B3 Indexes
In rb3: Download and Parse Public Data Released by B3 Exchange

knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>"
)

rb3 comes with a diverse range of functions to explore the index delivered by the B3 Exchange. These functions will be presented here.

library(rb3)
library(ggplot2)
library(dplyr)
library(stringr)

B3 Indexes

The function rb3::indexes_get list the names of available indexes.

indexes_get()

Indexes Composition and Weights

The composition of B3 indexes are available through the function rb3::index_weights_get. This function returns a data.frame with the current compostion of the requested index, all symbols that compound the index, their weights and theoretical position. Here the IBOVESPA (IBOV) Index has its composition listed.

index_weights_get("IBOV")

The IBr100 Index (IBXX)

index_weights_get("IBXX")

The Small Caps Index (SMLL)

index_weights_get("SMLL")

Index Composition

rb3::index_comp_get returns a vector with symbols that compound the given index.

index_comp_get("SMLL")

Index by Segment

rb3::index_by_segment_get returns a data.frame with all stocks that are in the index, their economic segment, weights, position and segment weight in the index.

index_by_segment_get("IBOV")

Indexes Time Series

rb3 downloads data from B3 website to build time series for B3 indexes.

The function rb3::index_get downloads data from B3 for the given index name and returns data structured in a data.frame. The index names are obtained with rb3::indexes_get function.

index_name <- "IBOV"
index_data <- index_get(index_name, as.Date("2019-01-01"))
head(index_data)

The returned data.frame has three columns: refdate, index_name and value.

index_data |>
  ggplot(aes(x = refdate, y = value)) +
  geom_line() +
  labs(
    x = NULL, y = "Index",
    title = str_glue("{index_name} Historical Data"),
    caption = str_glue("Data imported using rb3")
  )

The IBOVESPA index starts at 1968 and the series is adjusted for all economic events the that affected the Brazilian currency in the 80-90's decades.

index_data <- index_get(index_name, as.Date("1968-01-01"))
index_data |>
  ggplot(aes(x = refdate, y = value)) +
  geom_line() +
  scale_y_log10() +
  labs(
    x = NULL, y = "Index (log scale)",
    title = str_glue("{index_name} Historical Data - since 1968"),
    caption = str_glue("Data imported using rb3")
  )

The y-axis was transformed to log scale in order to get the visualization improved.

Change index_name to get data for other indexes, for example, the Small Caps Index SMLL.

index_name <- "SMLL"
index_data <- index_get(index_name, as.Date("2010-01-01"))
index_data |>
  ggplot(aes(x = refdate, y = value)) +
  geom_line() +
  labs(
    x = NULL, y = "Index",
    title = str_glue("{index_name} Historical Data"),
    caption = str_glue("Data imported using rb3")
  )