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")

Example

Suppose you want to download monthly candles from Jan 1, 2020 until the present day for the Sberbank common shares.

library(moexer)
library(dplyr)

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 | | RU000A102RS6 | Сбербанк ПАО 001Р-SBER24 | 1 | exchange_bond | TQCB | | RU000A101QW2 | Сбербанк ПАО 001Р-SBER16 | 1 | exchange_bond | TQCB | | RU000A101C89 | Сбербанк ПАО 001Р-SBER15 | 1 | exchange_bond | TQCB | | RU000A102CU4 | Сбербанк ПАО 001Р-SBER19 | 1 | exchange_bond | TQCB | | RU000A1025U5 | Сбербанк ПАО 001Р-SBER17 | 1 | exchange_bond | TQCB | | RU000A103YM3 | Сбербанк ПАО 002Р-green01 | 1 | exchange_bond | TQCB | | RU000A0ZZ117 | Сбербанк ПАО БО 001Р-06R | 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 | 2023-01-03 | 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 | 2022-12-16 | RUB | | SBER | SMAL | Т+: Неполные лоты (акции) - безадрес. | 1 | 2011-11-21 | 2023-01-03 | RUB | | SBER | TQDP | Крупные пакеты - Акции - безадрес. | 1 | 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 | 2023-01-03 | RUB | | SBER | PTEQ | РПС с ЦК: Акции и ДР - адрес. | 1 | 2013-03-26 | 2023-01-03 | RUB | | SBER | MXBD | MOEX Board | 0 | 2015-08-03 | 2023-01-04 | 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() 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()

moexer documentation built on Jan. 6, 2023, 1:18 a.m.