In Kinzel/mt5r: R and MT5 integration by socket connection

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

Daily EURUSD data

Simple example to have access of daily EURUSD dataset of MT5 server broker.

Content:

Usage of function MT5.GetSymbol().
How long it takes.
Check the data.
Plotting it.
Using bDeletecsv = FALSE.

Load mt5R.

library(mt5R)

Let's check if mt5R in MT5 plataform is listening.

MT5.Ping()

Everything is fine! Let's continue.

To reasonable size of data the best practice is to use the function MT5.GetSymbol(). To small chunks try MT5.Quick_GetSymbol() instead.

To obtain all the available data use iRows = Inf (mt5R 0.1.3 or newer versions), iTF = 1440 is to obtain daily data, check ?MT5.GetSymbol for other availables timeframes.

TimeStart <- Sys.time() ## Lets check how long it takes. Starting the chronometer!
EURUSD <- MT5.GetSymbol("EURUSD", iTF = 1440, iRows = Inf, xts = TRUE)
TimeEnd <- Sys.time() ## Saving the time when it ended

## Save time to create package site
## To run everything as should be, change eval to TRUE in above chunk and delete this one
library(xts)
load("F:/Pacotes/mt5R/EURUSD_Data.RData", env <- new.env())
EURUSD <- env$EURUSD
TimeStart <- env$TimeStart
TimeEnd <- env$TimeEnd

Finally!

It's a huge dataset. Lets get a closer look - how long it took to download all the data?

print(TimeEnd-TimeStart)

The time requirement scales linearly, it will takes considerable amount of time for very huge datasets - since a .csv is created and the data is stored. To quickier load of data use MT5.Quick_GetSymbol() instead.

Check dimensions of Data.

dim(EURUSD)

It's 12,910 days of OHLC data.

Let's check the first lines of EURUSD.

head(EURUSD)

Let's check the end lines of Data.

tail(EURUSD)

You can plot the EURUSD using quantmod package.

library(quantmod)
quantmod::chartSeries(EURUSD)

To make EURUSD obtained available to other softwares (Python and etc), use argument bDeletecsv = FALSE in function MT5.GetSymbol(). See example below.

EURUSD <- MT5.GetSymbol("EURUSD", iTF = 1440, iRows = Inf, bDeletecsv = FALSE)

The .csv table downloaded will be stored in Files MT5's folder. To find out specifically where it is located use the function MT5.FileWorkingFolder().