R/getSymbols.Moex.R

In arbuzovv/rusquant: Quantitative Trading Framework

#' @title Get financial data from MOEX Exchange
#'
#' @description Retrieves historical data of a stock from Moscow Exchange (MOEX) using its API.
#'
#' @param Symbols character vector of ticker symbols to retrieve data for
#' @param env environment where data is stored
#' @param from character string specifying the start date (default: '2007-01-01')
#' @param to character string specifying the end date (default: Sys.Date())
#' @param adjust logical flag indicating whether to adjust prices for dividends and splits (default: FALSE)
#' @param period character string specifying the interval of the data ('day', 'hour', '10min', or '1min'; default: 'day')
#' @param market character string specifying the market of the data (default: NULL)
#' @param verbose logical flag indicating whether to print progress messages (default: FALSE)
#' @param auto.assign logical flag indicating whether to automatically assign the resulting data to objects with the same names as Symbols (default: FALSE)
#' @param ... Additional arguments.
#' @return xts object with historical 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 Vyacheslav Arbuzov
#'
#' @examples
#' data <- getSymbols.Moex('GAZP', from='2022-01-01', to='2022-01-10', period='day', auto.assign=FALSE)
#' @export



"getSymbols.Moex" <-
  function(Symbols,env = globalenv(),
           from='2007-01-01',
           to=Sys.Date(),
           adjust=FALSE,
           period='day',
           market=NULL,
           verbose=FALSE,
           auto.assign=FALSE,
           ...)
  {
    old <- options()
    on.exit(options(old))
    options(timeout=7)
    V2 <- V14 <- V15 <- begin <- high <- low <- volume <- NULL
    for(Symbol.name in Symbols)
    {
      periods = c('day'=24, 'hour'=60, '10min'=10, '1min'=1)
      interval = periods[period]
      
      res = data.table()
      check_ticker_url <- paste0('https://iss.moex.com/iss/securities.json?q=',Symbol.name)
      tryCatch(
        {
          res_temp<-jsonlite::fromJSON(txt=check_ticker_url)
          res<-data.table::data.table(res_temp$securities$data)
          names(res) = res_temp$securities$columns
          res = res[secid==Symbol.name]
        },
        #if an error occurs, tell me the error
        error=function(e) {
          message('Server of MOEX not response - try later')
          return(NULL)
          #print(e)
        },
        #if a warning occurs, tell me the warning
        warning=function(w) {
          message('Check your internet connection')
          return(NULL)
        }
      )
      
      if(length(res)==0)
        return(NULL)
      
      engine <- res[1,strsplit(group,'_')][1]
      market <- res[1,strsplit(group,'_')][2]
      
      if(engine=='stock' & market!='bonds')
        market <- 'shares'
      
      board  <- res[1,primary_boardid]
      
      pos <- 0
      baseurl   <- 'https://iss.moex.com/iss/engines/'
      marketurl <-paste0(engine,'/markets/',market,'/boards/',board)
      
      url <- paste0(baseurl,
                    marketurl,
                    '/securities/',
                    Symbol.name,
                    '/candles.csv?from=',
                    from,
                    '&till=',
                    to,
                    '&interval=',
                    interval,
                    '&start=',pos)
      
      dt <- data.table()
      
      tryCatch(tdt <- fread(url),
               #if an error occurs, tell me the error
               #if an error occurs, tell me the error
               error=function(e) {
                 message('Server of MOEX not response - try later')
                 return(NULL)
                 #print(e)
               }
      )
      
      
      
      if(nrow(tdt)==0)
        return(NULL)
      
      tdt[,timestamp:=as.POSIXct(begin)]
      
      maxPB <-as.numeric(difftime(as.POSIXct(to),
                                  as.POSIXct(from),
                                  units = 'secs'))
      dt<-rbind(dt, tdt)
      while(nrow(tdt)!=0){
        pos <- pos+nrow(tdt)
        url <- paste0(baseurl,
                      marketurl,
                      '/securities/',
                      Symbol.name,
                      '/candles.csv?from=',
                      from,
                      '&till=',
                      to,
                      '&interval=',interval,
                      '&start=',pos)
        print(url)
        tryCatch(tdt <- fread(url),
                 #if an error occurs, tell me the error
                 error=function(e) {
                   message('Server of MOEX not response - try later')
                   return(NULL)
                   #print(e)
                 },
                 #if a warning occurs, tell me the warning
                 warning=function(w) {
                   message('Check your internet connection')
                   return(NULL)
                 }
        )
        
        if(nrow(tdt)){
          tdt[,timestamp:=as.POSIXct(begin)]
          dt<-rbind(dt, tdt)
        }
      }
      Symbol.name <-toupper(gsub('\\^','',Symbol.name))
      if(auto.assign)
        assign(Symbol.name,dt,env)
    }
    if(auto.assign)
      return(Symbols)
    return(dt)
  }