#' Get by-exchange data from the SEC market structure website.
#'
#' As of this date, only three quarters are available, Q4 2012
#' to Q2 2013.
#'
#' @export
#' @example
#' dt <- sec.get.security()
#' str(dt)
sec.get.exchange <- function() {
# Download the file
dt_url <- paste0("http://www.sec.gov/marketstructure/downloads/",
"2013-q2/metrics_by_exchange.zip")
temp <- tempfile()
download.file(dt_url, destfile = temp, method="curl")
# Metrics / files to load
files <- c("ETP_Cancel_to_Trade", "ETP_Hidden_Rate", "ETP_Hidden_Volume",
"ETP_Oddlot_Rate", "ETP_Oddlot_Volume", "ETP_Stock_Timeseries",
"ETP_Trade_Volume", "Stock_Cancel_to_Trade", "Stock_Hidden_Rate",
"Stock_Hidden_Volume", "Stock_Oddlot_Rate", "Stock_Oddlot_Volume",
"Stock_Trade_Volume")
# Iterate over files
dt <- lapply(files, function(f) {
# Unzip and get the (partial) data into a temporary file
dtp <- read.csv(unz(temp, paste0("data/", f, ".csv")))
# Lowercase column names
colnames(dtp) <- tolower(colnames(dtp))
dtp
})
names(dt) <- files
# Clean up the temp file
file.remove(temp)
dt
}
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