rusquant: Quantitative Trading Framework

#' @title Download historical data from Finam.ru
#'
#' @description Download historical data from Finam.ru for one or more stock symbols. The data can be returned as an xts object or assigned to a specified environment. This function uses the Finam.ru export service to retrieve data.
#'
#' @param Symbols A character vector of one or more stock symbols.
#' @param env The environment where the data should be assigned. Defaults to the global environment.
#' @param from The start date for the data. Defaults to "2007-01-01".
#' @param to The end date for the data. Defaults to the current date.
#' @param api.key character representing the authorization key required for accessing broker/exchange API
#' @param adjust A logical indicating whether to adjust for dividends and splits. Defaults to FALSE.
#' @param period The interval to use for the data. Must be one of "tick", "1min", "5min", "10min", "15min", "30min", "hour", "day", "week", or "month". Defaults to "day".
#' @param market A character vector indicating the market for each symbol. If NULL, the function will attempt to determine the market automatically. Defaults to NULL.
#' @param verbose A logical indicating whether to print progress messages. Defaults to FALSE.
#' @param auto.assign A logical indicating whether to assign the data to an object with the same name as the symbol. Defaults to FALSE.
#' @param user_agent Header for user agent for Finam
#' @param ... additional arguments passed to getSymbols.Finam
#' @return returns an data.table object containing the requested data with orders of current account.
#' @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 Vyacheslav Arbuzov
#' @examples
#' api_key = 'set_if_use_API'
#' getSymbols('SBER',src='Finam',api.key = api_key)
#' @export

"getSymbols.Finam" <-
  function(Symbols,env = globalenv(),
           from='2007-01-01',
           to=Sys.Date(),
           adjust=FALSE,
           period='day',
           market=NULL,
           verbose=FALSE,
           auto.assign=FALSE,
           api.key = '',
           user_agent = NULL,
           ...)
  {
    Symbol <- Market <- Id <- NULL
    # choose period
    p <- 0
    if ("tick" == period) p <- 1
    if ("1min" == period) p <- 2
    if ("5min" == period) p <- 3
    if ("10min" == period) p <- 4
    if ("15min" == period) p <- 5
    if ("30min" == period) p <- 6
    if ("hour" == period) p <- 7
    if ("day" == period) p <- 8
    if ("week" == period) p <- 9
    if ("month" == period) p <- 10
    if (p==0) {
      message(paste("Unkown period ", period))
    }

    if(api.key != '')
    {
      url = 'https://trade-api.finam.ru'
      endpoint = '/api/v1/instruments/'
      params <- list('Ticker'=Symbols)
      full_url <- paste0(url,endpoint, "?", paste(names(params),params, sep='=',collapse = "&"))
      headers = c('X-Api-Key' =  api.key)
      response <- GET(full_url, encode = "json", add_headers(headers))
      if(response$status_code==200)
      {
        json_response <- content(response, "text", encoding = "UTF-8")
        data_result <- fromJSON(json_response)$data
        return(data_result)
      }
      if(response$status_code!=200)
        if(verbose) return(content(response, as = "parsed"))
    }

    if(api.key == '')
    {
    if (!exists("symbol_list_FINAM")){
      symbol_list_FINAM = NULL
      if(is.null(user_agent)) user_agent = 'Mozilla/5.0 (Macintosh; Intel Mac OS X 10_15_7) AppleWebKit/537.37 (KHTML, like Gecko) Chrome/112.0.0.0 Safari/537.37'
      symbol_list_FINAM = getSymbolList(src='Finam',auto.assign = FALSE,user_agent = user_agent)
      getSymbolList(src='Finam',auto.assign = TRUE,user_agent = user_agent)
    }
    fr <- NaN
    for(i in 1:length(Symbols)) {
      from.y <- as.numeric(format(as.Date(from),'%Y'))
      from.m <- as.numeric(format(as.Date(from),'%m'))-1
      from.d <- as.numeric(format(as.Date(from),'%d'))
      to.y <- as.numeric(format(as.Date(to),'%Y'))
      to.m <- as.numeric(format(as.Date(to),'%m'))-1
      to.d <- as.numeric(format(as.Date(to),'%d'))

      Symbols.name = Symbols[i]
      if(!is.null(market))
      {
        finam.stock <- data.table(symbol_list_FINAM[Symbol == Symbols.name])
        Symbols.id <- finam.stock[Market == market][order(Id)]$Id[1]
      }
      if(is.null(market))
      {
        finam.stock <- data.table(symbol_list_FINAM[Symbol == Symbols.name])
        setorder(finam.stock, 'Market', 'Id')
        Symbols.id = finam.stock$Id[1]
        market = finam.stock$Market[1]
      }


      finam.HOST <- 'export.finam.ru'
      finam.URL <- "/table.csv?d=d&f=table&e=.csv&dtf=1&tmf=1&MSOR=0&sep=1&sep2=1&at=1&"

      stock.URL <- paste(finam.URL,
                         "p=", p,
                         "&market=",market,
                         "&em=",Symbols.id,
                         "&df=",from.d,
                         "&mf=",from.m,
                         "&yf=",from.y,
                         "&dt=",to.d,
                         "&mt=",to.m,
                         "&yt=",to.y,
                         sep='')
      tmp <- tempfile()
      if (p==1) {
        stock.URL <- paste('http://', finam.HOST, stock.URL, '&datf=6' , sep='')
      }else {
        stock.URL <- paste('http://', finam.HOST, stock.URL, '&datf=1' , sep='')
      }
      download.file(stock.URL, destfile=tmp, quiet=!verbose)
      fr <- read.csv(tmp, as.is=TRUE, colClasses="character")
      unlink(tmp)

      if (p==1){
        fr <- xts(apply(as.matrix(fr[,(5:6)]),2, as.numeric), as.POSIXct(strptime(paste(fr[,3],fr[,4]), "%Y%m%d %H%M%S")),
                  src='finam',updated=Sys.time())
        colnames(fr) <- paste(toupper(gsub('\\^','',Symbols.name)),
                              c('Close','Volume'),
                              sep='.')
      }else if (p>7) {
        fr <- xts(apply(as.matrix(fr[,(5:9)]),2, as.numeric), order.by = as.Date(strptime(fr[,3], "%Y%m%d")),
                  src='finam',updated=Sys.time())
        colnames(fr) <- paste(toupper(gsub('\\^','',Symbols.name)),
                              c('Open','High','Low','Close','Volume'),
                              sep='.')
      }else {
        fr <- xts(apply(as.matrix(fr[,(5:9)]),2,as.numeric), as.POSIXct(strptime(paste(fr[,3],fr[,4]), "%Y%m%d %H%M%S")),
                  src='finam',updated=Sys.time())
        colnames(fr) <- paste(toupper(gsub('\\^','',Symbols.name)),
                              c('Open','High','Low','Close','Volume'),
                              sep='.')
      }

      Symbols[[i]] <-toupper(gsub('\\^','',Symbols[[i]]))
      if(auto.assign)
        assign(Symbols[[i]],fr,env)
      if(i >= 3 && length(Symbols) > 3) {
        message("pausing 1 second between requests for more than 5 symbols")
        Sys.sleep(1)
      }
    }
    if(auto.assign)
      return(Symbols)

    return(fr)
    }
  }