R/getTradelog.R
In arbuzovv/rusquant: Quantitative Trading Framework
#' @title Get tradelog information from a brokerage or exchange
#'
#' @description This function retrieves account information from a brokerage or exchange.
#'
#' @param Symbols Character vector specifying the trading pair, e.g. "BTC_ETH".
#' @param depth Numeric scalar, specifying the number of trades to retrieve (default = 500).
#' @param src Character scalar, specifying the exchange to retrieve trade logs from. The supported exchanges are: "tinkoff", "alor", "poloniex", "kraken", "binance", "bttrex", "cex", "gate", "gatecoin", "gdax", "gemini", "hitbtc", "liqui", and "lykke".
#' @param api.key Character scalar, specifying the API key (if required by the exchange).
#' @param adjust Logical scalar, specifying whether to adjust timestamps for time zones (default = FALSE).
#' @param return.class Character scalar, specifying the class of the returned object. The supported classes are: "data.table", "data.frame", and "xts" (default = "data.table").
#' @param index.class Character scalar, specifying the class of the index column. The supported classes are: "Date" and "POSIXct" (default = "Date").
#' @param verbose Logical scalar, specifying whether to print verbose output (default = FALSE).
#' @param auto.assign Logical scalar, specifying whether to automatically assign the resulting object to the global environment (default = TRUE).
#' @param env environment where data is stored
#'
#' @return A data table or data frame with the retrieved trade logs, depending on the value of the \code{return.class} argument.
#' @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
#' getTradelog('BTC_USDT', src = 'poloniex')
#' @export
"getTradelog" <- function
(Symbols,depth=500,src='poloniex',api.key = '',
adjust=FALSE,return.class='data.table',index.class='Date',
verbose=FALSE,
auto.assign=TRUE,env=globalenv())
{
src <- tolower(src)
## choose exchange
if (src == "tinkoff")
{
url <- "https://invest-public-api.tinkoff.ru/rest/"
endpoint <- "tinkoff.public.invest.api.contract.v1.MarketDataService/GetLastTrades"
full_url <- paste0(url, endpoint)
body <- list(figi= Symbols,
from="2023-04-10T06:01:20.553Z",
to="2023-04-12T06:01:20.553Z",
instrumentId="string")
headers <- c("Authorization" = paste("Bearer", api.key))
response <- POST(full_url, body = body, encode = "json", add_headers(headers))
if(response$status_code==200)
{
json_response <- content(response, "text", encoding = "UTF-8")
data_result <- fromJSON(json_response)[[1]]
return(data_result)
}
if(response$status_code!=200)
if(verbose) return(content(response, as = "parsed"))
}
if(src == 'alor')
{
jwt_token = POST(paste0('https://oauth.alor.ru/refresh?token=',api.key))
jwt_token <- fromJSON(content(jwt_token, "text"))$AccessToken
headers <- c("Authorization" = paste0("Bearer ", jwt_token))
full_url = paste0('https://api.alor.ru/md/v2/Securities/MOEX/SBER/alltrades')
response <- GET(full_url, encode = "json", add_headers(headers))
if(response$status_code==200)
{
json_response <- content(response, "text", encoding = "UTF-8")
data_result <- fromJSON(json_response)
return(data_result)
}
if(response$status_code!=200)
if(verbose) return(content(response, as = "parsed"))
}
if (src == "poloniex")
downloadUrl <- paste0('https://api.poloniex.com/markets/',Symbols,'/trades?limit=',depth)
if(src == "kraken")
downloadUrl <- paste0("https://api.kraken.com/0/public/Trades?pair=", Symbols)
if (src == "binance")
downloadUrl <- url <- paste0("https://api.binance.com/api/v1/trades?symbol=",Symbols)
if (src == "bttrex")
downloadUrl <- paste0("https://bittrex.com/api/v1.1/public/getmarkethistory?market=",Symbols)
if (src == "cex")
downloadUrl <- paste0("https://cex.io/api/trade_history/",Symbols)
if (src == "gate") #!!!!!!!!!!
downloadUrl <- paste0("http://data.gate.io/api2/1/tradeHistory/",Symbols, "")
if (src == "gatecoin")
downloadUrl <- paste0("https://api.gatecoin.com/Public/TransactionsHistory/", Symbols,"?Count=",depth)
if (src == "gdax")
downloadUrl <- paste0("https://api.gdax.com/products/",Symbols,"/trades")
if(src == "gemini")
downloadUrl <- paste0("https://api.gemini.com/v1/trades/", Symbols)
if (src == "hitbtc")
downloadUrl <- paste0("https://api.hitbtc.com/api/2/public/trades/", Symbols)
if (src == "liqui")
downloadUrl <- paste0("https://api.liqui.io/api/3/trades/",Symbols,"?limit=", depth)
if (src == "lykke")
downloadUrl <- paste0("https://public-api.lykke.com/api/Trades/", Symbols,'?skip=0&take=',depth)
rawdata <- jsonlite::fromJSON(downloadUrl, simplifyVector = FALSE)
if (src == "hitbtc")
{
trades <- t(sapply(rawdata,rbind))
colnames(trades) <- c('id', 'price', 'quantity', 'side', 'timestamp')
trades <- data.frame(trades[,c(1,5,3,2,4)])
trades[,2] <- as.POSIXct(sapply(trades[,2],rbind),format= "%Y-%m-%dT%H:%M:%S",origin="1970-01-01", tz ="GMT")
}
if (src == "gemini")
{
trades <- t(sapply(rawdata,rbind))
colnames(trades) <- c('timestamp','timestampms','tid', 'price', 'amount', 'exchange', 'type')
trades <- data.frame(trades[,c(3,1,5,4,7)])
trades[,2] <- as.POSIXct(as.numeric(sapply(trades[,2],rbind)),origin="1970-01-01", tz ="GMT")
}
if (src == "gdax")
{
trades <- t(sapply(rawdata,rbind))
colnames(trades) <- c('time', 'trade_id', 'price', 'size', 'side')
trades <- data.frame(trades[,c(2,1,4,3,5)])
trades[,2] <- as.POSIXct(sapply(trades[,2],rbind),format= "%Y-%m-%dT%H:%M:%S",origin="1970-01-01", tz ="GMT")
}
if (src == "gate")
{
trades <- t(sapply(rawdata$data,rbind))
colnames(trades) <- c('tradeID','date', 'timestamp', 'type', 'rate', 'amount', 'total')
}
if (src == "cex")
{
trades <- t(sapply(rawdata,rbind))
colnames(trades) <- c('type', 'date', 'amount', 'price', 'tid')
trades <- data.frame(trades[,c(5,2,3,4,1)])
trades[,2] <- as.POSIXct(as.numeric(sapply(trades[,2],rbind)),origin="1970-01-01", tz ="GMT")
}
if (src == "bttrex")
{
trades <- t(sapply(rawdata$result,rbind))
colnames(trades) <- c('Id','TimeStamp', 'Quantity', 'Price', 'Total', 'FillType', 'OrderType')
trades <- data.frame(trades[,c(1:4,7)])
trades[,2] <- as.POSIXct(sapply(trades[,2],rbind),format= "%Y-%m-%dT%H:%M:%S", tz ="GMT")
}
if (src == "gatecoin")
{
trades <- t(sapply(rawdata$transactions,cbind))
colnames(trades) <- c('transactionId', 'transactionTime', 'price', 'quantity')
trades <- data.frame(trades[,c(1,2,4,3)])
trades$Type<-''
trades[,2] <- as.POSIXct(as.numeric(sapply(trades[,2],rbind)),origin="1970-01-01", tz ="GMT")
}
if (src == "liqui")
{
trades <- t(sapply(rawdata[[1]],rbind))
colnames(trades) <- c('type', 'price', 'amount', 'tid', 'timestamp')
trades <- data.frame(trades[,c(4,5,3,2,1)])
trades[,2] <- as.POSIXct(sapply(trades[,2],rbind),origin="1970-01-01", tz ="GMT")
trades[,5] <- ifelse(trades[,5]=='bid','buy','sell')
}
if (src == "lykke")
{
trades <- (t(sapply(rawdata,rbind)))
colnames(trades) <- c('Id', 'assetPairId', 'DateTime', 'Volume', 'TradeType','Price','Type')
trades <- data.frame(trades[,c(1,3,4,6,7)])
trades[,2] <- as.POSIXct(sapply(trades[,2],rbind),format= "%Y-%m-%dT%H:%M:%S", tz ="GMT")
}
if (src == "binance")
{
trades <- t(sapply(rawdata,rbind))
colnames(trades) <- c('id', 'price', 'qty', 'time', 'isBuyerMaker', 'isBestMatch')
trades <- data.frame(trades[,c(1,4,3,2,5)])
trades[,5] <- ifelse(trades[,5]==TRUE,'buy','sell')
trades[,2] <- as.POSIXct(sapply(trades[,2],rbind)/1000, origin="1970-01-01", tz ="GMT") # kraken
}
if (src == "kraken")
{
trades <- t(sapply(rawdata$result[[1]],rbind))
colnames(trades) <- c('price', 'volume', 'time', 'buy/sell', 'market/limit', 'miscellaneous')
trades <- data.frame('',trades[,c(3,2,1,4)])
trades[,5] <- ifelse(trades[,5]=='b','buy','sell')
trades[,2] <- as.POSIXct(sapply(trades[,2],rbind), origin="1970-01-01", tz ="GMT")
}
if (src == "poloniex")
{
trades <- t(sapply(rawdata,rbind))
#colnames(trades) <- c('Id','tradeID','DateTime','Type','Price','Volume','total')
#trades <- data.frame(trades[,c(1,3,6,5,4)])
#trades[,2] <- as.POSIXct(sapply(trades[,2],rbind), origin="1970-01-01", tz ="GMT")
}
trades <- data.table(trades)
Symbols[1] <-paste0('TradeLog_',toupper(gsub('\\^','',Symbols[1])))
if(auto.assign){
assign(Symbols[1], trades,env)
return(Symbols)
}
return(trades)
}
arbuzovv/rusquant documentation built on Feb. 1, 2024, 6:39 p.m.
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#' @title Get tradelog information from a brokerage or exchange
#'
#' @description This function retrieves account information from a brokerage or exchange.
#'
#' @param Symbols Character vector specifying the trading pair, e.g. "BTC_ETH".
#' @param depth Numeric scalar, specifying the number of trades to retrieve (default = 500).
#' @param src Character scalar, specifying the exchange to retrieve trade logs from. The supported exchanges are: "tinkoff", "alor", "poloniex", "kraken", "binance", "bttrex", "cex", "gate", "gatecoin", "gdax", "gemini", "hitbtc", "liqui", and "lykke".
#' @param api.key Character scalar, specifying the API key (if required by the exchange).
#' @param adjust Logical scalar, specifying whether to adjust timestamps for time zones (default = FALSE).
#' @param return.class Character scalar, specifying the class of the returned object. The supported classes are: "data.table", "data.frame", and "xts" (default = "data.table").
#' @param index.class Character scalar, specifying the class of the index column. The supported classes are: "Date" and "POSIXct" (default = "Date").
#' @param verbose Logical scalar, specifying whether to print verbose output (default = FALSE).
#' @param auto.assign Logical scalar, specifying whether to automatically assign the resulting object to the global environment (default = TRUE).
#' @param env environment where data is stored
#'
#' @return A data table or data frame with the retrieved trade logs, depending on the value of the \code{return.class} argument.
#' @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
#' getTradelog('BTC_USDT', src = 'poloniex')
#' @export
"getTradelog" <- function
(Symbols,depth=500,src='poloniex',api.key = '',
adjust=FALSE,return.class='data.table',index.class='Date',
verbose=FALSE,
auto.assign=TRUE,env=globalenv())
{
src <- tolower(src)
## choose exchange
if (src == "tinkoff")
{
url <- "https://invest-public-api.tinkoff.ru/rest/"
endpoint <- "tinkoff.public.invest.api.contract.v1.MarketDataService/GetLastTrades"
full_url <- paste0(url, endpoint)
body <- list(figi= Symbols,
from="2023-04-10T06:01:20.553Z",
to="2023-04-12T06:01:20.553Z",
instrumentId="string")
headers <- c("Authorization" = paste("Bearer", api.key))
response <- POST(full_url, body = body, encode = "json", add_headers(headers))
if(response$status_code==200)
{
json_response <- content(response, "text", encoding = "UTF-8")
data_result <- fromJSON(json_response)[[1]]
return(data_result)
}
if(response$status_code!=200)
if(verbose) return(content(response, as = "parsed"))
}
if(src == 'alor')
{
jwt_token = POST(paste0('https://oauth.alor.ru/refresh?token=',api.key))
jwt_token <- fromJSON(content(jwt_token, "text"))$AccessToken
headers <- c("Authorization" = paste0("Bearer ", jwt_token))
full_url = paste0('https://api.alor.ru/md/v2/Securities/MOEX/SBER/alltrades')
response <- GET(full_url, encode = "json", add_headers(headers))
if(response$status_code==200)
{
json_response <- content(response, "text", encoding = "UTF-8")
data_result <- fromJSON(json_response)
return(data_result)
}
if(response$status_code!=200)
if(verbose) return(content(response, as = "parsed"))
}
if (src == "poloniex")
downloadUrl <- paste0('https://api.poloniex.com/markets/',Symbols,'/trades?limit=',depth)
if(src == "kraken")
downloadUrl <- paste0("https://api.kraken.com/0/public/Trades?pair=", Symbols)
if (src == "binance")
downloadUrl <- url <- paste0("https://api.binance.com/api/v1/trades?symbol=",Symbols)
if (src == "bttrex")
downloadUrl <- paste0("https://bittrex.com/api/v1.1/public/getmarkethistory?market=",Symbols)
if (src == "cex")
downloadUrl <- paste0("https://cex.io/api/trade_history/",Symbols)
if (src == "gate") #!!!!!!!!!!
downloadUrl <- paste0("http://data.gate.io/api2/1/tradeHistory/",Symbols, "")
if (src == "gatecoin")
downloadUrl <- paste0("https://api.gatecoin.com/Public/TransactionsHistory/", Symbols,"?Count=",depth)
if (src == "gdax")
downloadUrl <- paste0("https://api.gdax.com/products/",Symbols,"/trades")
if(src == "gemini")
downloadUrl <- paste0("https://api.gemini.com/v1/trades/", Symbols)
if (src == "hitbtc")
downloadUrl <- paste0("https://api.hitbtc.com/api/2/public/trades/", Symbols)
if (src == "liqui")
downloadUrl <- paste0("https://api.liqui.io/api/3/trades/",Symbols,"?limit=", depth)
if (src == "lykke")
downloadUrl <- paste0("https://public-api.lykke.com/api/Trades/", Symbols,'?skip=0&take=',depth)
rawdata <- jsonlite::fromJSON(downloadUrl, simplifyVector = FALSE)
if (src == "hitbtc")
{
trades <- t(sapply(rawdata,rbind))
colnames(trades) <- c('id', 'price', 'quantity', 'side', 'timestamp')
trades <- data.frame(trades[,c(1,5,3,2,4)])
trades[,2] <- as.POSIXct(sapply(trades[,2],rbind),format= "%Y-%m-%dT%H:%M:%S",origin="1970-01-01", tz ="GMT")
}
if (src == "gemini")
{
trades <- t(sapply(rawdata,rbind))
colnames(trades) <- c('timestamp','timestampms','tid', 'price', 'amount', 'exchange', 'type')
trades <- data.frame(trades[,c(3,1,5,4,7)])
trades[,2] <- as.POSIXct(as.numeric(sapply(trades[,2],rbind)),origin="1970-01-01", tz ="GMT")
}
if (src == "gdax")
{
trades <- t(sapply(rawdata,rbind))
colnames(trades) <- c('time', 'trade_id', 'price', 'size', 'side')
trades <- data.frame(trades[,c(2,1,4,3,5)])
trades[,2] <- as.POSIXct(sapply(trades[,2],rbind),format= "%Y-%m-%dT%H:%M:%S",origin="1970-01-01", tz ="GMT")
}
if (src == "gate")
{
trades <- t(sapply(rawdata$data,rbind))
colnames(trades) <- c('tradeID','date', 'timestamp', 'type', 'rate', 'amount', 'total')
}
if (src == "cex")
{
trades <- t(sapply(rawdata,rbind))
colnames(trades) <- c('type', 'date', 'amount', 'price', 'tid')
trades <- data.frame(trades[,c(5,2,3,4,1)])
trades[,2] <- as.POSIXct(as.numeric(sapply(trades[,2],rbind)),origin="1970-01-01", tz ="GMT")
}
if (src == "bttrex")
{
trades <- t(sapply(rawdata$result,rbind))
colnames(trades) <- c('Id','TimeStamp', 'Quantity', 'Price', 'Total', 'FillType', 'OrderType')
trades <- data.frame(trades[,c(1:4,7)])
trades[,2] <- as.POSIXct(sapply(trades[,2],rbind),format= "%Y-%m-%dT%H:%M:%S", tz ="GMT")
}
if (src == "gatecoin")
{
trades <- t(sapply(rawdata$transactions,cbind))
colnames(trades) <- c('transactionId', 'transactionTime', 'price', 'quantity')
trades <- data.frame(trades[,c(1,2,4,3)])
trades$Type<-''
trades[,2] <- as.POSIXct(as.numeric(sapply(trades[,2],rbind)),origin="1970-01-01", tz ="GMT")
}
if (src == "liqui")
{
trades <- t(sapply(rawdata[[1]],rbind))
colnames(trades) <- c('type', 'price', 'amount', 'tid', 'timestamp')
trades <- data.frame(trades[,c(4,5,3,2,1)])
trades[,2] <- as.POSIXct(sapply(trades[,2],rbind),origin="1970-01-01", tz ="GMT")
trades[,5] <- ifelse(trades[,5]=='bid','buy','sell')
}
if (src == "lykke")
{
trades <- (t(sapply(rawdata,rbind)))
colnames(trades) <- c('Id', 'assetPairId', 'DateTime', 'Volume', 'TradeType','Price','Type')
trades <- data.frame(trades[,c(1,3,4,6,7)])
trades[,2] <- as.POSIXct(sapply(trades[,2],rbind),format= "%Y-%m-%dT%H:%M:%S", tz ="GMT")
}
if (src == "binance")
{
trades <- t(sapply(rawdata,rbind))
colnames(trades) <- c('id', 'price', 'qty', 'time', 'isBuyerMaker', 'isBestMatch')
trades <- data.frame(trades[,c(1,4,3,2,5)])
trades[,5] <- ifelse(trades[,5]==TRUE,'buy','sell')
trades[,2] <- as.POSIXct(sapply(trades[,2],rbind)/1000, origin="1970-01-01", tz ="GMT") # kraken
}
if (src == "kraken")
{
trades <- t(sapply(rawdata$result[[1]],rbind))
colnames(trades) <- c('price', 'volume', 'time', 'buy/sell', 'market/limit', 'miscellaneous')
trades <- data.frame('',trades[,c(3,2,1,4)])
trades[,5] <- ifelse(trades[,5]=='b','buy','sell')
trades[,2] <- as.POSIXct(sapply(trades[,2],rbind), origin="1970-01-01", tz ="GMT")
}
if (src == "poloniex")
{
trades <- t(sapply(rawdata,rbind))
#colnames(trades) <- c('Id','tradeID','DateTime','Type','Price','Volume','total')
#trades <- data.frame(trades[,c(1,3,6,5,4)])
#trades[,2] <- as.POSIXct(sapply(trades[,2],rbind), origin="1970-01-01", tz ="GMT")
}
trades <- data.table(trades)
Symbols[1] <-paste0('TradeLog_',toupper(gsub('\\^','',Symbols[1])))
if(auto.assign){
assign(Symbols[1], trades,env)
return(Symbols)
}
return(trades)
}
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