturnTradeHistory(theObject = poloniex.public,
#' pair = pair,
#' from = from,
#' to = to)
#'
#' @export
setGeneric(name="ReturnTradeHistory",
def=function(theObject,
pair = "USDT_BTC",
from = NULL,
to = NULL){
standardGeneric("ReturnTradeHistory")
})
#' Returns the past 200 trades for a given market, or up to
#' 50,000 trades inside a specified input date range interval.
#'
#' @param theObject The public client API object on which the function should be called.
#' @param pair length-one character vector - The currencypair
#' for which trade history information should be fetched.
#' @param from POSIXct (or NULL) - starting timestamp
#' for optional date range interval.
#' if from != NULL: from must be < 'to' &
#' from must be >= (to - 1 year)
#' @param to POSIXct (or NULL) - ending timestamp for optional
#' date range interval.
#' @return an xts object containing historical trade information
#'
#' Rows - Information for one specific trade.
#' Columns - globalTradeID, tradeID, type, rate, amount, total
#'
#' if from == NULL:
#' Receive information for last 200 trades before 'to'
#' if to == NULL:
#' Ending timestamp for daterange will be set to Sys.time()
#'
#' @examples
#' Sys.setenv(tz = "UTC")
#' poloniex.public <- PoloniexPublicAPI()
#' pair <- "BTC_NXT"
#' from <- as.POSIXct("2017-07-04 00:00:00 UTC")
#' to <- as.POSIXct("2017-07-05 00:00:00 UTC")
#'
#' trades.data <- ReturnTradeHistory(theObject = poloniex.public,
#' pair = pair,
#' from = from,
#' to = to)
#'
#' @export
setMethod(f="ReturnTradeHistory",
signature="PoloniexPublicAPI",
definition=function(theObject,
pair = "USDT_BTC",
from = NULL,
to = NULL){
########################
## INPUT VERIFICATION ##
########################
stopifnot(inherits(pair, "character"))
stopifnot(is.null(from) | inherits(from, "POSIXct"))
stopifnot(is.null(to) | inherits(to, "POSIXct"))
if (!is.null(from)){
if (is.null(to)){
to <- Sys.time()
}
if(difftime(to, from) <= 0){
stop (paste("The 'to' POSIXct input argument must greater later than",
"the 'from' POSIXct input argument"))
}
if(difftime(to, from) > 364){
stop (paste("The 'from' and 'to' POSIXct input arguments",
"must lie less than 365 days apart", sep=" "))
}
}
#########################################
## REQUEST PROCESSING / DATA WRANGLING ##
#########################################
returnTradeHistory.command <- theObject@commands$returnTradeHistory
request.str <- paste(paste(theObject@base.url,
paste("command",
returnTradeHistory.command, sep="="), sep=""),
paste("currencyPair", pair, sep="="), sep="&")
if(!is.null(from)){
request.str <- paste(request.str,
paste("start", as.numeric(from), sep="="),
sep = "&")
}
if(!is.null(to)){
request.str <- paste(request.str,
paste("end", as.numeric(to), sep="="),
sep = "&")
}
# Poloniex API Call
trades.history <- .ProcessRequest(request.str)
if (length(trades.history) > 0){
trades.mat <- matrix(unlist(trades.history),
byrow = TRUE,
ncol = length(trades.history[[1]]))
trades.xts <- xts::xts(trades.mat[,-3],
order.by = anytime::anytime(as.POSIXct(trades.mat[, 3]),
asUTC=TRUE))
names(trades.xts) <- names(trades.history[[1]])[-3]
return (trades.xts)
}
else{
warning(paste("No trade data found between",
from, "and", to,
"for currency pair", pair, sep=" "))
return (NULL)
}
})
################################################
############### ReturnChartData ################
################################################
#' Fetch OHLC and volume timeseries data for a specific market.
#' The caller must specify a date range interval
#' and datafrequency for the requested timeseries.
#'
#' @param theObject The object on which the function should be called.
#' @param pair a length-one character vector - The currencypair
#' for which timeseries information should be fetched.
#' @param from POSIXct - Starting timestamp for
#' daterange interval.
#' @param to POSIXct - Ending timestamp for daterange interval.
#' @param period length-one character vector OR length-one
#' numeric vector - datafrequency for requested timeseries.
#' if is(period, "numeric"): 300 / 900 / 1800 / 7200 / 14400 / 86400
#' if is(period, "character"): "5M", "15M", "30M", "2H", "4H", "D"
#' @return an xts timeseries object.
#' rows - ohcl and volume information for one timestamp.
#' columns - high, low, open, close, volume, quotevolume,
#' weightedaverage.
#' @examples
#' Sys.setenv(tz = "UTC")
#' poloniex.public <- PoloniexPublicAPI()
#' pair <- "BTC_NXT"
#' from <- as.POSIXct("2012-04-01 00:00:00 UTC")
#' to <- as.POSIXct("2012-04-09 00:00:00 UTC")
#' period <- "4H"
#'
#' chart.data <- ReturnChartData(theObject = poloniex.public,
#' pair = pair,
#' from = from,
#' to = to,
#' period = period)
#' @export
setGeneric(name="ReturnChartData",
def=function(theObject,
pair = "USDT_BTC",
from = as.POSIXct("2014-01-01 00:00:00 UTC"),
to = as.POSIXct("2018-01-01 00:00:00 UTC"),
period = "4H"){
standardGeneric("ReturnChartData")
})
#' Fetch OHLC and volume timeseries data for a specific market.
#' The caller must specify a date range interval
#' and datafrequency for the requested timeseries.
#'
#' @param theObject The object on which the function should be called.
#' @param pair a length-one character vector - The currencypair
#' for which timeseries information should be fetched.
#' @param from POSIXct - Starting timestamp for
#' daterange interval.
#' @param to POSIXct - Ending timestamp for daterange interval.
#' @param period length-one character vector OR length-one
#' numeric vector - datafrequency for requested timeseries.
#' if is(period, "numeric"): 300 / 900 / 1800 / 7200 / 14400 / 86400
#' if is(period, "character"): "5M", "15M", "30M", "2H", "4H", "D"
#' @return an xts timeseries object.
#' rows - ohcl and volume information for one timestamp.
#' columns - high, low, open, close, volume, quotevolume,
#' weightedaverage.
#' @examples
#' Sys.setenv(tz = "UTC")
#' poloniex.public <- PoloniexPublicAPI()
#' pair <- "BTC_NXT"
#' from <- as.POSIXct("2010-01-01 00:00:00 UTC")
#' to <- as.POSIXct("2012-04-09 00:00:00 UTC")
#' period <- "4H"
#'
#' chart.data <- ReturnChartData(theObject = poloniex.public,
#' pair = pair,
#' from = from,
#' to = to,
#' period = period)
#' @export
setMethod(f="ReturnChartData",
signature="PoloniexPublicAPI",
definition=function(theObject,
pair = "USDT_BTC",
from = as.POSIXct("2014-01-01 00:00:00 UTC"),
to = as.POSIXct("2018-01-01 00:00:00 UTC"),
period = "4H"){
########################
## INPUT VERIFICATION ##
########################
stopifnot(inherits(pair, "character"))
stopifnot(inherits(from, "POSIXct"))
stopifnot(inherits(to, "POSIXct"))
stopifnot(inherits(period, "character") |
inherits(period, "numeric"))
periods.num <- c(300, 900, 1800, 7200, 14400, 86400)
if (inherits(period, "numeric") & !period %in% periods.num){
stop (paste("Numeric period input argument must be one of the following values:",
paste(periods.num, collapse =", ")))
}
periods.str <- c("5M", "15M", "30M", "2H", "4H", "D")
if (inherits(period, "character")){
if (!period %in% periods.str){
stop (paste("Character period input argument must be one of the following values:",
paste(periods.str, collapse =", ")))
}
else{
if(period=="5M")
period = 300
else if(period=="15M")
period = 900
else if(period=="30M")
period= 1800
else if(period=="2H")
period = 7200
else if(period=="4H")
period = 14400
else if(period=="D")
period = 86400
}
}
#########################################
## REQUEST PROCESSING / DATA WRANGLING ##
#########################################
returnChartData.command <- theObject@commands$returnChartData
request.str <- paste(paste(theObject@base.url,
paste("command",
returnChartData.command, sep="="), sep=""),
paste("currencyPair", pair, sep="="),
paste("start", as.numeric(from), sep="="),
paste("end", as.numeric(to), sep="="),
paste("period", period, sep="="), sep="&")
# Poloniex API Call
chart.list <- .ProcessRequest(request.str)
if (length(chart.list) > 1){
chart.mat <- matrix(unlist(chart.list),
byrow=TRUE,
ncol=length(chart.list[[1]]))
chart.xts <- xts::xts(chart.mat[,-1],
order.by=anytime::anytime(chart.mat[,1],
asUTC=TRUE))
names(chart.xts) <- c("high", "low", "open", "close",
"volume", "quotevolume", "weightedaverage")
return (chart.xts)
}
else {
warning(paste("No timeseries data found between",
from, "and", to,
"for currency pair", pair, sep=" "))
return (NULL)
}
})
################################################
############### ReturnCurrencies ###############
################################################
#' Returns information about currencies
#'
#' @param theObject The object on which the function should be called
#' @return A dataframe with currency information
#' - rows: Information about a single currency
#' - columns: id, txfee, minConf, disabled, delisted, frozen
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' currencies <- ReturnCurrencies(poloniex.public)
#' @export
setGeneric(name="ReturnCurrencies",
def=function(theObject){
standardGeneric("ReturnCurrencies")
})
#' Returns information about currencies
#'
#' @param theObject The object on which the function should be called
#' @return A dataframe with currency information
#' - rows: Information about a single currency
#' - columns: id, txfee, minConf, disabled, delisted, frozen
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' currencies <- ReturnCurrencies(poloniex.public)
#' @export
setMethod(f="ReturnCurrencies",
signature="PoloniexPublicAPI",
definition=function(theObject){
#########################################
## REQUEST PROCESSING / DATA WRANGLING ##
#########################################
returnCurrencies.command <- theObject@commands$returnCurrencies
request.str <- paste(theObject@base.url,
paste("command",
returnCurrencies.command, sep="="), sep="")
# Poloniex API Call
currencies <- .ProcessRequest(request.str)
currencies.df <- as.data.frame(do.call("rbind", currencies))
currencies.df <- currencies.df[, -5]
return (currencies.df)
})
################################################
############### ReturnLoanOrders ###############
################################################
#' Returns a list of loan offers and demands for a given currency.
#'
#' @param theObject The object on which the function should be called
#' @param currency - a length-one character vector
#' Represents the currency for which loan information should be
#' fetched.
#' @return A list containing two items. Each item is a dataframe
#' containing the actual loan offers or demands information.
#' eg list$offers / list$demands
#' - rows: offers / demand "order book" entries.
#' - columns: rate, amount, min.days, max.days
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' currency <- "BTC"
#' loan.orders <- ReturnLoanOrders(poloniex.public)
#' @export
setGeneric(name="ReturnLoanOrders",
def=function(theObject, currency = "BTC"){
standardGeneric("ReturnLoanOrders")
})
#' Returns a list of loan offers and demands for a given currency.
#'
#' @param theObject The object on which the function should be called
#' @param currency - a length-one character vector
#' Represents the currency for which loan information should be
#' fetched.
#' @return A list containing two items. Each item is a dataframe
#' containing the actual loan offers or demands information.
#' eg list$offers / list$demands
#' - rows: offers / demand "order book" entries.
#' - columns: rate, amount, min.days, max.days
#' @examples
#' poloniex.public <- PoloniexPublicAPI()
#' currency <- "BTC"
#' loan.orders <- ReturnLoanOrders(poloniex.public)
#' @export
setMethod(f="ReturnLoanOrders",
signature="PoloniexPublicAPI",
definition=function(theObject, currency = "BTC"){
########################
## INPUT VERIFICATION ##
########################
stopifnot(inherits(currency, "character"))
available.currencies <- rownames(ReturnCurrencies(theObject))
if (!currency %in% available.currencies){
stop (paste(currency, "is not a valid currency"))
}
#########################################
## REQUEST PROCESSING / DATA WRANGLING ##
#########################################
returnLoanOrders.command <- theObject@commands$returnLoanOrders
request.str <- paste(paste(theObject@base.url,
paste("command",
returnLoanOrders.command, sep="="), sep=""),
paste("currency", currency, sep="="), sep="&")
# Poloniex API Call
loan.orders <- .ProcessRequest(request.str)
ExtractLoanOrders <- function(field){
loans.names <- c("rate", "amount", "min.days", "max.days")
loans <- loan.orders[[field]]
loans.depth <- length(loans)
if (loans.depth > 0){
loans.df <- as.data.frame(matrix(unlist(loans),
nrow = loans.depth, byrow = TRUE))
}
else{
loans.df <- data.frame(matrix(ncol = length(loans.names), nrow = 0))
}
names(loans.df) <- loans.names
return (loans.df)
}
loan.demands <- ExtractLoanOrders(field = "demands")
loan.offers <- ExtractLoanOrders(field = "offers")
return (list (offers = loan.offers,
demands = loan.demands) )
})
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