getSymbols.Algopack: Download AlgoPack data from MOEX

In rusquant: Quantitative Trading Framework

Download AlgoPack data from MOEX

Description

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

Usage

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

Arguments

Symbols	a character vector of AlgoPack symbols to download data for.
env	environment where to create the downloaded data object.
from	a character string indicating the start date of the data to download, in YYYY-MM-DD format.
to	a character string indicating the end date of the data to download, in YYYY-MM-DD format.
date	a character string indicating the date of the data to download, in YYYY-MM-DD format.
verbose	a logical indicating whether to print the response details or not.
type	a character string indicating the AlgoPack type possible values are c('tradestats','orderstats','obstats','hi2','oi'), default 'tradestats'.
market	a character string indicating the market type possible values are c('eq','fo','fx'), default 'eq'.
auto.assign	a logical indicating whether to automatically assign the downloaded data to the global environment.
...	additional arguments passed to getSymbols.AlgoPack

Value

returns an data.table object containing financial data

Note

Not for the faint of heart. All profits and losses related are yours and yours alone. If you don't like it, write it yourself.

Author(s)

Vyacheslav Arbuzov

Examples

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

rusquant documentation built on Sept. 30, 2024, 9:42 a.m.