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README.md
In moexer: Interact with Moscow Exchange Informational and Statistical Server ('ISS')
moexer
Moscow Exchange (MOEX) provides a REST interface to its Informational
and Statistical Server (ISS), see https://fs.moex.com/files/8888.
moexer is a thin wrapper around the REST interface. It allows to
quickly fetch e.g. price candles for a particular security, obtain its
profile information and so on. The data is returned as tibbles, making
it easy to subsequently process and analyse it.
Installation
You can install the released version of moexer from
CRAN with:
install.packages("moexer")
or the latest version from github:
devtools::install_github("x1o/moexer")
High-Level Interface to ISS
Suppose you want to download monthly candles from Jan 1, 2020 until the
present day for the Sberbank common shares.
library(moexer)
library(dplyr)
library(purrr)
Each security on MOEX has an ID, e.g. a 4-letter ticker symbol for a
share (“LKOH”) or an ISIN for a bond (“RU000A0JXPU3”).
Find the corresponding security ID:
search_security(query = 'Sberbank') |>
slice_head(n = 10) |>
select(secid, name, is_traded, type, primary_boardid)
| secid | name | is_traded | type | primary_boardid |
|:-------------|:-------------------------|----------:|:----------------|:----------------|
| SBER | Сбербанк России ПАО ао | 1 | common_share | TQBR |
| SBERP | Сбербанк России ПАО ап | 1 | preferred_share | TQBR |
| RU000A103WV8 | Сбербанк ПАО 001Р-SBER33 | 1 | exchange_bond | TQCB |
| RU000A105SD9 | Сбербанк ПАО 001Р-SBER42 | 1 | exchange_bond | TQCB |
| RU000A101QW2 | Сбербанк ПАО 001Р-SBER16 | 1 | exchange_bond | TQCB |
| RU000A1069P3 | Сбербанк ПАО 002Р-SBER44 | 1 | exchange_bond | TQCB |
| RU000A103661 | Сбербанк ПАО 001Р-SBER27 | 1 | exchange_bond | TQCB |
| RU000A103KG4 | Сбербанк ПАО 001Р-SBERD1 | 1 | exchange_bond | TQCB |
| RU000A103G42 | Сбербанк ПАО 001Р-SBER29 | 1 | exchange_bond | TQCB |
| RU000A102YG7 | Сбербанк ПАО 001Р-SBER25 | 1 | exchange_bond | TQCB |
We can verify that SBER is indeed the symbol we were looking for and
check the profile information:
sber_info <- get_security_info(secid = 'SBER')
sber_info$description |>
select(name, title, value)
| name | title | value |
|:---------------------|:-------------------------------------------------|:-----------------------|
| SECID | Код ценной бумаги | SBER |
| NAME | Полное наименование | Сбербанк России ПАО ао |
| SHORTNAME | Краткое наименование | Сбербанк |
| ISIN | ISIN код | RU0009029540 |
| REGNUMBER | Номер государственной регистрации | 10301481B |
| ISSUESIZE | Объем выпуска | 21586948000 |
| FACEVALUE | Номинальная стоимость | 3 |
| FACEUNIT | Валюта номинала | SUR |
| ISSUEDATE | Дата начала торгов | 2007-07-20 |
| LATNAME | Английское наименование | Sberbank |
| LISTLEVEL | Уровень листинга | 1 |
| ISQUALIFIEDINVESTORS | Бумаги для квалифицированных инвесторов | 0 |
| MORNINGSESSION | Допуск к утренней дополнительной торговой сессии | 1 |
| EVENINGSESSION | Допуск к вечерней дополнительной торговой сессии | 1 |
| TYPENAME | Вид/категория ценной бумаги | Акция обыкновенная |
| GROUP | Код типа инструмента | stock_shares |
| TYPE | Тип бумаги | common_share |
| GROUPNAME | Типа инструмента | Акции |
| EMITTER_ID | Код эмитента | 1199 |
sber_info$boards |>
slice_head(n = 10) |>
select(secid, boardid, title, is_traded, history_from, history_till, currencyid)
| secid | boardid | title | is_traded | history_from | history_till | currencyid |
|:------|:--------|:-------------------------------------------|----------:|:-------------|:-------------|:-----------|
| SBER | TQBR | Т+: Акции и ДР - безадрес. | 1 | 2013-03-25 | 2024-03-11 | RUB |
| SBER | EQBR | Основной режим: А1-Акции и паи - безадрес. | 0 | 2011-11-21 | 2013-08-30 | RUB |
| SBER | SPEQ | Поставка по СК (акции) | 1 | 2018-06-29 | 2023-12-22 | RUB |
| SBER | SMAL | Т+: Неполные лоты (акции) - безадрес. | 1 | 2011-11-21 | 2024-03-11 | RUB |
| SBER | TQDP | Крупные пакеты - Акции - безадрес. | 0 | NA | NA | RUB |
| SBER | EQDP | Крупные пакеты - Акции - безадрес. | 0 | 2011-12-12 | 2019-03-01 | RUB |
| SBER | RPMO | РЕПО-М - адрес. | 1 | 2019-04-22 | 2024-03-11 | RUB |
| SBER | PTEQ | РПС с ЦК: Акции и ДР - адрес. | 1 | 2013-03-26 | 2024-03-11 | RUB |
| SBER | MXBD | MOEX Board | 0 | 2015-08-03 | 2024-03-11 | NA |
| SBER | CLMR | Classica - безадрес. | 0 | 2012-02-13 | 2015-07-31 | RUB |
Fetch the SBER candles:
get_candles(secid = 'SBER', from = '2020-01-01', till = '2022-01-01', interval = 'monthly') |>
head()
| secid | open | close | high | low | value | volume | begin | end |
|:------|-------:|-------:|-------:|-------:|-------------:|-----------:|:-----------|:-----------|
| SBER | 255.99 | 252.20 | 270.80 | 251.40 | 194032391970 | 747137520 | 2020-01-01 | 2020-01-31 |
| SBER | 251.80 | 233.36 | 259.77 | 231.00 | 229515686975 | 919822790 | 2020-02-01 | 2020-02-28 |
| SBER | 238.93 | 187.21 | 241.00 | 172.15 | 585178686681 | 3001736660 | 2020-03-01 | 2020-03-31 |
| SBER | 183.20 | 197.25 | 205.44 | 182.00 | 339626472208 | 1768222700 | 2020-04-01 | 2020-04-30 |
| SBER | 195.68 | 200.50 | 205.00 | 183.33 | 262827471698 | 1359045230 | 2020-05-01 | 2020-05-29 |
| SBER | 203.10 | 203.22 | 223.15 | 200.75 | 320424161576 | 1522268370 | 2020-06-01 | 2020-06-30 |
get_candles() also supports specifying date-times for the from,
till arguments, e.g. '2020-01-01 09:00:00'. This is most useful for
obtaining intraday candles, e.g with interval = 'hourly' — see
options('moexer.candle.intervals').
If till = NULL, all candles up to today are fetched.
get_candles() is vectorised over secid, so it is possible to, say,
fetch candles for both the common and the preferred shares. The returned
object has class MoexCandles for which there’s an appropriate plot()
method:
get_candles(
secid = c('SBER', 'SBERP'),
from = '2020-01-01',
till = '2022-01-01',
interval = 'monthly'
) |>
plot()
Low-level Interface to ISS
Request
ISS is accessed via HTTP and/or HTTPS.
The interface is “RESTful”, meaning the endpoint parameters can be
passed as a query string, but they form the path of the URL. For
instance, to receive SBER candles, one would need to form a URL as
below:
<base_url>/securities/SBER/candles?from=2020-01-10&till=2020-01-17
For a list of all public endpoints, see
http://iss.moex.com/iss/reference/.
Response
ISS is capable of return data in several formats; the present package
uses JSON internally.
Every response consists of named sections (“blocks”).
Every block contains the following sub-sections:
metadata with typescolumn with column namesdata with the actual payload
All response blocks are parsed as tibbles using the information above.
Query String Parameters
The parameters can be applied to some sections (1), all section (2) or
modify “system” ISS parameters (3).
<block>.<parameter>=<value> (applicable for block <block>)
<block>.columns=<id_1>,<id_2>,...: only select these column in
the block <block>
<parameter>=<value> (all response blocks)iss.<parameter>=<value> (system parameter)
iss.only=<block_1>,<block_2>,...: only return these blocks
Examples
The main function for working with low-level requests is query_iss().
Simple Queries
Fetch possible values for certain market objects. This returns a list of
sections such as engines, markets, etc, each being a dataframe.
iss_index <- query_iss('index')
names(iss_index)
#> [1] "engines" "markets" "boards"
#> [4] "boardgroups" "durations" "securitytypes"
#> [7] "securitygroups" "securitycollections"
iss_index$engines
| id | name | title |
|-----:|:--------------|:---------------------------------|
| 1 | stock | Фондовый рынок и рынок депозитов |
| 2 | state | Рынок ГЦБ (размещение) |
| 3 | currency | Валютный рынок |
| 4 | futures | Срочный рынок |
| 5 | commodity | Товарный рынок |
| 6 | interventions | Товарные интервенции |
| 7 | offboard | ОТС-система |
| 9 | agro | Агро |
| 1012 | otc | ОТС с ЦК |
| 1282 | quotes | Квоты |
Query string parameters are specified as params argument;
debug_output = TRUE results in the request URL being printed:
df <- query_iss(
'index',
params = list(
iss.only = 'engines,markets',
markets.columns = 'id,market_name,market_title'
),
debug_output = TRUE
)
#> http://iss.moex.com/iss/index.json?iss.only=engines,markets&markets.columns=id,market_name,market_title
df$engines |> head()
| id | name | title |
|----:|:--------------|:---------------------------------|
| 1 | stock | Фондовый рынок и рынок депозитов |
| 2 | state | Рынок ГЦБ (размещение) |
| 3 | currency | Валютный рынок |
| 4 | futures | Срочный рынок |
| 5 | commodity | Товарный рынок |
| 6 | interventions | Товарные интервенции |
df$markets |> head()
| id | market_name | market_title |
|----:|:------------|:--------------------------|
| 5 | index | Индексы фондового рынка |
| 1 | shares | Рынок акций |
| 2 | bonds | Рынок облигаций |
| 4 | ndm | Режим переговорных сделок |
| 29 | otc | ОТС |
| 27 | ccp | РЕПО с ЦК |
show_df <- function(df) {
print(nrow(df))
bind_rows(head(df), tail(df))
}
Queries Involving Cursor
Some queries return large responses, which are split into pages that
must accessed using start query string parameter as indicated in the
auxiliary section history.cursor, also returned by ISS:
df <- query_iss(
'history/engines/stock/markets/shares/securities/MOEX',
params = list(
from = '2021-09-01',
till = '2021-12-31',
start = 10
)
)
show_df(df$history[,1:10])
#> [1] 100
| BOARDID | TRADEDATE | SHORTNAME | SECID | NUMTRADES | VALUE | OPEN | LOW | HIGH | LEGALCLOSEPRICE |
|:--------|:-----------|:----------|:------|----------:|-------------:|-------:|-------:|-------:|----------------:|
| SMAL | 2021-09-08 | МосБиржа | MOEX | 16 | 3.869140e+03 | 184.91 | 183.00 | 186.00 | NA |
| TQBR | 2021-09-08 | МосБиржа | MOEX | 20040 | 1.331147e+09 | 187.00 | 181.30 | 187.83 | 182.88 |
| SMAL | 2021-09-09 | МосБиржа | MOEX | 22 | 5.684990e+03 | 182.50 | 182.00 | 184.49 | NA |
| TQBR | 2021-09-09 | МосБиржа | MOEX | 21268 | 1.162550e+09 | 182.95 | 181.02 | 184.88 | 183.18 |
| SMAL | 2021-09-10 | МосБиржа | MOEX | 22 | 4.622800e+03 | 182.35 | 182.35 | 187.40 | NA |
| TQBR | 2021-09-10 | МосБиржа | MOEX | 17626 | 1.390805e+09 | 182.84 | 182.58 | 187.78 | 184.90 |
| TQBR | 2021-11-12 | МосБиржа | MOEX | 22104 | 1.369847e+09 | 171.49 | 168.01 | 171.66 | 169.73 |
| SMAL | 2021-11-15 | МосБиржа | MOEX | 11 | 3.743810e+03 | 158.08 | 158.08 | 172.70 | NA |
| TQBR | 2021-11-15 | МосБиржа | MOEX | 20860 | 1.276717e+09 | 169.27 | 168.82 | 173.70 | 171.69 |
| SMAL | 2021-11-16 | МосБиржа | MOEX | 10 | 3.443480e+03 | 172.90 | 168.80 | 173.97 | NA |
| TQBR | 2021-11-16 | МосБиржа | MOEX | 23585 | 1.410013e+09 | 172.18 | 168.22 | 173.09 | 168.58 |
| SMAL | 2021-11-17 | МосБиржа | MOEX | 9 | 2.547600e+03 | 168.51 | 168.49 | 172.39 | NA |
df$history.cursor
| INDEX | TOTAL | PAGESIZE |
|------:|------:|---------:|
| 10 | 174 | 100 |
An adverb following_cursor() decorates query_iss() to follow the
cursor until the requested information is received completely. The
.cursor dataframe is dropped.
following_cursor(query_iss)(
'history/engines/stock/markets/shares/securities/MOEX',
params = list(
from = '2021-09-01',
till = '2021-12-31',
start = 10
)
) |>
pluck('history') |>
select(1:10) |>
show_df()
#> [1] 164
| BOARDID | TRADEDATE | SHORTNAME | SECID | NUMTRADES | VALUE | OPEN | LOW | HIGH | LEGALCLOSEPRICE |
|:--------|:-----------|:----------|:------|----------:|-------------:|-------:|-------:|-------:|----------------:|
| SMAL | 2021-09-08 | МосБиржа | MOEX | 16 | 3.869140e+03 | 184.91 | 183.00 | 186.00 | NA |
| TQBR | 2021-09-08 | МосБиржа | MOEX | 20040 | 1.331147e+09 | 187.00 | 181.30 | 187.83 | 182.88 |
| SMAL | 2021-09-09 | МосБиржа | MOEX | 22 | 5.684990e+03 | 182.50 | 182.00 | 184.49 | NA |
| TQBR | 2021-09-09 | МосБиржа | MOEX | 21268 | 1.162550e+09 | 182.95 | 181.02 | 184.88 | 183.18 |
| SMAL | 2021-09-10 | МосБиржа | MOEX | 22 | 4.622800e+03 | 182.35 | 182.35 | 187.40 | NA |
| TQBR | 2021-09-10 | МосБиржа | MOEX | 17626 | 1.390805e+09 | 182.84 | 182.58 | 187.78 | 184.90 |
| SMAL | 2021-12-28 | МосБиржа | MOEX | 3 | 9.473100e+02 | 159.90 | 150.13 | 159.90 | NA |
| TQBR | 2021-12-28 | МосБиржа | MOEX | 19040 | 1.097535e+09 | 152.15 | 151.27 | 153.34 | 152.38 |
| SMAL | 2021-12-29 | МосБиржа | MOEX | 14 | 3.190540e+03 | 154.86 | 143.02 | 156.98 | NA |
| TQBR | 2021-12-29 | МосБиржа | MOEX | 15518 | 8.011846e+08 | 151.84 | 150.80 | 152.59 | 152.10 |
| SMAL | 2021-12-30 | МосБиржа | MOEX | 11 | 2.600790e+03 | 153.01 | 145.79 | 165.34 | NA |
| TQBR | 2021-12-30 | МосБиржа | MOEX | 17425 | 8.129008e+08 | 152.57 | 152.10 | 153.67 | 153.18 |
Queries With Automatical start Increment
Some responses are large yet are not accompanied by a .cursor block.
query_iss(
'engines/stock/markets/shares/boards/TQBR/securities/SBER/candles',
params = list(
from = URLencode('2020-01-10 10:00:00'),
till = URLencode('2020-01-10 23:59:59'),
interval = 1,
start = 10
),
debug_output = TRUE
) |>
pluck('candles') |>
show_df()
#> http://iss.moex.com/iss/engines/stock/markets/shares/boards/TQBR/securities/SBER/candles.json?from=2020-01-10%2010:00:00&till=2020-01-10%2023:59:59&interval=1&start=10
#> [1] 500
| open | close | high | low | value | volume | begin | end |
|-------:|-------:|-------:|-------:|---------:|-------:|:--------------------|:--------------------|
| 257.00 | 257.30 | 257.39 | 256.90 | 30515548 | 118660 | 2020-01-10 10:10:00 | 2020-01-10 10:10:59 |
| 257.24 | 257.32 | 257.38 | 257.20 | 14548053 | 56550 | 2020-01-10 10:11:00 | 2020-01-10 10:11:59 |
| 257.30 | 257.37 | 257.38 | 257.16 | 5638369 | 21920 | 2020-01-10 10:12:00 | 2020-01-10 10:12:59 |
| 257.28 | 257.30 | 257.47 | 257.23 | 4317722 | 16780 | 2020-01-10 10:13:00 | 2020-01-10 10:13:59 |
| 257.30 | 257.44 | 257.44 | 257.30 | 8505667 | 33050 | 2020-01-10 10:14:00 | 2020-01-10 10:14:59 |
| 257.43 | 257.32 | 257.43 | 257.20 | 12989804 | 50490 | 2020-01-10 10:15:00 | 2020-01-10 10:15:59 |
| 257.86 | 257.85 | 257.87 | 257.80 | 3640487 | 14120 | 2020-01-10 18:24:00 | 2020-01-10 18:24:59 |
| 257.84 | 257.85 | 257.97 | 257.80 | 19307540 | 74860 | 2020-01-10 18:25:00 | 2020-01-10 18:25:59 |
| 257.84 | 257.70 | 257.84 | 257.70 | 5734978 | 22250 | 2020-01-10 18:26:00 | 2020-01-10 18:26:59 |
| 257.71 | 257.71 | 257.82 | 257.70 | 8255241 | 32030 | 2020-01-10 18:27:00 | 2020-01-10 18:27:59 |
| 257.77 | 257.82 | 257.83 | 257.71 | 9292759 | 36050 | 2020-01-10 18:28:00 | 2020-01-10 18:28:59 |
| 257.80 | 257.90 | 257.97 | 257.75 | 21327564 | 82730 | 2020-01-10 18:29:00 | 2020-01-10 18:29:59 |
These queries may accessed by query_iss() wrapped into
fetching_fully decorator, which automatically increases the value of
start parameter until no more data is received:
fetching_fully(query_iss)(
'engines/stock/markets/shares/boards/TQBR/securities/SBER/candles',
params = list(
from = URLencode('2020-01-10 10:00:00'),
till = URLencode('2020-01-10 23:59:59'),
interval = 1,
start = 10
)
) |>
pluck('candles') |>
show_df()
#> [1] 515
| open | close | high | low | value | volume | begin | end |
|-------:|-------:|-------:|-------:|----------:|--------:|:--------------------|:--------------------|
| 257.00 | 257.30 | 257.39 | 256.90 | 30515548 | 118660 | 2020-01-10 10:10:00 | 2020-01-10 10:10:59 |
| 257.24 | 257.32 | 257.38 | 257.20 | 14548053 | 56550 | 2020-01-10 10:11:00 | 2020-01-10 10:11:59 |
| 257.30 | 257.37 | 257.38 | 257.16 | 5638369 | 21920 | 2020-01-10 10:12:00 | 2020-01-10 10:12:59 |
| 257.28 | 257.30 | 257.47 | 257.23 | 4317722 | 16780 | 2020-01-10 10:13:00 | 2020-01-10 10:13:59 |
| 257.30 | 257.44 | 257.44 | 257.30 | 8505667 | 33050 | 2020-01-10 10:14:00 | 2020-01-10 10:14:59 |
| 257.43 | 257.32 | 257.43 | 257.20 | 12989804 | 50490 | 2020-01-10 10:15:00 | 2020-01-10 10:15:59 |
| 257.81 | 257.81 | 257.85 | 257.80 | 17768959 | 68920 | 2020-01-10 18:39:00 | 2020-01-10 18:39:59 |
| 258.19 | 258.19 | 258.19 | 258.19 | 328812711 | 1273530 | 2020-01-10 18:45:00 | 2020-01-10 18:45:59 |
| 258.19 | 258.19 | 258.19 | 258.19 | 3268685 | 12660 | 2020-01-10 18:46:00 | 2020-01-10 18:46:59 |
| 258.19 | 258.19 | 258.19 | 258.19 | 206552 | 800 | 2020-01-10 18:47:00 | 2020-01-10 18:47:59 |
| 258.19 | 258.19 | 258.19 | 258.19 | 258190 | 1000 | 2020-01-10 18:48:00 | 2020-01-10 18:48:59 |
| 258.19 | 258.19 | 258.19 | 258.19 | 25899039 | 100310 | 2020-01-10 18:49:00 | 2020-01-10 18:49:59 |
Some endpoints do not support start parameter – fetching_fully()
knows how to handle that:
fetching_fully(query_iss)('turnovers', params = list(iss.only = 'turnovers'))$turnovers
#> ! Received identical sections: the endpoint probably does not support `start` parameter
| NAME | ID | VALTODAY | VALTODAY_USD | NUMTRADES | UPDATETIME | TITLE |
|:----------|-----:|-------------:|-------------:|----------:|:--------------------|:---------------------------------|
| stock | 1 | 2702212.5503 | 29817.451992 | 1898455 | 2024-03-12 13:15:41 | Фондовый рынок и рынок депозитов |
| currency | 3 | 961403.1222 | 10608.562764 | 91763 | 2024-03-12 13:15:41 | Валютный рынок |
| futures | 4 | 166537.2800 | 1837.648690 | 489371 | 2024-03-12 13:15:42 | Срочный рынок |
| commodity | 5 | NA | NA | NA | 2024-03-12 07:00:00 | Товарный рынок |
| agro | 9 | 278.0831 | 3.068497 | 47 | 2024-03-12 13:10:00 | Агро |
| otc | 1012 | 831.2027 | 9.171872 | 1324 | 2024-03-12 13:15:37 | ОТС с ЦК |
| quotes | 1282 | NA | NA | NA | 2024-03-12 09:30:01 | Квоты |
| TOTALS | NA | 3831262.2384 | 42275.903815 | 2480960 | 2024-03-12 13:15:42 | Всего по Московской Бирже |
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moexer
Moscow Exchange (MOEX) provides a REST interface to its Informational and Statistical Server (ISS), see https://fs.moex.com/files/8888.
moexer is a thin wrapper around the REST interface. It allows to
quickly fetch e.g. price candles for a particular security, obtain its
profile information and so on. The data is returned as tibbles, making
it easy to subsequently process and analyse it.
Installation
You can install the released version of moexer from CRAN with:
install.packages("moexer")
or the latest version from github:
devtools::install_github("x1o/moexer")
High-Level Interface to ISS
Suppose you want to download monthly candles from Jan 1, 2020 until the present day for the Sberbank common shares.
library(moexer)
library(dplyr)
library(purrr)
Each security on MOEX has an ID, e.g. a 4-letter ticker symbol for a
share (“LKOH”) or an ISIN for a bond (“RU000A0JXPU3”).
Find the corresponding security ID:
search_security(query = 'Sberbank') |>
slice_head(n = 10) |>
select(secid, name, is_traded, type, primary_boardid)
| secid | name | is_traded | type | primary_boardid |
|:-------------|:-------------------------|----------:|:----------------|:----------------|
| SBER | Сбербанк России ПАО ао | 1 | common_share | TQBR |
| SBERP | Сбербанк России ПАО ап | 1 | preferred_share | TQBR |
| RU000A103WV8 | Сбербанк ПАО 001Р-SBER33 | 1 | exchange_bond | TQCB |
| RU000A105SD9 | Сбербанк ПАО 001Р-SBER42 | 1 | exchange_bond | TQCB |
| RU000A101QW2 | Сбербанк ПАО 001Р-SBER16 | 1 | exchange_bond | TQCB |
| RU000A1069P3 | Сбербанк ПАО 002Р-SBER44 | 1 | exchange_bond | TQCB |
| RU000A103661 | Сбербанк ПАО 001Р-SBER27 | 1 | exchange_bond | TQCB |
| RU000A103KG4 | Сбербанк ПАО 001Р-SBERD1 | 1 | exchange_bond | TQCB |
| RU000A103G42 | Сбербанк ПАО 001Р-SBER29 | 1 | exchange_bond | TQCB |
| RU000A102YG7 | Сбербанк ПАО 001Р-SBER25 | 1 | exchange_bond | TQCB |
We can verify that SBER is indeed the symbol we were looking for and
check the profile information:
sber_info <- get_security_info(secid = 'SBER')
sber_info$description |>
select(name, title, value)
| name | title | value |
|:---------------------|:-------------------------------------------------|:-----------------------|
| SECID | Код ценной бумаги | SBER |
| NAME | Полное наименование | Сбербанк России ПАО ао |
| SHORTNAME | Краткое наименование | Сбербанк |
| ISIN | ISIN код | RU0009029540 |
| REGNUMBER | Номер государственной регистрации | 10301481B |
| ISSUESIZE | Объем выпуска | 21586948000 |
| FACEVALUE | Номинальная стоимость | 3 |
| FACEUNIT | Валюта номинала | SUR |
| ISSUEDATE | Дата начала торгов | 2007-07-20 |
| LATNAME | Английское наименование | Sberbank |
| LISTLEVEL | Уровень листинга | 1 |
| ISQUALIFIEDINVESTORS | Бумаги для квалифицированных инвесторов | 0 |
| MORNINGSESSION | Допуск к утренней дополнительной торговой сессии | 1 |
| EVENINGSESSION | Допуск к вечерней дополнительной торговой сессии | 1 |
| TYPENAME | Вид/категория ценной бумаги | Акция обыкновенная |
| GROUP | Код типа инструмента | stock_shares |
| TYPE | Тип бумаги | common_share |
| GROUPNAME | Типа инструмента | Акции |
| EMITTER_ID | Код эмитента | 1199 |
sber_info$boards |>
slice_head(n = 10) |>
select(secid, boardid, title, is_traded, history_from, history_till, currencyid)
| secid | boardid | title | is_traded | history_from | history_till | currencyid |
|:------|:--------|:-------------------------------------------|----------:|:-------------|:-------------|:-----------|
| SBER | TQBR | Т+: Акции и ДР - безадрес. | 1 | 2013-03-25 | 2024-03-11 | RUB |
| SBER | EQBR | Основной режим: А1-Акции и паи - безадрес. | 0 | 2011-11-21 | 2013-08-30 | RUB |
| SBER | SPEQ | Поставка по СК (акции) | 1 | 2018-06-29 | 2023-12-22 | RUB |
| SBER | SMAL | Т+: Неполные лоты (акции) - безадрес. | 1 | 2011-11-21 | 2024-03-11 | RUB |
| SBER | TQDP | Крупные пакеты - Акции - безадрес. | 0 | NA | NA | RUB |
| SBER | EQDP | Крупные пакеты - Акции - безадрес. | 0 | 2011-12-12 | 2019-03-01 | RUB |
| SBER | RPMO | РЕПО-М - адрес. | 1 | 2019-04-22 | 2024-03-11 | RUB |
| SBER | PTEQ | РПС с ЦК: Акции и ДР - адрес. | 1 | 2013-03-26 | 2024-03-11 | RUB |
| SBER | MXBD | MOEX Board | 0 | 2015-08-03 | 2024-03-11 | NA |
| SBER | CLMR | Classica - безадрес. | 0 | 2012-02-13 | 2015-07-31 | RUB |
Fetch the SBER candles:
get_candles(secid = 'SBER', from = '2020-01-01', till = '2022-01-01', interval = 'monthly') |>
head()
| secid | open | close | high | low | value | volume | begin | end |
|:------|-------:|-------:|-------:|-------:|-------------:|-----------:|:-----------|:-----------|
| SBER | 255.99 | 252.20 | 270.80 | 251.40 | 194032391970 | 747137520 | 2020-01-01 | 2020-01-31 |
| SBER | 251.80 | 233.36 | 259.77 | 231.00 | 229515686975 | 919822790 | 2020-02-01 | 2020-02-28 |
| SBER | 238.93 | 187.21 | 241.00 | 172.15 | 585178686681 | 3001736660 | 2020-03-01 | 2020-03-31 |
| SBER | 183.20 | 197.25 | 205.44 | 182.00 | 339626472208 | 1768222700 | 2020-04-01 | 2020-04-30 |
| SBER | 195.68 | 200.50 | 205.00 | 183.33 | 262827471698 | 1359045230 | 2020-05-01 | 2020-05-29 |
| SBER | 203.10 | 203.22 | 223.15 | 200.75 | 320424161576 | 1522268370 | 2020-06-01 | 2020-06-30 |
get_candles() also supports specifying date-times for the from,
till arguments, e.g. '2020-01-01 09:00:00'. This is most useful for
obtaining intraday candles, e.g with interval = 'hourly' — see
options('moexer.candle.intervals').
If till = NULL, all candles up to today are fetched.
get_candles() is vectorised over secid, so it is possible to, say,
fetch candles for both the common and the preferred shares. The returned
object has class MoexCandles for which there’s an appropriate plot()
method:
get_candles(
secid = c('SBER', 'SBERP'),
from = '2020-01-01',
till = '2022-01-01',
interval = 'monthly'
) |>
plot()
Low-level Interface to ISS
Request
ISS is accessed via HTTP and/or HTTPS.
The interface is “RESTful”, meaning the endpoint parameters can be
passed as a query string, but they form the path of the URL. For
instance, to receive SBER candles, one would need to form a URL as
below:
<base_url>/securities/SBER/candles?from=2020-01-10&till=2020-01-17
For a list of all public endpoints, see http://iss.moex.com/iss/reference/.
Response
ISS is capable of return data in several formats; the present package uses JSON internally.
Every response consists of named sections (“blocks”).
Every block contains the following sub-sections:
metadatawith typescolumnwith column namesdatawith the actual payload
All response blocks are parsed as tibbles using the information above.
Query String Parameters
The parameters can be applied to some sections (1), all section (2) or modify “system” ISS parameters (3).
<block>.<parameter>=<value>(applicable for block<block>)<block>.columns=<id_1>,<id_2>,...: only select these column in the block<block>
<parameter>=<value>(all response blocks)iss.<parameter>=<value>(system parameter)iss.only=<block_1>,<block_2>,...: only return these blocks
Examples
The main function for working with low-level requests is query_iss().
Simple Queries
Fetch possible values for certain market objects. This returns a list of
sections such as engines, markets, etc, each being a dataframe.
iss_index <- query_iss('index')
names(iss_index)
#> [1] "engines" "markets" "boards"
#> [4] "boardgroups" "durations" "securitytypes"
#> [7] "securitygroups" "securitycollections"
iss_index$engines
| id | name | title |
|-----:|:--------------|:---------------------------------|
| 1 | stock | Фондовый рынок и рынок депозитов |
| 2 | state | Рынок ГЦБ (размещение) |
| 3 | currency | Валютный рынок |
| 4 | futures | Срочный рынок |
| 5 | commodity | Товарный рынок |
| 6 | interventions | Товарные интервенции |
| 7 | offboard | ОТС-система |
| 9 | agro | Агро |
| 1012 | otc | ОТС с ЦК |
| 1282 | quotes | Квоты |
Query string parameters are specified as params argument;
debug_output = TRUE results in the request URL being printed:
df <- query_iss(
'index',
params = list(
iss.only = 'engines,markets',
markets.columns = 'id,market_name,market_title'
),
debug_output = TRUE
)
#> http://iss.moex.com/iss/index.json?iss.only=engines,markets&markets.columns=id,market_name,market_title
df$engines |> head()
| id | name | title |
|----:|:--------------|:---------------------------------|
| 1 | stock | Фондовый рынок и рынок депозитов |
| 2 | state | Рынок ГЦБ (размещение) |
| 3 | currency | Валютный рынок |
| 4 | futures | Срочный рынок |
| 5 | commodity | Товарный рынок |
| 6 | interventions | Товарные интервенции |
df$markets |> head()
| id | market_name | market_title |
|----:|:------------|:--------------------------|
| 5 | index | Индексы фондового рынка |
| 1 | shares | Рынок акций |
| 2 | bonds | Рынок облигаций |
| 4 | ndm | Режим переговорных сделок |
| 29 | otc | ОТС |
| 27 | ccp | РЕПО с ЦК |
show_df <- function(df) {
print(nrow(df))
bind_rows(head(df), tail(df))
}
Queries Involving Cursor
Some queries return large responses, which are split into pages that
must accessed using start query string parameter as indicated in the
auxiliary section history.cursor, also returned by ISS:
df <- query_iss(
'history/engines/stock/markets/shares/securities/MOEX',
params = list(
from = '2021-09-01',
till = '2021-12-31',
start = 10
)
)
show_df(df$history[,1:10])
#> [1] 100
| BOARDID | TRADEDATE | SHORTNAME | SECID | NUMTRADES | VALUE | OPEN | LOW | HIGH | LEGALCLOSEPRICE |
|:--------|:-----------|:----------|:------|----------:|-------------:|-------:|-------:|-------:|----------------:|
| SMAL | 2021-09-08 | МосБиржа | MOEX | 16 | 3.869140e+03 | 184.91 | 183.00 | 186.00 | NA |
| TQBR | 2021-09-08 | МосБиржа | MOEX | 20040 | 1.331147e+09 | 187.00 | 181.30 | 187.83 | 182.88 |
| SMAL | 2021-09-09 | МосБиржа | MOEX | 22 | 5.684990e+03 | 182.50 | 182.00 | 184.49 | NA |
| TQBR | 2021-09-09 | МосБиржа | MOEX | 21268 | 1.162550e+09 | 182.95 | 181.02 | 184.88 | 183.18 |
| SMAL | 2021-09-10 | МосБиржа | MOEX | 22 | 4.622800e+03 | 182.35 | 182.35 | 187.40 | NA |
| TQBR | 2021-09-10 | МосБиржа | MOEX | 17626 | 1.390805e+09 | 182.84 | 182.58 | 187.78 | 184.90 |
| TQBR | 2021-11-12 | МосБиржа | MOEX | 22104 | 1.369847e+09 | 171.49 | 168.01 | 171.66 | 169.73 |
| SMAL | 2021-11-15 | МосБиржа | MOEX | 11 | 3.743810e+03 | 158.08 | 158.08 | 172.70 | NA |
| TQBR | 2021-11-15 | МосБиржа | MOEX | 20860 | 1.276717e+09 | 169.27 | 168.82 | 173.70 | 171.69 |
| SMAL | 2021-11-16 | МосБиржа | MOEX | 10 | 3.443480e+03 | 172.90 | 168.80 | 173.97 | NA |
| TQBR | 2021-11-16 | МосБиржа | MOEX | 23585 | 1.410013e+09 | 172.18 | 168.22 | 173.09 | 168.58 |
| SMAL | 2021-11-17 | МосБиржа | MOEX | 9 | 2.547600e+03 | 168.51 | 168.49 | 172.39 | NA |
df$history.cursor
| INDEX | TOTAL | PAGESIZE |
|------:|------:|---------:|
| 10 | 174 | 100 |
An adverb following_cursor() decorates query_iss() to follow the
cursor until the requested information is received completely. The
.cursor dataframe is dropped.
following_cursor(query_iss)(
'history/engines/stock/markets/shares/securities/MOEX',
params = list(
from = '2021-09-01',
till = '2021-12-31',
start = 10
)
) |>
pluck('history') |>
select(1:10) |>
show_df()
#> [1] 164
| BOARDID | TRADEDATE | SHORTNAME | SECID | NUMTRADES | VALUE | OPEN | LOW | HIGH | LEGALCLOSEPRICE |
|:--------|:-----------|:----------|:------|----------:|-------------:|-------:|-------:|-------:|----------------:|
| SMAL | 2021-09-08 | МосБиржа | MOEX | 16 | 3.869140e+03 | 184.91 | 183.00 | 186.00 | NA |
| TQBR | 2021-09-08 | МосБиржа | MOEX | 20040 | 1.331147e+09 | 187.00 | 181.30 | 187.83 | 182.88 |
| SMAL | 2021-09-09 | МосБиржа | MOEX | 22 | 5.684990e+03 | 182.50 | 182.00 | 184.49 | NA |
| TQBR | 2021-09-09 | МосБиржа | MOEX | 21268 | 1.162550e+09 | 182.95 | 181.02 | 184.88 | 183.18 |
| SMAL | 2021-09-10 | МосБиржа | MOEX | 22 | 4.622800e+03 | 182.35 | 182.35 | 187.40 | NA |
| TQBR | 2021-09-10 | МосБиржа | MOEX | 17626 | 1.390805e+09 | 182.84 | 182.58 | 187.78 | 184.90 |
| SMAL | 2021-12-28 | МосБиржа | MOEX | 3 | 9.473100e+02 | 159.90 | 150.13 | 159.90 | NA |
| TQBR | 2021-12-28 | МосБиржа | MOEX | 19040 | 1.097535e+09 | 152.15 | 151.27 | 153.34 | 152.38 |
| SMAL | 2021-12-29 | МосБиржа | MOEX | 14 | 3.190540e+03 | 154.86 | 143.02 | 156.98 | NA |
| TQBR | 2021-12-29 | МосБиржа | MOEX | 15518 | 8.011846e+08 | 151.84 | 150.80 | 152.59 | 152.10 |
| SMAL | 2021-12-30 | МосБиржа | MOEX | 11 | 2.600790e+03 | 153.01 | 145.79 | 165.34 | NA |
| TQBR | 2021-12-30 | МосБиржа | MOEX | 17425 | 8.129008e+08 | 152.57 | 152.10 | 153.67 | 153.18 |
Queries With Automatical start Increment
Some responses are large yet are not accompanied by a .cursor block.
query_iss(
'engines/stock/markets/shares/boards/TQBR/securities/SBER/candles',
params = list(
from = URLencode('2020-01-10 10:00:00'),
till = URLencode('2020-01-10 23:59:59'),
interval = 1,
start = 10
),
debug_output = TRUE
) |>
pluck('candles') |>
show_df()
#> http://iss.moex.com/iss/engines/stock/markets/shares/boards/TQBR/securities/SBER/candles.json?from=2020-01-10%2010:00:00&till=2020-01-10%2023:59:59&interval=1&start=10
#> [1] 500
| open | close | high | low | value | volume | begin | end |
|-------:|-------:|-------:|-------:|---------:|-------:|:--------------------|:--------------------|
| 257.00 | 257.30 | 257.39 | 256.90 | 30515548 | 118660 | 2020-01-10 10:10:00 | 2020-01-10 10:10:59 |
| 257.24 | 257.32 | 257.38 | 257.20 | 14548053 | 56550 | 2020-01-10 10:11:00 | 2020-01-10 10:11:59 |
| 257.30 | 257.37 | 257.38 | 257.16 | 5638369 | 21920 | 2020-01-10 10:12:00 | 2020-01-10 10:12:59 |
| 257.28 | 257.30 | 257.47 | 257.23 | 4317722 | 16780 | 2020-01-10 10:13:00 | 2020-01-10 10:13:59 |
| 257.30 | 257.44 | 257.44 | 257.30 | 8505667 | 33050 | 2020-01-10 10:14:00 | 2020-01-10 10:14:59 |
| 257.43 | 257.32 | 257.43 | 257.20 | 12989804 | 50490 | 2020-01-10 10:15:00 | 2020-01-10 10:15:59 |
| 257.86 | 257.85 | 257.87 | 257.80 | 3640487 | 14120 | 2020-01-10 18:24:00 | 2020-01-10 18:24:59 |
| 257.84 | 257.85 | 257.97 | 257.80 | 19307540 | 74860 | 2020-01-10 18:25:00 | 2020-01-10 18:25:59 |
| 257.84 | 257.70 | 257.84 | 257.70 | 5734978 | 22250 | 2020-01-10 18:26:00 | 2020-01-10 18:26:59 |
| 257.71 | 257.71 | 257.82 | 257.70 | 8255241 | 32030 | 2020-01-10 18:27:00 | 2020-01-10 18:27:59 |
| 257.77 | 257.82 | 257.83 | 257.71 | 9292759 | 36050 | 2020-01-10 18:28:00 | 2020-01-10 18:28:59 |
| 257.80 | 257.90 | 257.97 | 257.75 | 21327564 | 82730 | 2020-01-10 18:29:00 | 2020-01-10 18:29:59 |
These queries may accessed by query_iss() wrapped into
fetching_fully decorator, which automatically increases the value of
start parameter until no more data is received:
fetching_fully(query_iss)(
'engines/stock/markets/shares/boards/TQBR/securities/SBER/candles',
params = list(
from = URLencode('2020-01-10 10:00:00'),
till = URLencode('2020-01-10 23:59:59'),
interval = 1,
start = 10
)
) |>
pluck('candles') |>
show_df()
#> [1] 515
| open | close | high | low | value | volume | begin | end |
|-------:|-------:|-------:|-------:|----------:|--------:|:--------------------|:--------------------|
| 257.00 | 257.30 | 257.39 | 256.90 | 30515548 | 118660 | 2020-01-10 10:10:00 | 2020-01-10 10:10:59 |
| 257.24 | 257.32 | 257.38 | 257.20 | 14548053 | 56550 | 2020-01-10 10:11:00 | 2020-01-10 10:11:59 |
| 257.30 | 257.37 | 257.38 | 257.16 | 5638369 | 21920 | 2020-01-10 10:12:00 | 2020-01-10 10:12:59 |
| 257.28 | 257.30 | 257.47 | 257.23 | 4317722 | 16780 | 2020-01-10 10:13:00 | 2020-01-10 10:13:59 |
| 257.30 | 257.44 | 257.44 | 257.30 | 8505667 | 33050 | 2020-01-10 10:14:00 | 2020-01-10 10:14:59 |
| 257.43 | 257.32 | 257.43 | 257.20 | 12989804 | 50490 | 2020-01-10 10:15:00 | 2020-01-10 10:15:59 |
| 257.81 | 257.81 | 257.85 | 257.80 | 17768959 | 68920 | 2020-01-10 18:39:00 | 2020-01-10 18:39:59 |
| 258.19 | 258.19 | 258.19 | 258.19 | 328812711 | 1273530 | 2020-01-10 18:45:00 | 2020-01-10 18:45:59 |
| 258.19 | 258.19 | 258.19 | 258.19 | 3268685 | 12660 | 2020-01-10 18:46:00 | 2020-01-10 18:46:59 |
| 258.19 | 258.19 | 258.19 | 258.19 | 206552 | 800 | 2020-01-10 18:47:00 | 2020-01-10 18:47:59 |
| 258.19 | 258.19 | 258.19 | 258.19 | 258190 | 1000 | 2020-01-10 18:48:00 | 2020-01-10 18:48:59 |
| 258.19 | 258.19 | 258.19 | 258.19 | 25899039 | 100310 | 2020-01-10 18:49:00 | 2020-01-10 18:49:59 |
Some endpoints do not support start parameter – fetching_fully()
knows how to handle that:
fetching_fully(query_iss)('turnovers', params = list(iss.only = 'turnovers'))$turnovers
#> ! Received identical sections: the endpoint probably does not support `start` parameter
| NAME | ID | VALTODAY | VALTODAY_USD | NUMTRADES | UPDATETIME | TITLE |
|:----------|-----:|-------------:|-------------:|----------:|:--------------------|:---------------------------------|
| stock | 1 | 2702212.5503 | 29817.451992 | 1898455 | 2024-03-12 13:15:41 | Фондовый рынок и рынок депозитов |
| currency | 3 | 961403.1222 | 10608.562764 | 91763 | 2024-03-12 13:15:41 | Валютный рынок |
| futures | 4 | 166537.2800 | 1837.648690 | 489371 | 2024-03-12 13:15:42 | Срочный рынок |
| commodity | 5 | NA | NA | NA | 2024-03-12 07:00:00 | Товарный рынок |
| agro | 9 | 278.0831 | 3.068497 | 47 | 2024-03-12 13:10:00 | Агро |
| otc | 1012 | 831.2027 | 9.171872 | 1324 | 2024-03-12 13:15:37 | ОТС с ЦК |
| quotes | 1282 | NA | NA | NA | 2024-03-12 09:30:01 | Квоты |
| TOTALS | NA | 3831262.2384 | 42275.903815 | 2480960 | 2024-03-12 13:15:42 | Всего по Московской Бирже |
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