R/functions.R
In gruporofex/rRofex: Interface to 'Matba Rofex' Trading API
Defines functions
trading_instruments
trading_login
Documented in
trading_instruments
trading_login
# Export functions ---------------------------
#' @export trading_login
#' @export trading_instruments
#' @export trading_instruments_fronts
#' @export trading_md
#' @export trading_mdh
#' @export trading_currencies
#' @export trading_new_order
#' @export trading_lookup
#' @export trading_orders
#' @export trading_cancel_order
#' @export trading_account
#' @export trading_account_report
NULL
#' @include s4_object.R
#' NULL
# Log-in ---------------------------
#' @title API Log-in
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' Function that it is use to log-in into Primary trading API
#'
#' @param username String. User Name
#' @param password String. Password
#' @param base_url String. Which environment are you going to connect:
#' \itemize{
#' \item reMarkets: 'https://api.remarkets.primary.com.ar'
#' \item production: 'https://api.primary.com.ar'
#' \item xOMS: 'https://api.<BROKER>.xoms.com.ar'
#' }
#'
#' @note
#' \itemize{
#' \item reMarkets: Testing environment. For credentials go to \url{https://remarkets.primary.ventures}
#' \item production: Production environment. For credentials send an email to \email{mpi@@primary.com.ar}
#' \item xOMS: Ask your broker about it.
#' }
#'
#' @return S4 rRofexConnection object.
#'
#' @note Accessors:
#' You can use accessors to get information about the Object by using:
#' \itemize{
#' \item \code{token(conn)}
#' \item \code{base_url(conn)}
#' \item \code{login_date_time(conn)}
#' \item \code{agent(conn)}
#' \item \code{user_name(conn)}
#' }
#'
#' @family connection functions
#'
#' @examples
#' \dontrun{
#' conn <- trading_login(
#' username = "pepe",
#' password = "pepino",
#' base_url = "https://api.remarkets.primary.com.ar"
#' )
#' }
trading_login <- function(username, password, base_url) {
if (missing(username) || missing(password)) stop("'username' and 'password' are needed.")
if (missing(base_url)) stop("'base_url' is needed.")
if (!grepl(pattern = "^(https)://", x = base_url)) stop("'base_url' has an invalid format")
query <- tryCatch(POST(url = glue(base_url, "/auth/getToken"),
add_headers(.headers = c("X-Username" = username,
"X-Password" = password)
)
), error = function(cnd) conditionMessage(cnd))
if (typeof(query) == "list" && status_code(query) != 200) {
warn_for_status(query)
NULL
} else if (typeof(query) == "list" && status_code(query) == 200) {
message(glue("Succesfully connected with rRofex to {base_url}..."))
invisible(rRofex_connection(token = headers(query)$`x-auth-token`,
base_url = base_url,
user_name = username))
} else {
message(glue("Something went wrong...
Error: {query}
Check function's arguments"))
NULL
}
}
# Instruments ---------------------------
#' @title List of Instruments
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' Method to list segments and instruments currently available through the Trading API.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param request String. \strong{Mandatory} The type of request that you are making:
#' \itemize{
#' \item \strong{segments}: List available market segments
#' \item \strong{securities}: List available instruments listed on Matba Rofex. \emph{Depends on 'sec_detailed'}.
#' \item \strong{by_segment}: List available instruments searching by market segment. \emph{Depends on 'market_id' and 'segment_id'}
#' \item \strong{by_cfi_code}: List available instruments searching by CFI Code. \emph{Depends on 'cfi_code'}
#' \item \strong{by_type}: List available instruments searching by Instrument Type. See section Instrument Types. \emph{Depends on 'sec_detailed' and 'sec_type'}.
#' }
#' @param sec_detailed Logical. Optional for request='securities'. Brings additional information like segment, price, minimal/maximal trading quantity, settlement date, etc.
#' @param market_id String. Needed for request='by_segment'. Market ID.
#' \itemize{
#' \item \strong{ROFX}: Matba Rofex
#' }
#' @param segment_id String. Needed for request='by_segment'. Market Segment ID.
#' \itemize{
#' \item \strong{DDF}: Financial Derivatives
#' \item \strong{DDA}: Agricultural Derivatives
#' \item \strong{DUAL}: Other Derivatives
#' \item \strong{MERV}: S&P Merval
#' }
#' @param cfi_code String. Needed for request='by_cfi_code'. CFI Code. See \url{https://www.quotemedia.com/apifeeds/cfi_code}
#' @param sec_type String. Needed for request='by_type'.
#' \itemize{
#' \item \strong{E}: Equities
#' \item \strong{D}: Debt
#' \item \strong{C}: Collective Investment Vehicles
#' \item \strong{R}: Entitlements (Rights)
#' \item \strong{O}: Listed Options
#' \item \strong{F}: Futures
#' \item \strong{T}: Referential Instruments
#' \item \strong{M}: Others
#' }
#'
#' @return If correct, it will load a tibble data frame
#'
#' @family reference data functions
trading_instruments <- function(connection, request, sec_detailed = FALSE, market_id = "ROFX", segment_id, cfi_code, sec_type) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (missing(request)) stop("'request' parameter is required.")
if (some(request, ~ !.x %in% c("segments", "securities", "by_segment", "by_cfi_code", "by_type"))) stop("'request' parameter is invalid. See documentation.")
if (length(request) > 1) stop("'request' parameter can not be more than one.")
if (request == 'by_segment' && some(market_id, ~ !.x %in% c("ROFX"))) stop("'market_id' parameter is invalid. See documentation.")
if (request == 'by_segment' && missing(segment_id)) stop("'segment_id' parameter is required when searching by Segment.")
if (request == 'by_segment' && length(segment_id) > 1) stop("'segment_id' parameter can not be more than one.")
if (request == 'by_segment' && some(segment_id, ~ !.x %in% c("DDF", "DDA", "DUAL", "MERV"))) stop("'segment_id' parameter is invalid. See documentation.")
if (request == 'by_cfi_code' && missing(cfi_code)) stop("'cfi_code' parameter is required when searching by CFI Code.")
if (request == 'by_cfi_code' && length(cfi_code) > 1) stop("'cfi_code' parameter can not be more than one.")
if (request == 'by_type' && missing(sec_type)) stop("'sec_type' parameter is required when searching by Type")
if (request == 'by_type' && some(sec_type, ~ !.x %in% c("E", "D", "C", "R", "O", "F", "T", "M"))) stop("'sec_type' parameter is invalid. See documentation.")
# Query
query <- if (request == 'segments') {
GET(url = glue(connection@base_url, "/rest/segment/all"),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent)
)
} else if (request %in% c('securities', 'by_type') && sec_detailed == FALSE) {
GET(url = glue(connection@base_url, "/rest/instruments/all"),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent)
)
} else if (request %in% c('securities', 'by_type') && sec_detailed == TRUE) {
GET(url = glue(connection@base_url, "/rest/instruments/details"),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent)
)
} else if (request == 'by_segment') {
GET(url = glue(connection@base_url, "/rest/instruments/bySegment"),
query = list(
MarketID = market_id,
MarketSegmentID = segment_id),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent)
)
} else if (request == 'by_cfi_code') {
GET(url = glue(connection@base_url, "/rest/instruments/byCFICode"),
query = list(
CFICode = cfi_code),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent)
)
}
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else {
data <- fromJSON(toJSON(content(query)))
if (request == 'segments') {
data <- data$segments %>%
mutate_all(., unlist)
} else if (request %in% c('securities', 'by_type') && sec_detailed == FALSE) {
data <- data$instruments %>%
jsonlite::flatten(recursive = F) %>%
mutate_all(., unlist) %>%
rename_all(., .funs = list(~gsub(pattern = ".+\\.", replacement = "", x = .)))
} else if (request %in% c('securities', 'by_type') && sec_detailed == TRUE) {
data <- data$instruments %>%
jsonlite::flatten(x = ., recursive = FALSE) %>%
mutate(
across(
.cols = everything(),
.fns = ~ replace_na(., replace = NA)
)
) %>%
mutate(
across(
.cols = everything(),
.fns = ~ map(
.x = .x,
.f = ~ unlist(.x) %>%
paste0(collapse = ",")
) %>%
unlist
)
) %>%
select(-segment.marketId) %>%
rename_all(., .funs = list(~gsub(pattern = ".+\\.", replacement = "", x = .))) %>%
mutate(maturityDate = as.Date(maturityDate, format = "%Y%m%d"))
} else if (request == 'by_segment') {
data <- data$instruments %>%
mutate_all(., unlist)
} else if (request == 'by_cfi_code') {
data <- data$instruments %>%
mutate_all(., unlist)
}
if (request == 'by_type') {
data <- data %>%
filter(grepl(glue("^[", glue_collapse(sec_type, sep = "|"), "]"), cficode)) %>%
arrange(cficode)
}
data <- data %>%
rename_all(., .funs = list(~gsub(pattern = "(^.)", replacement = "\\U\\1", x = ., perl = TRUE))) %>%
as_tibble()
if (request %in% c('securities', 'by_type') && sec_detailed != FALSE) {
suppressWarnings(
data <- data %>%
mutate(
ProductType = factor(
gsub(
pattern = "(^.)(.+)",
replacement = "\\1",
x = Cficode
),
levels = c("E", "D", "C", "R", "O", "F", "T", "M"),
labels = c("Equities", "Debt", "Collective Investment Vehicles", "Entitlements", "Options", "Futures", "Referencial Instruments", "Others")
),
Settlement = case_when(
grepl(pattern = ".+ - (.+[hs|CI|D])$", x = Symbol) == TRUE ~ trimws(gsub(pattern = ".+ - (.+)$", replacement = "\\1", x = Symbol, ignore.case = T), which = "both"),
TRUE ~ NA_character_
),
OptionType = factor(
gsub(
pattern = "(^.{2})(.+)",
replacement = "\\1",
x = Cficode
),
levels = c("OC", "OP", "OM"),
labels = c("Call", "Put", "Others")
),
Ticker = case_when(
ProductType %in% c('Equities', 'Debt', 'Options') ~ trimws(gsub(pattern = "(MERV - XMEV - )(.+)( - .+)", replacement = "\\2", x = Symbol, ignore.case = T), which = "both"),
ProductType %in% c('Entitlements') ~ trimws(gsub(pattern = "(MERV - XMEV - )(.+)", replacement = "\\2", x = Symbol, ignore.case = T), which = "both"),
ProductType %in% c('Others') ~ trimws(gsub(pattern = "(.+)( - )(.+)$", replacement = "\\3", x = Symbol, ignore.case = T), which = "both"),
TRUE ~ Symbol
),
Underlying = case_when(
ProductType %in% c('Options') & MarketSegmentId == 'MERV' ~ trimws(gsub(pattern = "(.{3})(.+)", replacement = "\\1", x = Ticker, ignore.case = TRUE), which = "both"),
ProductType %in% c('Options', 'Futures') & MarketSegmentId != 'MERV'~ trimws(gsub(pattern = "^([^/]+)(/)(.+)", replacement = "\\1", x = Symbol, ignore.case = T), which = "both"),
TRUE ~ NA_character_
),
StrikePrice = case_when(
ProductType %in% c('Options') & MarketSegmentId == 'MERV' ~ as.double(gsub(pattern = "(.{4})([0-9]+?\\.?[0-9]*)([[:alpha:]]+)", replacement = "\\2", x = Ticker, ignore.case = T)),
ProductType %in% c('Options') & MarketSegmentId != 'MERV'~ as.double(gsub(pattern = "(.+)( )([0-9]+)( )([P|C])$", replacement = "\\3", x = Symbol, ignore.case = T)),
TRUE ~ NA_real_
)
) %>%
select(Symbol, ProductType, MarketSegmentId, Ticker, OptionType, StrikePrice, Underlying, Settlement, MaturityDate, Cficode, everything())
)
}
}
return(data)
}
#' @title Front Month of Futures
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' List all front month contracts for futures.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#'
#' @return If correct, it will load a tibble data frame
#'
#' @family reference data functions
trading_instruments_fronts <- function(connection) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
data <- trading_instruments(connection = connection, request = "by_type", sec_type = "F", sec_detailed = T)
if (!is_null(data)) {
data <- data %>%
group_by(Underlying) %>%
arrange(MaturityDate) %>%
summarise(MaturityDate = first(MaturityDate), Symbol = first(Symbol))
} else {
data <- NULL
}
return(data)
}
# Market Data ---------------------------
#' @title Market Data Real Time
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' This method brings Market Data in Real Time.
#'
#' @param connection S4. \strong{Mandatory}. Formal rRofexConnection class object
#' @param symbol String. \strong{Mandatory}. Use \code{\link{trading_instruments}} to see which symbols are available.
#' @param entries Vector of Strings. When nothing is set, then \strong{all entries are the default}. It contains the information to be queried:
#' \itemize{
#' \item \strong{BI} - Bid.
#' \item \strong{OF} - Offer.
#' \item \strong{LA} - Last Available Price.
#' \item \strong{OP} - Open Price.
#' \item \strong{CL} - Close Price.
#' \item \strong{SE} - Settlement Price.
#' \item \strong{OI} - Open Interest.
#' \item \strong{HI} - Trading Session High Price
#' \item \strong{LO} - Trading Session Low Price
#' \item \strong{TV} - Trading Volume
#' \item \strong{IV} - Index Value
#' \item \strong{EV} - Trading Effective Volume
#' \item \strong{NV} - Nominal Volume
#' \item \strong{TC} - Trade Count
#' }
#' @param depth Integer. Depth of the book. Default is \strong{1L}.
#' @param market_id String. Market to which you are going to connect. Default is \strong{ROFX}.
#' \itemize{
#' \item \strong{ROFX} - Matba Rofex
#' }
#' @param tidy Logical. Data arranged on a tidy format. Default is \strong{TRUE}.
#'
#' @return If correct, it will load a tibble data frame
#'
#' @family market data functions
#'
#' @examples
#'
#' # If you want to query many products at once,
#' # I recommend you to use "purrr::map" family like this:
#'
#' \dontrun{
#' purrr::map_df(
#' list('MERV - XMEV - GGAL - 48hs','MERV - XMEV - BYMA - 48hs'),
#' ~trading_md(connection = conn, symbol = .x, entries = c("LA","OP", "NV"), tidy = T)
#' )
#' }
trading_md <- function(connection, symbol, entries=c('BI', 'OF', 'LA', 'OP', 'CL', 'SE', 'OI', 'HI', 'LO', 'TV', 'IV', 'EV', 'NV', 'TC'), depth = 1L, market_id='ROFX', tidy = TRUE) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (!market_id %in% c("ROFX")) stop("Invalid 'market_id' parameter.")
if (missing(symbol)) stop("You should pick a 'symbol' to move forward.")
if (length(symbol) > 1) stop("'symbol' parameter can not be more than one.")
if (some(entries, ~ !.x %in% c('BI', 'OF', 'LA', 'OP', 'CL', 'SE', 'OI', 'HI', 'LO', 'TV', 'IV', 'EV', 'NV', 'TC'))) stop("'entries' parameter is invalid. See documentation.")
# Query
query <- GET(url = glue(connection@base_url, "/rest/marketdata/get"),
query = list(
marketId = market_id,
symbol = symbol,
entries = glue_collapse(entries, sep = ","),
depth = depth),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else if (content(query)$status != "OK") {
message(glue(content(query)$status, "\n", content(query)$description))
data <- NULL
} else {
if (tidy == TRUE) {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null", digits = NA))
data <- if (depth == 1L) {
data$marketData %>%
replace_na(data = .,replace = NA) %>%
unlist(recursive = FALSE, use.names = TRUE) %>%
map(.x = ., .f = ~ ifelse(is_null(.x) && !is.list(.x), NA, .x)) %>%
as_tibble_row() %>%
rename_all(.tbl = ., .funs = list(~ gsub(pattern = "\\.", replacement = "_", x = .))) %>%
mutate_at(.tbl = ., .vars = vars(matches("_date")), .funs = list(~ as.POSIXct(x = unlist(.)/1000, origin = "1970-01-01", tz = "America/Buenos_Aires"))) %>%
mutate_at(.tbl = ., .vars = vars(matches("_size|_price", perl = TRUE)), .funs = list(~as.double(.))) %>%
mutate(Symbol = symbol)
} else {
data$marketData %>%
enframe() %>%
mutate(value = map(.x = value, function(x) if (is_null(x)) {NA_real_} else {x})) %>%
pivot_wider() %>%
mutate_if(., .predicate = ~ class(.[[1]]) == 'list', .funs = ~ modify_depth(.x = ., .depth = 1, ~ replace_na(data = ., replace = NA_real_))) %>%
mutate_if(., .predicate = ~ length(unlist(.)) == 1, .funs = ~ unlist(x = ., recursive = F)) %>%
mutate_if(., .predicate = ~ class(.) == 'list', .funs = ~ modify_depth(.x = ., .depth = 1, ~ as_tibble(.))) %>%
mutate_if(., .predicate = ~ class(.) == 'list', .funs = ~ modify_depth(.x = ., .depth = 1, ~ mutate_at(.tbl = ., .vars = vars(matches("date")), .funs = ~ as.POSIXct(./1000, origin = "1970-01-01", tz = "America/Buenos_Aires")))) %>%
mutate_if(., .predicate = ~ class(.) == 'list', .funs = ~ modify_depth(.x = ., .depth = 1, ~ mutate_at(.tbl = ., .vars = vars(matches("size|price", perl = TRUE)), .funs = ~ as.double(.)))) %>%
mutate(Symbol = symbol)
}
} else {
result <- enframe(unlist(content(x = query)$marketData))
data <- suppressWarnings(result %>%
separate(col = name, into = c("entries", "type"), sep = '\\.') %>%
mutate(type = case_when(
is.na(type) ~ 'value',
TRUE ~ type)
)
)
}
}
return(data)
}
#' @title Historical Market Data
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' Access Historical Trades for a given instrument.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param market_id String. Market to which we are going to connect.
#' \itemize{
#' \item \strong{ROFX} - Matba Rofex.
#' \item \strong{MERV} - S&P Merval.
#' }
#' @param symbol String. Use \code{\link{trading_instruments}} to see which symbols are available.
#' @param date String. Date to be queried. With format '\%Y-\%m-\%d'.
#' @param date_from String. Used together with 'date_to'.
#' @param date_to String. Userd together with 'date_from'.
#' @param tidy Logical. Data arranged on a tidy format.
#'
#' @return If correct, it will load a data frame.
#'
#' @family market data functions
trading_mdh <- function(connection, market_id='ROFX', symbol, date, date_from, date_to, tidy = TRUE) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (!market_id %in% c("ROFX", "MERV")) stop("Invalid 'market_id' parameter")
if (missing(symbol)) stop("You should pick a 'symbol' to move forward.")
if (missing(date) && (missing(date_from) | missing(date_to))) stop("Invalid date parameters")
if (!missing(date)) {
if (!.validate_fecha(date = date)) stop("The correct format for 'date' is %Y-%m-%d")
} else {
if (!missing(date_from) && !.validate_fecha(date = date_from)) stop("The correct format for 'date_from' is %Y-%m-%d")
if (!missing(date_to) && !.validate_fecha(date = date_to)) stop("The correct format for 'date_to' is %Y-%m-%d")
}
# Query
query <- if (!missing(date)) {
GET(url = glue(connection@base_url, "/rest/data/getTrades"),
query = list(
marketId = market_id,
symbol = symbol,
date = date,
external = ifelse(market_id != "ROFX", TRUE, FALSE)
),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
} else if (!missing(date_from) && !missing(date_to)) {
GET(url = glue(connection@base_url, "/rest/data/getTrades"),
query = list(
marketId = market_id,
symbol = symbol,
dateFrom = date_from,
dateTo = date_to,
external = ifelse(market_id != "ROFX", TRUE, FALSE)
),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
}
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else if (content(query)$status != "OK") {
message(glue(content(query)$status, "\n", content(query)$description))
data <- NULL
} else if (!length(content(query)$trades)) {
message("There is no data for the product / period selected.")
data <- NULL
} else {
if (tidy == TRUE) {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"))
data <- data$trades %>%
mutate_all(.funs = ~ map(.x = ., function(x) if(is_null(x)) {NA_real_} else {x})) %>%
mutate_at(., .vars = vars(matches("price|size")), .funs = ~ as.double(.)) %>%
mutate_at(., .vars = vars(matches("datetime")), .funs = ~ as.POSIXct(x = unlist(.), tz = "America/Buenos_Aires")) %>%
mutate_at(., .vars = vars(matches("servertime")), .funs = ~ as.POSIXct(x = unlist(.)/1000, origin = "1970-01-01", tz = "America/Buenos_Aires")) %>%
mutate_at(., .vars = vars(matches("symbol")), .funs = ~ as.character(.)) %>%
as_tibble()
} else {
result <- fromJSON(content(x = query, as = "text"))
data <- flatten(result$trades)
}
}
return(data)
}
#' @title Currencies
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' Access currencies prices.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#'
#' @return If correct, it will load a data frame.
#'
#' @family market data functions
trading_currencies <- function(connection) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
# Query
query <- GET(url = glue(connection@base_url, "/rest/risk/currency/getAll"),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"))
data <- data$currencies %>%
mutate_if(.tbl = ., .predicate = is.character, .funs = ~ na_if(., y = "")) %>%
as_tibble()
}
return(data)
}
# Orders ---------------------------
#' @title Send Order to the Market
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("maturing")}
#' The method \code{trading_new_order} is use to send orders.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param account String. \strong{Mandatory} Account Number
#' @param symbol String. Use \code{\link{trading_instruments}} to see which symbols are available.
#' @param side String. \strong{Mandatory} Either:
#' \itemize{
#' \item \strong{Buy}
#' \item \strong{Sell}
#' }
#' @param quantity Numeric. \strong{Mandatory} Quantity of the order.
#' @param price Numeric. \strong{Mandatory} Price of the order.
#' @param order_type String. Type of order.
#' \itemize{
#' \item \strong{Limit} - Default. Limit order sets the maximum or minimum price at which you are willing to buy or sell.
#' }
#' @param time_in_force String. Specifies how long the order remains in effect. Absence of this field is interpreted as 'Day':
#' \itemize{
#' \item \strong{Day} - Day or session.
#' \item \strong{IOC} - Immediate or Cancel.
#' \item \strong{FOK} - Fill or Kill.
#' \item \strong{GTD} - Good Till Date.
#' }
#' @param iceberg Logical. If TRUE, then the order is 'iceberg'. FALSE as default.
#' @param expire_date String. \strong{Only for GDT orders}. Maturity date of the order, With format '\%Y-\%m-\%d'.
#' @param display_quantity Numeric. \strong{Only for Iceberg orders}. Indicate the disclosed quantity for the 'iceberg' order.
#' @param cancel_previous Logigal. Optional parameter only valid for Matba Rofex instruments. By default it's FALSE.
#'
#' @return If correct, it will load a tibble.
#'
#' @family order placements functions
trading_new_order <- function(connection, account, symbol, side, quantity, price, order_type='Limit', time_in_force='Day', iceberg=FALSE, expire_date=NULL, display_quantity=NULL, cancel_previous=FALSE) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
market_id <- "ROFX"
if (!market_id %in% c("ROFX")) stop("Invalid 'market_id' parameter")
if (missing(symbol)) stop("You should pick a 'symbol' to move forward.")
if (missing(side)) stop("You should pick a 'side' to move forward.")
if (!side %in% c("Buy", "Sell")) stop("Invalid 'side' parameter")
if (missing(quantity)) stop("You should pick a 'quantity' to move forward.")
if (!order_type %in% c("Limit")) stop("Invalid 'order_type' parameter")
if (order_type == "Limit" && missing(price)) stop("You should pick a 'price' to move forward.")
if (!time_in_force %in% c("Day", "IOC", "FOK", "GTD")) stop("Invalid 'time_in_force' parameter")
if (time_in_force %in% c("GTD") && missing(expire_date)) stop("You should provide an 'expire_date' to move forward.")
if (!missing(expire_date) && !.validate_fecha(date = expire_date)) {
stop("The correct format for 'expire_date' is %Y-%m-%d")
} else if (!missing(expire_date) && .validate_fecha(date = expire_date)) {
expire_date <- gsub(pattern = "-", replacement = "", x = expire_date)
}
if (iceberg == "TRUE" && missing(display_quantity)) stop("You should provide a disclosed quantity")
if (missing(account)) stop("'account' parameter cannot be empty.")
# Query
query <- GET(url = glue(connection@base_url, "/rest/order/newSingleOrder"),
query = list(
marketId = market_id,
symbol = symbol,
side = side,
orderQty = quantity,
price = price,
ordType = order_type,
timeInForce = time_in_force,
iceberg = iceberg,
expireDate = expire_date,
displayQty = if (iceberg == F) {NULL} else {display_quantity},
cancelPrevious = cancel_previous,
account = account
),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else if (content(query)$status != "OK") {
message(glue("Something wrong happend when placing the order.
More info: {content(query)$status}"))
data <- NULL
} else {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"), simplifyDataFrame = T)
data <- data$order %>%
as_tibble()
}
if (!is_null(data)) {
data <- trading_lookup(connection = connection,
lookup_type = "COID",
id = data$clientId,
proprietary = data$proprietary)
}
return(data)
}
#' @title Cancel Order Sent to the Market
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("maturing")}
#' The method \code{trading_cancel_order} should be use to cancel orders that are open on the market.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param id String. \strong{Mandatory} clOrdId given by the \code{trading_orders} method.
#' @param proprietary String. \strong{Mandatory} ID given by the \code{trading_orders} method.
#' \itemize{
#' \item \strong{PBCP}
#' }
#'
#' @return If correct, it will load a tibble.
#'
#' @family order placements functions
trading_cancel_order <- function(connection, id, proprietary) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (missing(id)) stop("You should pick a 'id' to move forward.")
if (missing(proprietary)) stop("You should pick a 'proprietary' to move forward.")
# Query
query <- GET(url = glue(connection@base_url, "/rest/order/cancelById"),
query = list(
clOrdId = id,
proprietary = proprietary
),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else if (content(query)$status != "OK") {
message(glue("Something wrong happend when placing the order.
More info: {content(query)$status}"))
data <- NULL
} else {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"), simplifyDataFrame = T)
data <- data$order %>%
as_tibble()
}
if (!is_null(data)) {
data <- trading_lookup(connection = connection,
lookup_type = "COID",
id = data$clientId,
proprietary = data$proprietary)
}
return(data)
}
# Orders Lookup ---------------------------
#' @title Lookup Order Status
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' The method \code{trading_lookup} is used to check the status of an order.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param lookup_type String. \strong{Mandatory}. Look-up by:
#' \itemize{
#' \item \strong{COID} - Client Order ID.
#' \item \strong{OID} - Order ID.
#' }
#' @param id String. \strong{Mandatory}. ID given by the \code{trading_orders} method. Depends on `lookup_type`.
#' @param proprietary String. ID given by the \code{trading_orders} method. Only for 'lookup_type=COID' In most cases:
#' \itemize{
#' \item \strong{PBCP}
#' }
#'
#' @return If correct, it will load a tibble.
#'
#' @family order management functions
trading_lookup <- function(connection, lookup_type, id, proprietary) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (missing(lookup_type)) stop("You should pick a 'lookup_type' to move forward.")
if (!lookup_type %in% c("COID", "OID")) stop("Invalid 'lookup_type' parameter")
if (missing(id)) stop("You should pick a 'id' to move forward.")
if (lookup_type == "COID" && missing(proprietary)) stop("You should pick a 'proprietary' to move forward.")
# Query
query <- if (lookup_type == "COID") {
GET(url = glue(connection@base_url, "/rest/order/id"),
query = list(
clOrdId = id,
proprietary = proprietary
),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
} else if (lookup_type == "OID") {
GET(url = glue(connection@base_url, "/rest/order/byOrderId"),
query = list(
orderId = id
),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
}
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else if (content(query)$status != "OK") {
message(glue('Something wrong happend when placing the order.\n',
'Info: {message}\n',
'{description}',
message = ifelse(is_null(content(query)$message), "<empty>", content(query)$message),
description = content(query)$description))
data <- NULL
} else {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"), simplifyDataFrame = T)
if (is_empty(data$order)) {
message(glue('No orders placed at the moment.\n'))
data <- NULL
} else {
data <- data$order %>%
unlist(recursive = F) %>%
as_tibble() %>%
rename_all(., .funs = ~ gsub(pattern = "\\.", replacement = "_", x = .)) %>%
mutate(
transactTime = as.POSIXct(transactTime, format = "%Y%m%d-%H:%M:%OS", tz = "America/Buenos_Aires"),
text = trimws(text, which = "both")
)
}
}
return(data)
}
#' @title View Orders
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' The method \code{trading_orders} is used to see each order sent by Account.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param account String. \strong{Mandatory} Account Number
#'
#' @return If correct, it will load a tibble.
#'
#' @family order management functions
trading_orders <- function(connection, account) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (missing(account)) stop("'account' parameter cannot be empty.")
# Query
query <- GET(url = glue(connection@base_url, "/rest/order/all"),
query = list(
accountId = account
),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else if (content(query)$status != "OK") {
message(glue('Something wrong happend when placing the order.\n',
'Info: {message}\n',
'{description}',
message = content(query)$message,
description = content(query)$description))
data <- NULL
} else {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"), simplifyDataFrame = T)
if (is_empty(data$orders)) {
message(glue('No orders placed at the moment.\n'))
data <- NULL
} else {
data <- data$orders %>%
jsonlite::flatten(., recursive = F) %>%
as_tibble() %>%
rename_all(., .funs = ~ gsub(pattern = "\\.", replacement = "_", x = .)) %>%
mutate(
transactTime = as.POSIXct(transactTime, format = "%Y%m%d-%H:%M:%OS", tz = "America/Buenos_Aires"),
text = trimws(text, which = "both")
)
}
}
return(data)
}
# Account Information ---------------------------
#' @title Account Information
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("maturing")}
#' Access information about the trading account.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param account String. \strong{Mandatory} Account Number
#' @param detailed Logical. Expanded information.
#'
#' @return If correct, it will load a tibble.
#'
#' @family account functions
trading_account <- function(connection, account, detailed = FALSE) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (missing(account)) stop("'account' parameter cannot be empty.")
# Query
query <- if (detailed == FALSE) {
GET(url = glue(connection@base_url, "/rest/risk/position/getPositions/{account}"),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
} else if(detailed == TRUE) {
GET(url = glue(connection@base_url, "/rest/risk/detailedPosition/{account}"),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
}
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else if (content(query)$status != "OK") {
message(glue(content(query)$message, "\n", content(query)$description))
data <- NULL
} else {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"))
if (detailed == FALSE) {
if(length(data$positions)) {1} else {0}
data <- if (length(data$positions)) {
data$positions %>%
jsonlite::flatten(., recursive = F) %>%
mutate_all(., .funs = ~ map(.x = ., function(x) if(is_null(x)) {NA_real_} else {x})) %>%
simplify_all() %>%
as_tibble() %>%
rename_all(.tbl = ., .funs = ~ gsub(pattern = "^instrument\\.", replacement = "", x = .))
} else {
message("No data available at the moment...")
NULL
}
} else if(detailed == TRUE) {
data <- if (length(data$detailedPosition$report)) {
data$detailedPosition %>%
t() %>%
as_tibble() %>%
mutate_if(., .predicate = ~ length(unlist(.)) == 1, .funs = ~ unlist(x = ., recursive = F)) %>%
mutate_if(., .predicate = ~ any(map(.[[1]], .f = ~ length(.)) > 1), .funs = ~ list(unlist(.[[1]], recursive = F))) %>%
mutate(report = list(unlist(report, recursive = F) %>% purrr::map_df(., .f = ~ pluck(., "detailedPositions")) %>% as_tibble())) %>%
mutate(lastCalculation = as.POSIXct(lastCalculation/1000, origin = "1970-01-01", tz = "America/Buenos_Aires")) %>%
mutate_at(.tbl = ., .vars = vars(matches("report")), .funs = ~ modify_depth(.x = ., .depth = 1, ~ mutate_at(.tbl = ., .vars = vars(matches("date")), .funs = ~ as.POSIXct(./1000, origin = "1970-01-01", tz = "America/Buenos_Aires"))))
} else {
message("No data available at the moment...")
NULL
}
}
}
return(data)
}
#' @title Account Report
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("maturing")}
#' Access report about your trading account.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param account String. \strong{Mandatory} Account Number
#'
#' @return If correct, it will load a tibble.
#'
#' @note
#' To access nested data is strongly recommended the use of `pluck`.
#'
#' @family account functions
#'
#' @examples
#' \dontrun{
#' data %>% pluck("detailedAccountReports", 1, "availableToOperate", 1, "cash")
#' }
trading_account_report <- function(connection, account) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (missing(account)) stop("'account' parameter cannot be empty.")
# Query
query <- GET(url = glue(connection@base_url, "/rest/risk/accountReport/{account}"),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"), simplifyDataFrame = T)
data <- if (length(data$accountData)) {
data <- data$accountData %>%
replace_na(data = ., replace = NA) %>%
t() %>%
as_tibble() %>%
mutate_at(.tbl = ., .vars = vars(matches("detailedAccountReports")), .funs = ~ modify_depth(., .depth = 3, ~ replace_na(., replace = NA))) %>%
mutate_if(.tbl = ., .predicate = ~ length(unlist(.)) == 1, .funs = ~ unlist(x = ., recursive = F)) %>%
mutate_at(.tbl = ., .vars = vars(matches("lastCalculation")), .funs = ~ as.POSIXct(./1000, origin = "1970-01-01", tz = "America/Buenos_Aires"))
data <- if (length(data$detailedAccountReports[[1]])) {
data %>%
mutate(detailedAccountReports = list(
select(.data = ., detailedAccountReports) %>%
unlist() %>%
enframe() %>%
separate(data = ., col = name, into = c(glue("X{1:", .$name %>% strsplit(x = ., split = "\\.") %>% map_int(., length) %>% max, "}")), sep = "\\.", fill = "right") %>%
select(-X1) %>%
rename(Term = X2) %>%
mutate(Term = as.integer(Term)) %>%
split(x = .,f = .$X3) %>%
t() %>%
as_tibble() %>%
mutate_at(.tbl = .,
.vars = vars(matches("settlementDate")),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ select(., Term, value) %>%
rename(settlementDate = value) %>%
mutate(settlementDate = as.POSIXct(unlist(settlementDate)/1000, origin = "1970-01-01", tz = "America/Buenos_Aires"))
)
) %>%
mutate_at(.tbl = .,
.vars = vars(matches("availableToOperate")),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ split(x = ., .$X4) %>%
t() %>%
as_tibble(.) %>%
mutate_at(.tbl = .,
.vars = vars(matches("cash", ignore.case = F)),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ select(., Term, X5, X6, value) %>%
pivot_wider(data = ., names_from = c(X5, X6), values_from = value) %>%
rename_all(.tbl = ., .funs = ~ gsub(pattern = "_NA|detailedCash_", replacement = "", x = .)) %>%
rename_all(.tbl = ., .funs = ~ gsub(pattern = " ", replacement = "_", x = .))
)) %>%
mutate_at(.tbl = .,
.vars = vars(matches("movements", ignore.case = F)),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ select(., Term, value) %>%
rename(Movements = value)
)) %>%
mutate_at(.tbl = .,
.vars = vars(matches("credit", ignore.case = F)),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ select(., Term, value) %>%
rename(Credit = value) %>%
mutate(Credit = replace_na(Credit, 0))
)) %>%
mutate_at(.tbl = .,
.vars = vars(matches("total", ignore.case = F)),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ select(., Term, value) %>%
rename(Total = value)
)) %>%
mutate_at(.tbl = .,
.vars = vars(matches("pendingMovements", ignore.case = F)),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ select(., Term, value) %>%
rename(PendingMovements = value)
))
)
) %>%
mutate_at(.tbl = .,
.vars = vars(matches("currencyBalance")),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ select(., Term, X5, X6, value) %>%
pivot_wider(data = ., names_from = X5, values_from = value) %>%
rename(Type = X6) %>%
rename_all(.tbl = ., .funs = ~ gsub(pattern = " ", replacement = "_", x = .))
)
))
)
} else {
message("No complete data available at the moment...")
data
}
} else {
message("No data available at the moment...")
NULL
}
}
return(data)
}
gruporofex/rRofex documentation built on Dec. 31, 2021, 2:15 a.m.
R Package Documentation
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Defines functions trading_instruments trading_login
Documented in trading_instruments trading_login
# Export functions ---------------------------
#' @export trading_login
#' @export trading_instruments
#' @export trading_instruments_fronts
#' @export trading_md
#' @export trading_mdh
#' @export trading_currencies
#' @export trading_new_order
#' @export trading_lookup
#' @export trading_orders
#' @export trading_cancel_order
#' @export trading_account
#' @export trading_account_report
NULL
#' @include s4_object.R
#' NULL
# Log-in ---------------------------
#' @title API Log-in
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' Function that it is use to log-in into Primary trading API
#'
#' @param username String. User Name
#' @param password String. Password
#' @param base_url String. Which environment are you going to connect:
#' \itemize{
#' \item reMarkets: 'https://api.remarkets.primary.com.ar'
#' \item production: 'https://api.primary.com.ar'
#' \item xOMS: 'https://api.<BROKER>.xoms.com.ar'
#' }
#'
#' @note
#' \itemize{
#' \item reMarkets: Testing environment. For credentials go to \url{https://remarkets.primary.ventures}
#' \item production: Production environment. For credentials send an email to \email{mpi@@primary.com.ar}
#' \item xOMS: Ask your broker about it.
#' }
#'
#' @return S4 rRofexConnection object.
#'
#' @note Accessors:
#' You can use accessors to get information about the Object by using:
#' \itemize{
#' \item \code{token(conn)}
#' \item \code{base_url(conn)}
#' \item \code{login_date_time(conn)}
#' \item \code{agent(conn)}
#' \item \code{user_name(conn)}
#' }
#'
#' @family connection functions
#'
#' @examples
#' \dontrun{
#' conn <- trading_login(
#' username = "pepe",
#' password = "pepino",
#' base_url = "https://api.remarkets.primary.com.ar"
#' )
#' }
trading_login <- function(username, password, base_url) {
if (missing(username) || missing(password)) stop("'username' and 'password' are needed.")
if (missing(base_url)) stop("'base_url' is needed.")
if (!grepl(pattern = "^(https)://", x = base_url)) stop("'base_url' has an invalid format")
query <- tryCatch(POST(url = glue(base_url, "/auth/getToken"),
add_headers(.headers = c("X-Username" = username,
"X-Password" = password)
)
), error = function(cnd) conditionMessage(cnd))
if (typeof(query) == "list" && status_code(query) != 200) {
warn_for_status(query)
NULL
} else if (typeof(query) == "list" && status_code(query) == 200) {
message(glue("Succesfully connected with rRofex to {base_url}..."))
invisible(rRofex_connection(token = headers(query)$`x-auth-token`,
base_url = base_url,
user_name = username))
} else {
message(glue("Something went wrong...
Error: {query}
Check function's arguments"))
NULL
}
}
# Instruments ---------------------------
#' @title List of Instruments
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' Method to list segments and instruments currently available through the Trading API.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param request String. \strong{Mandatory} The type of request that you are making:
#' \itemize{
#' \item \strong{segments}: List available market segments
#' \item \strong{securities}: List available instruments listed on Matba Rofex. \emph{Depends on 'sec_detailed'}.
#' \item \strong{by_segment}: List available instruments searching by market segment. \emph{Depends on 'market_id' and 'segment_id'}
#' \item \strong{by_cfi_code}: List available instruments searching by CFI Code. \emph{Depends on 'cfi_code'}
#' \item \strong{by_type}: List available instruments searching by Instrument Type. See section Instrument Types. \emph{Depends on 'sec_detailed' and 'sec_type'}.
#' }
#' @param sec_detailed Logical. Optional for request='securities'. Brings additional information like segment, price, minimal/maximal trading quantity, settlement date, etc.
#' @param market_id String. Needed for request='by_segment'. Market ID.
#' \itemize{
#' \item \strong{ROFX}: Matba Rofex
#' }
#' @param segment_id String. Needed for request='by_segment'. Market Segment ID.
#' \itemize{
#' \item \strong{DDF}: Financial Derivatives
#' \item \strong{DDA}: Agricultural Derivatives
#' \item \strong{DUAL}: Other Derivatives
#' \item \strong{MERV}: S&P Merval
#' }
#' @param cfi_code String. Needed for request='by_cfi_code'. CFI Code. See \url{https://www.quotemedia.com/apifeeds/cfi_code}
#' @param sec_type String. Needed for request='by_type'.
#' \itemize{
#' \item \strong{E}: Equities
#' \item \strong{D}: Debt
#' \item \strong{C}: Collective Investment Vehicles
#' \item \strong{R}: Entitlements (Rights)
#' \item \strong{O}: Listed Options
#' \item \strong{F}: Futures
#' \item \strong{T}: Referential Instruments
#' \item \strong{M}: Others
#' }
#'
#' @return If correct, it will load a tibble data frame
#'
#' @family reference data functions
trading_instruments <- function(connection, request, sec_detailed = FALSE, market_id = "ROFX", segment_id, cfi_code, sec_type) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (missing(request)) stop("'request' parameter is required.")
if (some(request, ~ !.x %in% c("segments", "securities", "by_segment", "by_cfi_code", "by_type"))) stop("'request' parameter is invalid. See documentation.")
if (length(request) > 1) stop("'request' parameter can not be more than one.")
if (request == 'by_segment' && some(market_id, ~ !.x %in% c("ROFX"))) stop("'market_id' parameter is invalid. See documentation.")
if (request == 'by_segment' && missing(segment_id)) stop("'segment_id' parameter is required when searching by Segment.")
if (request == 'by_segment' && length(segment_id) > 1) stop("'segment_id' parameter can not be more than one.")
if (request == 'by_segment' && some(segment_id, ~ !.x %in% c("DDF", "DDA", "DUAL", "MERV"))) stop("'segment_id' parameter is invalid. See documentation.")
if (request == 'by_cfi_code' && missing(cfi_code)) stop("'cfi_code' parameter is required when searching by CFI Code.")
if (request == 'by_cfi_code' && length(cfi_code) > 1) stop("'cfi_code' parameter can not be more than one.")
if (request == 'by_type' && missing(sec_type)) stop("'sec_type' parameter is required when searching by Type")
if (request == 'by_type' && some(sec_type, ~ !.x %in% c("E", "D", "C", "R", "O", "F", "T", "M"))) stop("'sec_type' parameter is invalid. See documentation.")
# Query
query <- if (request == 'segments') {
GET(url = glue(connection@base_url, "/rest/segment/all"),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent)
)
} else if (request %in% c('securities', 'by_type') && sec_detailed == FALSE) {
GET(url = glue(connection@base_url, "/rest/instruments/all"),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent)
)
} else if (request %in% c('securities', 'by_type') && sec_detailed == TRUE) {
GET(url = glue(connection@base_url, "/rest/instruments/details"),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent)
)
} else if (request == 'by_segment') {
GET(url = glue(connection@base_url, "/rest/instruments/bySegment"),
query = list(
MarketID = market_id,
MarketSegmentID = segment_id),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent)
)
} else if (request == 'by_cfi_code') {
GET(url = glue(connection@base_url, "/rest/instruments/byCFICode"),
query = list(
CFICode = cfi_code),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent)
)
}
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else {
data <- fromJSON(toJSON(content(query)))
if (request == 'segments') {
data <- data$segments %>%
mutate_all(., unlist)
} else if (request %in% c('securities', 'by_type') && sec_detailed == FALSE) {
data <- data$instruments %>%
jsonlite::flatten(recursive = F) %>%
mutate_all(., unlist) %>%
rename_all(., .funs = list(~gsub(pattern = ".+\\.", replacement = "", x = .)))
} else if (request %in% c('securities', 'by_type') && sec_detailed == TRUE) {
data <- data$instruments %>%
jsonlite::flatten(x = ., recursive = FALSE) %>%
mutate(
across(
.cols = everything(),
.fns = ~ replace_na(., replace = NA)
)
) %>%
mutate(
across(
.cols = everything(),
.fns = ~ map(
.x = .x,
.f = ~ unlist(.x) %>%
paste0(collapse = ",")
) %>%
unlist
)
) %>%
select(-segment.marketId) %>%
rename_all(., .funs = list(~gsub(pattern = ".+\\.", replacement = "", x = .))) %>%
mutate(maturityDate = as.Date(maturityDate, format = "%Y%m%d"))
} else if (request == 'by_segment') {
data <- data$instruments %>%
mutate_all(., unlist)
} else if (request == 'by_cfi_code') {
data <- data$instruments %>%
mutate_all(., unlist)
}
if (request == 'by_type') {
data <- data %>%
filter(grepl(glue("^[", glue_collapse(sec_type, sep = "|"), "]"), cficode)) %>%
arrange(cficode)
}
data <- data %>%
rename_all(., .funs = list(~gsub(pattern = "(^.)", replacement = "\\U\\1", x = ., perl = TRUE))) %>%
as_tibble()
if (request %in% c('securities', 'by_type') && sec_detailed != FALSE) {
suppressWarnings(
data <- data %>%
mutate(
ProductType = factor(
gsub(
pattern = "(^.)(.+)",
replacement = "\\1",
x = Cficode
),
levels = c("E", "D", "C", "R", "O", "F", "T", "M"),
labels = c("Equities", "Debt", "Collective Investment Vehicles", "Entitlements", "Options", "Futures", "Referencial Instruments", "Others")
),
Settlement = case_when(
grepl(pattern = ".+ - (.+[hs|CI|D])$", x = Symbol) == TRUE ~ trimws(gsub(pattern = ".+ - (.+)$", replacement = "\\1", x = Symbol, ignore.case = T), which = "both"),
TRUE ~ NA_character_
),
OptionType = factor(
gsub(
pattern = "(^.{2})(.+)",
replacement = "\\1",
x = Cficode
),
levels = c("OC", "OP", "OM"),
labels = c("Call", "Put", "Others")
),
Ticker = case_when(
ProductType %in% c('Equities', 'Debt', 'Options') ~ trimws(gsub(pattern = "(MERV - XMEV - )(.+)( - .+)", replacement = "\\2", x = Symbol, ignore.case = T), which = "both"),
ProductType %in% c('Entitlements') ~ trimws(gsub(pattern = "(MERV - XMEV - )(.+)", replacement = "\\2", x = Symbol, ignore.case = T), which = "both"),
ProductType %in% c('Others') ~ trimws(gsub(pattern = "(.+)( - )(.+)$", replacement = "\\3", x = Symbol, ignore.case = T), which = "both"),
TRUE ~ Symbol
),
Underlying = case_when(
ProductType %in% c('Options') & MarketSegmentId == 'MERV' ~ trimws(gsub(pattern = "(.{3})(.+)", replacement = "\\1", x = Ticker, ignore.case = TRUE), which = "both"),
ProductType %in% c('Options', 'Futures') & MarketSegmentId != 'MERV'~ trimws(gsub(pattern = "^([^/]+)(/)(.+)", replacement = "\\1", x = Symbol, ignore.case = T), which = "both"),
TRUE ~ NA_character_
),
StrikePrice = case_when(
ProductType %in% c('Options') & MarketSegmentId == 'MERV' ~ as.double(gsub(pattern = "(.{4})([0-9]+?\\.?[0-9]*)([[:alpha:]]+)", replacement = "\\2", x = Ticker, ignore.case = T)),
ProductType %in% c('Options') & MarketSegmentId != 'MERV'~ as.double(gsub(pattern = "(.+)( )([0-9]+)( )([P|C])$", replacement = "\\3", x = Symbol, ignore.case = T)),
TRUE ~ NA_real_
)
) %>%
select(Symbol, ProductType, MarketSegmentId, Ticker, OptionType, StrikePrice, Underlying, Settlement, MaturityDate, Cficode, everything())
)
}
}
return(data)
}
#' @title Front Month of Futures
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' List all front month contracts for futures.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#'
#' @return If correct, it will load a tibble data frame
#'
#' @family reference data functions
trading_instruments_fronts <- function(connection) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
data <- trading_instruments(connection = connection, request = "by_type", sec_type = "F", sec_detailed = T)
if (!is_null(data)) {
data <- data %>%
group_by(Underlying) %>%
arrange(MaturityDate) %>%
summarise(MaturityDate = first(MaturityDate), Symbol = first(Symbol))
} else {
data <- NULL
}
return(data)
}
# Market Data ---------------------------
#' @title Market Data Real Time
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' This method brings Market Data in Real Time.
#'
#' @param connection S4. \strong{Mandatory}. Formal rRofexConnection class object
#' @param symbol String. \strong{Mandatory}. Use \code{\link{trading_instruments}} to see which symbols are available.
#' @param entries Vector of Strings. When nothing is set, then \strong{all entries are the default}. It contains the information to be queried:
#' \itemize{
#' \item \strong{BI} - Bid.
#' \item \strong{OF} - Offer.
#' \item \strong{LA} - Last Available Price.
#' \item \strong{OP} - Open Price.
#' \item \strong{CL} - Close Price.
#' \item \strong{SE} - Settlement Price.
#' \item \strong{OI} - Open Interest.
#' \item \strong{HI} - Trading Session High Price
#' \item \strong{LO} - Trading Session Low Price
#' \item \strong{TV} - Trading Volume
#' \item \strong{IV} - Index Value
#' \item \strong{EV} - Trading Effective Volume
#' \item \strong{NV} - Nominal Volume
#' \item \strong{TC} - Trade Count
#' }
#' @param depth Integer. Depth of the book. Default is \strong{1L}.
#' @param market_id String. Market to which you are going to connect. Default is \strong{ROFX}.
#' \itemize{
#' \item \strong{ROFX} - Matba Rofex
#' }
#' @param tidy Logical. Data arranged on a tidy format. Default is \strong{TRUE}.
#'
#' @return If correct, it will load a tibble data frame
#'
#' @family market data functions
#'
#' @examples
#'
#' # If you want to query many products at once,
#' # I recommend you to use "purrr::map" family like this:
#'
#' \dontrun{
#' purrr::map_df(
#' list('MERV - XMEV - GGAL - 48hs','MERV - XMEV - BYMA - 48hs'),
#' ~trading_md(connection = conn, symbol = .x, entries = c("LA","OP", "NV"), tidy = T)
#' )
#' }
trading_md <- function(connection, symbol, entries=c('BI', 'OF', 'LA', 'OP', 'CL', 'SE', 'OI', 'HI', 'LO', 'TV', 'IV', 'EV', 'NV', 'TC'), depth = 1L, market_id='ROFX', tidy = TRUE) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (!market_id %in% c("ROFX")) stop("Invalid 'market_id' parameter.")
if (missing(symbol)) stop("You should pick a 'symbol' to move forward.")
if (length(symbol) > 1) stop("'symbol' parameter can not be more than one.")
if (some(entries, ~ !.x %in% c('BI', 'OF', 'LA', 'OP', 'CL', 'SE', 'OI', 'HI', 'LO', 'TV', 'IV', 'EV', 'NV', 'TC'))) stop("'entries' parameter is invalid. See documentation.")
# Query
query <- GET(url = glue(connection@base_url, "/rest/marketdata/get"),
query = list(
marketId = market_id,
symbol = symbol,
entries = glue_collapse(entries, sep = ","),
depth = depth),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else if (content(query)$status != "OK") {
message(glue(content(query)$status, "\n", content(query)$description))
data <- NULL
} else {
if (tidy == TRUE) {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null", digits = NA))
data <- if (depth == 1L) {
data$marketData %>%
replace_na(data = .,replace = NA) %>%
unlist(recursive = FALSE, use.names = TRUE) %>%
map(.x = ., .f = ~ ifelse(is_null(.x) && !is.list(.x), NA, .x)) %>%
as_tibble_row() %>%
rename_all(.tbl = ., .funs = list(~ gsub(pattern = "\\.", replacement = "_", x = .))) %>%
mutate_at(.tbl = ., .vars = vars(matches("_date")), .funs = list(~ as.POSIXct(x = unlist(.)/1000, origin = "1970-01-01", tz = "America/Buenos_Aires"))) %>%
mutate_at(.tbl = ., .vars = vars(matches("_size|_price", perl = TRUE)), .funs = list(~as.double(.))) %>%
mutate(Symbol = symbol)
} else {
data$marketData %>%
enframe() %>%
mutate(value = map(.x = value, function(x) if (is_null(x)) {NA_real_} else {x})) %>%
pivot_wider() %>%
mutate_if(., .predicate = ~ class(.[[1]]) == 'list', .funs = ~ modify_depth(.x = ., .depth = 1, ~ replace_na(data = ., replace = NA_real_))) %>%
mutate_if(., .predicate = ~ length(unlist(.)) == 1, .funs = ~ unlist(x = ., recursive = F)) %>%
mutate_if(., .predicate = ~ class(.) == 'list', .funs = ~ modify_depth(.x = ., .depth = 1, ~ as_tibble(.))) %>%
mutate_if(., .predicate = ~ class(.) == 'list', .funs = ~ modify_depth(.x = ., .depth = 1, ~ mutate_at(.tbl = ., .vars = vars(matches("date")), .funs = ~ as.POSIXct(./1000, origin = "1970-01-01", tz = "America/Buenos_Aires")))) %>%
mutate_if(., .predicate = ~ class(.) == 'list', .funs = ~ modify_depth(.x = ., .depth = 1, ~ mutate_at(.tbl = ., .vars = vars(matches("size|price", perl = TRUE)), .funs = ~ as.double(.)))) %>%
mutate(Symbol = symbol)
}
} else {
result <- enframe(unlist(content(x = query)$marketData))
data <- suppressWarnings(result %>%
separate(col = name, into = c("entries", "type"), sep = '\\.') %>%
mutate(type = case_when(
is.na(type) ~ 'value',
TRUE ~ type)
)
)
}
}
return(data)
}
#' @title Historical Market Data
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' Access Historical Trades for a given instrument.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param market_id String. Market to which we are going to connect.
#' \itemize{
#' \item \strong{ROFX} - Matba Rofex.
#' \item \strong{MERV} - S&P Merval.
#' }
#' @param symbol String. Use \code{\link{trading_instruments}} to see which symbols are available.
#' @param date String. Date to be queried. With format '\%Y-\%m-\%d'.
#' @param date_from String. Used together with 'date_to'.
#' @param date_to String. Userd together with 'date_from'.
#' @param tidy Logical. Data arranged on a tidy format.
#'
#' @return If correct, it will load a data frame.
#'
#' @family market data functions
trading_mdh <- function(connection, market_id='ROFX', symbol, date, date_from, date_to, tidy = TRUE) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (!market_id %in% c("ROFX", "MERV")) stop("Invalid 'market_id' parameter")
if (missing(symbol)) stop("You should pick a 'symbol' to move forward.")
if (missing(date) && (missing(date_from) | missing(date_to))) stop("Invalid date parameters")
if (!missing(date)) {
if (!.validate_fecha(date = date)) stop("The correct format for 'date' is %Y-%m-%d")
} else {
if (!missing(date_from) && !.validate_fecha(date = date_from)) stop("The correct format for 'date_from' is %Y-%m-%d")
if (!missing(date_to) && !.validate_fecha(date = date_to)) stop("The correct format for 'date_to' is %Y-%m-%d")
}
# Query
query <- if (!missing(date)) {
GET(url = glue(connection@base_url, "/rest/data/getTrades"),
query = list(
marketId = market_id,
symbol = symbol,
date = date,
external = ifelse(market_id != "ROFX", TRUE, FALSE)
),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
} else if (!missing(date_from) && !missing(date_to)) {
GET(url = glue(connection@base_url, "/rest/data/getTrades"),
query = list(
marketId = market_id,
symbol = symbol,
dateFrom = date_from,
dateTo = date_to,
external = ifelse(market_id != "ROFX", TRUE, FALSE)
),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
}
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else if (content(query)$status != "OK") {
message(glue(content(query)$status, "\n", content(query)$description))
data <- NULL
} else if (!length(content(query)$trades)) {
message("There is no data for the product / period selected.")
data <- NULL
} else {
if (tidy == TRUE) {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"))
data <- data$trades %>%
mutate_all(.funs = ~ map(.x = ., function(x) if(is_null(x)) {NA_real_} else {x})) %>%
mutate_at(., .vars = vars(matches("price|size")), .funs = ~ as.double(.)) %>%
mutate_at(., .vars = vars(matches("datetime")), .funs = ~ as.POSIXct(x = unlist(.), tz = "America/Buenos_Aires")) %>%
mutate_at(., .vars = vars(matches("servertime")), .funs = ~ as.POSIXct(x = unlist(.)/1000, origin = "1970-01-01", tz = "America/Buenos_Aires")) %>%
mutate_at(., .vars = vars(matches("symbol")), .funs = ~ as.character(.)) %>%
as_tibble()
} else {
result <- fromJSON(content(x = query, as = "text"))
data <- flatten(result$trades)
}
}
return(data)
}
#' @title Currencies
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' Access currencies prices.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#'
#' @return If correct, it will load a data frame.
#'
#' @family market data functions
trading_currencies <- function(connection) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
# Query
query <- GET(url = glue(connection@base_url, "/rest/risk/currency/getAll"),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"))
data <- data$currencies %>%
mutate_if(.tbl = ., .predicate = is.character, .funs = ~ na_if(., y = "")) %>%
as_tibble()
}
return(data)
}
# Orders ---------------------------
#' @title Send Order to the Market
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("maturing")}
#' The method \code{trading_new_order} is use to send orders.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param account String. \strong{Mandatory} Account Number
#' @param symbol String. Use \code{\link{trading_instruments}} to see which symbols are available.
#' @param side String. \strong{Mandatory} Either:
#' \itemize{
#' \item \strong{Buy}
#' \item \strong{Sell}
#' }
#' @param quantity Numeric. \strong{Mandatory} Quantity of the order.
#' @param price Numeric. \strong{Mandatory} Price of the order.
#' @param order_type String. Type of order.
#' \itemize{
#' \item \strong{Limit} - Default. Limit order sets the maximum or minimum price at which you are willing to buy or sell.
#' }
#' @param time_in_force String. Specifies how long the order remains in effect. Absence of this field is interpreted as 'Day':
#' \itemize{
#' \item \strong{Day} - Day or session.
#' \item \strong{IOC} - Immediate or Cancel.
#' \item \strong{FOK} - Fill or Kill.
#' \item \strong{GTD} - Good Till Date.
#' }
#' @param iceberg Logical. If TRUE, then the order is 'iceberg'. FALSE as default.
#' @param expire_date String. \strong{Only for GDT orders}. Maturity date of the order, With format '\%Y-\%m-\%d'.
#' @param display_quantity Numeric. \strong{Only for Iceberg orders}. Indicate the disclosed quantity for the 'iceberg' order.
#' @param cancel_previous Logigal. Optional parameter only valid for Matba Rofex instruments. By default it's FALSE.
#'
#' @return If correct, it will load a tibble.
#'
#' @family order placements functions
trading_new_order <- function(connection, account, symbol, side, quantity, price, order_type='Limit', time_in_force='Day', iceberg=FALSE, expire_date=NULL, display_quantity=NULL, cancel_previous=FALSE) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
market_id <- "ROFX"
if (!market_id %in% c("ROFX")) stop("Invalid 'market_id' parameter")
if (missing(symbol)) stop("You should pick a 'symbol' to move forward.")
if (missing(side)) stop("You should pick a 'side' to move forward.")
if (!side %in% c("Buy", "Sell")) stop("Invalid 'side' parameter")
if (missing(quantity)) stop("You should pick a 'quantity' to move forward.")
if (!order_type %in% c("Limit")) stop("Invalid 'order_type' parameter")
if (order_type == "Limit" && missing(price)) stop("You should pick a 'price' to move forward.")
if (!time_in_force %in% c("Day", "IOC", "FOK", "GTD")) stop("Invalid 'time_in_force' parameter")
if (time_in_force %in% c("GTD") && missing(expire_date)) stop("You should provide an 'expire_date' to move forward.")
if (!missing(expire_date) && !.validate_fecha(date = expire_date)) {
stop("The correct format for 'expire_date' is %Y-%m-%d")
} else if (!missing(expire_date) && .validate_fecha(date = expire_date)) {
expire_date <- gsub(pattern = "-", replacement = "", x = expire_date)
}
if (iceberg == "TRUE" && missing(display_quantity)) stop("You should provide a disclosed quantity")
if (missing(account)) stop("'account' parameter cannot be empty.")
# Query
query <- GET(url = glue(connection@base_url, "/rest/order/newSingleOrder"),
query = list(
marketId = market_id,
symbol = symbol,
side = side,
orderQty = quantity,
price = price,
ordType = order_type,
timeInForce = time_in_force,
iceberg = iceberg,
expireDate = expire_date,
displayQty = if (iceberg == F) {NULL} else {display_quantity},
cancelPrevious = cancel_previous,
account = account
),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else if (content(query)$status != "OK") {
message(glue("Something wrong happend when placing the order.
More info: {content(query)$status}"))
data <- NULL
} else {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"), simplifyDataFrame = T)
data <- data$order %>%
as_tibble()
}
if (!is_null(data)) {
data <- trading_lookup(connection = connection,
lookup_type = "COID",
id = data$clientId,
proprietary = data$proprietary)
}
return(data)
}
#' @title Cancel Order Sent to the Market
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("maturing")}
#' The method \code{trading_cancel_order} should be use to cancel orders that are open on the market.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param id String. \strong{Mandatory} clOrdId given by the \code{trading_orders} method.
#' @param proprietary String. \strong{Mandatory} ID given by the \code{trading_orders} method.
#' \itemize{
#' \item \strong{PBCP}
#' }
#'
#' @return If correct, it will load a tibble.
#'
#' @family order placements functions
trading_cancel_order <- function(connection, id, proprietary) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (missing(id)) stop("You should pick a 'id' to move forward.")
if (missing(proprietary)) stop("You should pick a 'proprietary' to move forward.")
# Query
query <- GET(url = glue(connection@base_url, "/rest/order/cancelById"),
query = list(
clOrdId = id,
proprietary = proprietary
),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else if (content(query)$status != "OK") {
message(glue("Something wrong happend when placing the order.
More info: {content(query)$status}"))
data <- NULL
} else {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"), simplifyDataFrame = T)
data <- data$order %>%
as_tibble()
}
if (!is_null(data)) {
data <- trading_lookup(connection = connection,
lookup_type = "COID",
id = data$clientId,
proprietary = data$proprietary)
}
return(data)
}
# Orders Lookup ---------------------------
#' @title Lookup Order Status
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' The method \code{trading_lookup} is used to check the status of an order.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param lookup_type String. \strong{Mandatory}. Look-up by:
#' \itemize{
#' \item \strong{COID} - Client Order ID.
#' \item \strong{OID} - Order ID.
#' }
#' @param id String. \strong{Mandatory}. ID given by the \code{trading_orders} method. Depends on `lookup_type`.
#' @param proprietary String. ID given by the \code{trading_orders} method. Only for 'lookup_type=COID' In most cases:
#' \itemize{
#' \item \strong{PBCP}
#' }
#'
#' @return If correct, it will load a tibble.
#'
#' @family order management functions
trading_lookup <- function(connection, lookup_type, id, proprietary) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (missing(lookup_type)) stop("You should pick a 'lookup_type' to move forward.")
if (!lookup_type %in% c("COID", "OID")) stop("Invalid 'lookup_type' parameter")
if (missing(id)) stop("You should pick a 'id' to move forward.")
if (lookup_type == "COID" && missing(proprietary)) stop("You should pick a 'proprietary' to move forward.")
# Query
query <- if (lookup_type == "COID") {
GET(url = glue(connection@base_url, "/rest/order/id"),
query = list(
clOrdId = id,
proprietary = proprietary
),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
} else if (lookup_type == "OID") {
GET(url = glue(connection@base_url, "/rest/order/byOrderId"),
query = list(
orderId = id
),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
}
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else if (content(query)$status != "OK") {
message(glue('Something wrong happend when placing the order.\n',
'Info: {message}\n',
'{description}',
message = ifelse(is_null(content(query)$message), "<empty>", content(query)$message),
description = content(query)$description))
data <- NULL
} else {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"), simplifyDataFrame = T)
if (is_empty(data$order)) {
message(glue('No orders placed at the moment.\n'))
data <- NULL
} else {
data <- data$order %>%
unlist(recursive = F) %>%
as_tibble() %>%
rename_all(., .funs = ~ gsub(pattern = "\\.", replacement = "_", x = .)) %>%
mutate(
transactTime = as.POSIXct(transactTime, format = "%Y%m%d-%H:%M:%OS", tz = "America/Buenos_Aires"),
text = trimws(text, which = "both")
)
}
}
return(data)
}
#' @title View Orders
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("stable")}
#' The method \code{trading_orders} is used to see each order sent by Account.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param account String. \strong{Mandatory} Account Number
#'
#' @return If correct, it will load a tibble.
#'
#' @family order management functions
trading_orders <- function(connection, account) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (missing(account)) stop("'account' parameter cannot be empty.")
# Query
query <- GET(url = glue(connection@base_url, "/rest/order/all"),
query = list(
accountId = account
),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else if (content(query)$status != "OK") {
message(glue('Something wrong happend when placing the order.\n',
'Info: {message}\n',
'{description}',
message = content(query)$message,
description = content(query)$description))
data <- NULL
} else {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"), simplifyDataFrame = T)
if (is_empty(data$orders)) {
message(glue('No orders placed at the moment.\n'))
data <- NULL
} else {
data <- data$orders %>%
jsonlite::flatten(., recursive = F) %>%
as_tibble() %>%
rename_all(., .funs = ~ gsub(pattern = "\\.", replacement = "_", x = .)) %>%
mutate(
transactTime = as.POSIXct(transactTime, format = "%Y%m%d-%H:%M:%OS", tz = "America/Buenos_Aires"),
text = trimws(text, which = "both")
)
}
}
return(data)
}
# Account Information ---------------------------
#' @title Account Information
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("maturing")}
#' Access information about the trading account.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param account String. \strong{Mandatory} Account Number
#' @param detailed Logical. Expanded information.
#'
#' @return If correct, it will load a tibble.
#'
#' @family account functions
trading_account <- function(connection, account, detailed = FALSE) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (missing(account)) stop("'account' parameter cannot be empty.")
# Query
query <- if (detailed == FALSE) {
GET(url = glue(connection@base_url, "/rest/risk/position/getPositions/{account}"),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
} else if(detailed == TRUE) {
GET(url = glue(connection@base_url, "/rest/risk/detailedPosition/{account}"),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
}
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else if (content(query)$status != "OK") {
message(glue(content(query)$message, "\n", content(query)$description))
data <- NULL
} else {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"))
if (detailed == FALSE) {
if(length(data$positions)) {1} else {0}
data <- if (length(data$positions)) {
data$positions %>%
jsonlite::flatten(., recursive = F) %>%
mutate_all(., .funs = ~ map(.x = ., function(x) if(is_null(x)) {NA_real_} else {x})) %>%
simplify_all() %>%
as_tibble() %>%
rename_all(.tbl = ., .funs = ~ gsub(pattern = "^instrument\\.", replacement = "", x = .))
} else {
message("No data available at the moment...")
NULL
}
} else if(detailed == TRUE) {
data <- if (length(data$detailedPosition$report)) {
data$detailedPosition %>%
t() %>%
as_tibble() %>%
mutate_if(., .predicate = ~ length(unlist(.)) == 1, .funs = ~ unlist(x = ., recursive = F)) %>%
mutate_if(., .predicate = ~ any(map(.[[1]], .f = ~ length(.)) > 1), .funs = ~ list(unlist(.[[1]], recursive = F))) %>%
mutate(report = list(unlist(report, recursive = F) %>% purrr::map_df(., .f = ~ pluck(., "detailedPositions")) %>% as_tibble())) %>%
mutate(lastCalculation = as.POSIXct(lastCalculation/1000, origin = "1970-01-01", tz = "America/Buenos_Aires")) %>%
mutate_at(.tbl = ., .vars = vars(matches("report")), .funs = ~ modify_depth(.x = ., .depth = 1, ~ mutate_at(.tbl = ., .vars = vars(matches("date")), .funs = ~ as.POSIXct(./1000, origin = "1970-01-01", tz = "America/Buenos_Aires"))))
} else {
message("No data available at the moment...")
NULL
}
}
}
return(data)
}
#' @title Account Report
#'
#' @description
#' \Sexpr[results=rd, stage=render]{lifecycle::badge("maturing")}
#' Access report about your trading account.
#'
#' @param connection S4. \strong{Mandatory} Formal rRofexConnection class object
#' @param account String. \strong{Mandatory} Account Number
#'
#' @return If correct, it will load a tibble.
#'
#' @note
#' To access nested data is strongly recommended the use of `pluck`.
#'
#' @family account functions
#'
#' @examples
#' \dontrun{
#' data %>% pluck("detailedAccountReports", 1, "availableToOperate", 1, "cash")
#' }
trading_account_report <- function(connection, account) {
if (missing(connection)) stop("Connection cannot be empty.")
if (!isS4(connection) || rev(class(connection)) != "rRofexConnection" || !validObject(connection)) stop("The 'connection' must be a valid 'rRofexConnection'.")
if (as.Date(connection@login_date_time) != Sys.Date()) stop("The 'rRofexConnection' is no longer valid. Please log-in again.")
if (missing(account)) stop("'account' parameter cannot be empty.")
# Query
query <- GET(url = glue(connection@base_url, "/rest/risk/accountReport/{account}"),
add_headers(.headers = c("X-Auth-Token" = connection@token)),
user_agent(connection@agent))
if (status_code(query) != 200) {
warn_for_status(query)
message("\r")
data <- NULL
} else {
data <- fromJSON(toJSON(content(query), auto_unbox = T, null = "null"), simplifyDataFrame = T)
data <- if (length(data$accountData)) {
data <- data$accountData %>%
replace_na(data = ., replace = NA) %>%
t() %>%
as_tibble() %>%
mutate_at(.tbl = ., .vars = vars(matches("detailedAccountReports")), .funs = ~ modify_depth(., .depth = 3, ~ replace_na(., replace = NA))) %>%
mutate_if(.tbl = ., .predicate = ~ length(unlist(.)) == 1, .funs = ~ unlist(x = ., recursive = F)) %>%
mutate_at(.tbl = ., .vars = vars(matches("lastCalculation")), .funs = ~ as.POSIXct(./1000, origin = "1970-01-01", tz = "America/Buenos_Aires"))
data <- if (length(data$detailedAccountReports[[1]])) {
data %>%
mutate(detailedAccountReports = list(
select(.data = ., detailedAccountReports) %>%
unlist() %>%
enframe() %>%
separate(data = ., col = name, into = c(glue("X{1:", .$name %>% strsplit(x = ., split = "\\.") %>% map_int(., length) %>% max, "}")), sep = "\\.", fill = "right") %>%
select(-X1) %>%
rename(Term = X2) %>%
mutate(Term = as.integer(Term)) %>%
split(x = .,f = .$X3) %>%
t() %>%
as_tibble() %>%
mutate_at(.tbl = .,
.vars = vars(matches("settlementDate")),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ select(., Term, value) %>%
rename(settlementDate = value) %>%
mutate(settlementDate = as.POSIXct(unlist(settlementDate)/1000, origin = "1970-01-01", tz = "America/Buenos_Aires"))
)
) %>%
mutate_at(.tbl = .,
.vars = vars(matches("availableToOperate")),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ split(x = ., .$X4) %>%
t() %>%
as_tibble(.) %>%
mutate_at(.tbl = .,
.vars = vars(matches("cash", ignore.case = F)),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ select(., Term, X5, X6, value) %>%
pivot_wider(data = ., names_from = c(X5, X6), values_from = value) %>%
rename_all(.tbl = ., .funs = ~ gsub(pattern = "_NA|detailedCash_", replacement = "", x = .)) %>%
rename_all(.tbl = ., .funs = ~ gsub(pattern = " ", replacement = "_", x = .))
)) %>%
mutate_at(.tbl = .,
.vars = vars(matches("movements", ignore.case = F)),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ select(., Term, value) %>%
rename(Movements = value)
)) %>%
mutate_at(.tbl = .,
.vars = vars(matches("credit", ignore.case = F)),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ select(., Term, value) %>%
rename(Credit = value) %>%
mutate(Credit = replace_na(Credit, 0))
)) %>%
mutate_at(.tbl = .,
.vars = vars(matches("total", ignore.case = F)),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ select(., Term, value) %>%
rename(Total = value)
)) %>%
mutate_at(.tbl = .,
.vars = vars(matches("pendingMovements", ignore.case = F)),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ select(., Term, value) %>%
rename(PendingMovements = value)
))
)
) %>%
mutate_at(.tbl = .,
.vars = vars(matches("currencyBalance")),
.funs = ~ modify_depth(.x = .,
.depth = 1,
.f = ~ select(., Term, X5, X6, value) %>%
pivot_wider(data = ., names_from = X5, values_from = value) %>%
rename(Type = X6) %>%
rename_all(.tbl = ., .funs = ~ gsub(pattern = " ", replacement = "_", x = .))
)
))
)
} else {
message("No complete data available at the moment...")
data
}
} else {
message("No data available at the moment...")
NULL
}
}
return(data)
}
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