R/OandaForexLabs.R
In ivanliu1989/RQuantAPI: A collection of functions of API connections from different brokers
Defines functions
EconomicCalendarOanda
HistoricalPositionOanda
SpreadsOanda
COT.Oanda
Autochartist.Oanda
Documented in
Autochartist.Oanda
COT.Oanda
EconomicCalendarOanda
HistoricalPositionOanda
SpreadsOanda
#' Economic Calendar information relevant to an instrument
#'
#' Returns up to 1 year worth of economic calendar information relevant to an instrument.
#' For example, if the instrument is EUR_USD, then all economic information relevant to the Euro and the US Dollar will be included.
#' Some of the entries are strictly news about an important meeting, while other entries may contain economic indicator data.
#'
#' @param ACCOUNT_TYPE "practice", "real" or "sandbox"
#' @param ACCESS_TOKEN The authorization bearer token previously obtained by the client, can be found in oanda environment
#' @param ACCOUNT_ID ID of the Account to create the Order for.
#' @param INSTRUMENTS Instrument to get candlestick data for e.g. "AUD_USD"
#' @param PERIOD Required Period of time to retrieve calendar data for.
#'
#' @details
#' Period includes:\cr
#' - 1 hour\cr
#' - 12 hours\cr
#' - 1 day\cr
#' - 1 week\cr
#' - 1 month\cr
#' - 3 months\cr
#' - 6 months\cr
#' - 1 year\cr
#'
#' @return A \code{data.table}
#'
#' @examples
#' Calenda = EconomicCalendarOanda(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, .oandaEnv$ACCOUNT_ID, INSTRUMENTS = 'AUD_USD', PERIOD = '1 year')
#' Calenda
#'
#' @export
EconomicCalendarOanda <- function(ACCOUNT_TYPE, ACCESS_TOKEN, ACCOUNT_ID, INSTRUMENTS = 'EUR_USD', PERIOD = '1 year'){
# 3600 - 1 hour
# 43200 - 12 hours
# 86400 - 1 day
# 604800 - 1 week
# 2592000 - 1 month
# 7776000 - 3 months
# 15552000 - 6 months
# 31536000 - 1 year
library(data.table)
library(RCurl)
library(jsonlite)
# curl "https://api-fxtrade.oanda.com/labs/v1/calendar?instrument=EUR_USD&period=2592000"
# -H "Authorization: Bearer <access-token>"
lookupPeriod <- list("1 hour" = 3600,
"12 hours" = 43200,
"1 day" = 86400,
"1 week" = 604800,
"1 month" = 2592000,
"3 months" = 7776000,
"6 months" = 15552000,
"1 year" = 31536000
)
PERIOD = lookupPeriod[[tolower(PERIOD)]]
# Generate URL ------------------------------------------------------------
URL = paste0("https://", .oandaEnv$ENVIRONMENTS$api[ACCOUNT_TYPE])
URL = paste0(URL, "/labs/v1/calendar?instrument=", INSTRUMENTS, '&period=', PERIOD)
# Headers -----------------------------------------------------------------
HEADERS <- c(Authorization = paste("Bearer",ACCESS_TOKEN,sep=" "),
'Content-Type' = 'application/json')
parsed.data <- NULL
tryCatch({
json.data <- getURL(URL,cainfo=system.file("CurlSSL","cacert.pem", package="RCurl"),httpheader=HEADERS)
parsed.data <- fromJSON(json.data, simplifyDataFrame = TRUE)
# parsed.data <- subset(parsed.data, select = -c(currency,region,impact))
# parsed.data <- parsed.data[complete.cases(parsed.data[,]),]
parsed.data$timestamp <- as.POSIXct(parsed.data$timestamp,origin = "1970-01-01")
parsed.data <- parsed.data[,c("timestamp", "title", "region", "unit", "currency", "previous","market", "actual", "forecast", "impact")]
setDT(parsed.data)
}, error = function(e) e)
return(parsed.data)
}
#' Historical Position ratios for a supported instrument
#'
#' Returns up to 1 year worth of historical position ratios for a supported instrument.
#'
#' @param ACCOUNT_TYPE "practice", "real" or "sandbox"
#' @param ACCESS_TOKEN The authorization bearer token previously obtained by the client, can be found in oanda environment
#' @param ACCOUNT_ID ID of the Account to create the Order for.
#' @param INSTRUMENTS Instrument to get candlestick data for e.g. "AUD_USD"
#' @param PERIOD Required Period of time to retrieve calendar data for.
#'
#' @details
#' Period includes:\cr
#' - 1 day\cr
#' - 2 days\cr
#' - 1 week\cr
#' - 1 month\cr
#' - 3 months\cr
#' - 6 months\cr
#' - 1 year\cr
#'
#' @return A \code{data.table}
#'
#' @examples
#' HistPos <- HistoricalPositionOanda(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, .oandaEnv$ACCOUNT_ID, INSTRUMENTS = 'AUD_USD', PERIOD = '1 year')
#' HistPos
#'
#' @export
HistoricalPositionOanda <- function(ACCOUNT_TYPE, ACCESS_TOKEN, ACCOUNT_ID, INSTRUMENTS = 'EUR_USD', PERIOD = '1 year')
{
library(data.table)
library(RCurl)
library(jsonlite)
# 86400 - 1 day - 20 minute snapshots
# 172800 - 2 day - 20 minute snapshots
# 604800 - 1 week - 1 hour snapshots
# 2592000 - 1 month - 3 hour snapshots
# 7776000 - 3 months - 3 hour snapshots
# 15552000 - 6 months - 3 hour snapshots
# 31536000 - 1 year - daily snapshots
lookupPeriod <- list("1 day" = 86400,
"2 days" = 172800,
"1 week" = 604800,
"1 month" = 2592000,
"3 months" = 7776000,
"6 months" = 15552000,
"1 year" = 31536000
)
PERIOD = lookupPeriod[[tolower(PERIOD)]]
# Generate URL ------------------------------------------------------------
URL = paste0("https://", .oandaEnv$ENVIRONMENTS$api[ACCOUNT_TYPE])
URL = paste0(URL, "/labs/v1/historical_position_ratios?instrument=", INSTRUMENTS, '&period=', PERIOD)
# Headers -----------------------------------------------------------------
HEADERS <- c(Authorization = paste("Bearer",ACCESS_TOKEN,sep=" "),'Content-Type' = 'application/json')
parsed.data <- NULL
tryCatch({
json.data <- getURL(URL,cainfo=system.file("CurlSSL","cacert.pem", package="RCurl"),httpheader=HEADERS)
parsed.data <- data.frame(fromJSON(json.data))
parsed.data[,2] <- as.POSIXct(parsed.data[,2], origin = "1970-01-01")
names(parsed.data) <- c("label","timestamp","long_position_ratio","exchange_rate")
setDT(parsed.data)
}, error = function(e) e)
return(parsed.data)
}
#' Spread information for a supported instrument
#'
#' Returns up to 1 year worth of spread information for a supported instrument.
#' The returned data is divided in 15 minute intervals.
#' For each period, we provide the time weighted average, minimum, and maximum spread.
#'
#' @param ACCOUNT_TYPE "practice", "real" or "sandbox"
#' @param ACCESS_TOKEN The authorization bearer token previously obtained by the client, can be found in oanda environment
#' @param ACCOUNT_ID ID of the Account to create the Order for.
#' @param INSTRUMENTS Instrument to get candlestick data for e.g. "AUD_USD"
#' @param PERIOD Required Period of time to retrieve calendar data for.
#'
#' @details
#' Period includes:\cr
#' - 1 hour\cr
#' - 12 hours\cr
#' - 1 day\cr
#' - 1 week\cr
#' - 1 month\cr
#' - 3 months\cr
#' - 6 months\cr
#' - 1 year\cr
#'
#' @return A \code{list}
#'
#' @examples
#' spreads = SpreadsOanda(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, .oandaEnv$ACCOUNT_ID, INSTRUMENTS = 'AUD_USD', PERIOD = '1 year')
#' spreads
#'
#' @export
SpreadsOanda <- function(ACCOUNT_TYPE, ACCESS_TOKEN, ACCOUNT_ID, INSTRUMENTS = 'EUR_USD', PERIOD = '1 year')
{
library(data.table)
library(RCurl)
library(jsonlite)
# 86400 - 1 day - 20 minute snapshots
# 172800 - 2 day - 20 minute snapshots
# 604800 - 1 week - 1 hour snapshots
# 2592000 - 1 month - 3 hour snapshots
# 7776000 - 3 months - 3 hour snapshots
# 15552000 - 6 months - 3 hour snapshots
# 31536000 - 1 year - daily snapshots
lookupPeriod <- list("1 hour" = 3600,
"12 hours" = 43200,
"1 day" = 86400,
"1 week" = 604800,
"1 month" = 2592000,
"3 months" = 7776000,
"6 months" = 15552000,
"1 year" = 31536000
)
PERIOD = lookupPeriod[[tolower(PERIOD)]]
# Generate URL ------------------------------------------------------------
URL = paste0("https://", .oandaEnv$ENVIRONMENTS$api[ACCOUNT_TYPE])
URL = paste0(URL, "/labs/v1/spreads?instrument=", INSTRUMENTS, '&period=', PERIOD)
# Headers -----------------------------------------------------------------
HEADERS <- c(Authorization = paste("Bearer",ACCESS_TOKEN,sep=" "),'Content-Type' = 'application/json')
parsed.data <- NULL
tryCatch({
json.data <- getURL(URL,cainfo=system.file("CurlSSL","cacert.pem", package="RCurl"),httpheader=HEADERS)
parsed.data <- fromJSON(json.data)
spread.avg <- data.frame(parsed.data$avg); names(spread.avg) <- c("timestamp", "Avg_Spreads"); spread.avg$timestamp <- as.POSIXct(spread.avg$timestamp, origin = "1970-01-01")
spread.min <- data.frame(parsed.data$min); names(spread.min) <- c("timestamp", "Min_Spreads"); spread.min$timestamp <- as.POSIXct(spread.min$timestamp, origin = "1970-01-01")
spread.max <- data.frame(parsed.data$max); names(spread.max) <- c("timestamp", "Max_Spreads"); spread.max$timestamp <- as.POSIXct(spread.max$timestamp, origin = "1970-01-01")
setDT(spread.max)
setDT(spread.min)
setDT(spread.avg)
}, error = function(e) e)
return(list(spread.avg = spread.avg,
spread.min = spread.min,
spread.max = spread.max))
}
#' Commitments of Traders data from the CFTC for supported currencies
#'
#' Returns up to 4 years worth of Commitments of Traders data from the CFTC for supported currencies.
#' This is essentially CFTC’s Non-Commercial order book data.
#'
#' @param ACCOUNT_TYPE "practice", "real" or "sandbox"
#' @param ACCESS_TOKEN The authorization bearer token previously obtained by the client, can be found in oanda environment
#' @param INSTRUMENTS Instrument to get candlestick data for e.g. "AUD_USD"
#'
#' @return A \code{data.table}
#'
#' @examples
#' cot = COT.Oanda(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, INSTRUMENTS = 'AUD_USD')
#' cot
#'
#' @export
COT.Oanda <- function(ACCOUNT_TYPE, ACCESS_TOKEN, INSTRUMENTS = 'EUR_USD')
{
library(data.table)
library(RCurl)
library(jsonlite)
# Generate URL ------------------------------------------------------------
URL = paste0("https://", .oandaEnv$ENVIRONMENTS$api[ACCOUNT_TYPE])
URL = paste0(URL, "/labs/v1/commitments_of_traders?instrument=", INSTRUMENTS)
# Headers -----------------------------------------------------------------
HEADERS <- c(Authorization = paste("Bearer",ACCESS_TOKEN,sep=" "),'Content-Type' = 'application/json')
parsed.data <- NULL
tryCatch({
json.data <- getURL(URL,cainfo=system.file("CurlSSL","cacert.pem", package="RCurl"),httpheader=HEADERS)
parsed.data <- fromJSON(json.data)[[1]]
names(parsed.data) <- c("Contract_Size", "Non_Commercial_Short", "Date", "Price", "Non_Commercial_Long", "Overall Interest")
parsed.data <- parsed.data[, c("Date", "Price", "Non_Commercial_Long", "Non_Commercial_Short", "Overall Interest", "Contract_Size")]
setDT(parsed.data)
parsed.data$Date <- as.POSIXct(parsed.data$Date,origin = "1970-01-01")
}, error = function(e) e)
return(parsed.data)
}
#' Returns ‘Our Favourites’ signals from Autochartist.
#'
#' Returns ‘Our Favourites’ signals from Autochartist. These signals can be a Chart Pattern, or a Key Level.
#' Chart Patterns consists of an upper and a lower line forming a pattern, the pattern’s end time, and the prediction price box.
#' Key Levels have only a price level.
#'
#' @param ACCOUNT_TYPE "practice", "real" or "sandbox"
#' @param ACCESS_TOKEN The authorization bearer token previously obtained by the client, can be found in oanda environment
#' @param INSTRUMENTS Instrument to get candlestick data for e.g. "AUD_USD"
#' @param PERIOD Required Period of time to retrieve calendar data for.
#'
#' @details
#' Period includes:\cr
#' - 4 hours\cr
#' - 8 hours\cr
#' - 12 hours\cr
#' - 1 day\cr
#' - 1 week\cr
#'
#' @return A \code{list}
#'
#' @examples
#' signals = Autochartist.Oanda(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, INSTRUMENTS = 'AUD_USD', PERIOD = '1 week')
#' signals
#'
#' @export
Autochartist.Oanda <- function(ACCOUNT_TYPE, ACCESS_TOKEN, INSTRUMENTS = 'EUR_USD', PERIOD = '1 week')
{
library(data.table)
library(RCurl)
library(jsonlite)
# 14400 - 4 hours
# 28800 - 8 hours
# 43200 - 12 hours
# 86400 - 1 day
# 604800 - 1 week
# keylevel
# chartpattern
lookupPeriod <- list("4 hours" = 14400,
"8 hours" = 28800,
"12 hours" = 43200,
"1 day" = 86400,
"1 week" = 604800
)
PERIOD = lookupPeriod[[tolower(PERIOD)]]
# Generate URL ------------------------------------------------------------
URL = paste0("https://", .oandaEnv$ENVIRONMENTS$api[ACCOUNT_TYPE])
URL1 = paste0(URL, "/labs/v1/signal/autochartistinstrument=", INSTRUMENTS, '&period=', PERIOD, "&type=keylevel")
URL2 = paste0(URL, "/labs/v1/signal/autochartistinstrument=", INSTRUMENTS, '&period=', PERIOD, "&type=chartpattern")
# Headers -----------------------------------------------------------------
HEADERS <- c(Authorization = paste("Bearer",ACCESS_TOKEN,sep=" "),'Content-Type' = 'application/json')
tryCatch({
json.data1 <- getURL(URL1,cainfo=system.file("CurlSSL","cacert.pem", package="RCurl"),httpheader=HEADERS)
json.data2 <- getURL(URL2,cainfo=system.file("CurlSSL","cacert.pem", package="RCurl"),httpheader=HEADERS)
parsed.data1 <- fromJSON(json.data1, simplifyDataFrame = T, flatten = T)
parsed.data2 <- fromJSON(json.data2, simplifyDataFrame = T, flatten = T)
provider.keylevel <- parsed.data1$provider
signals.keylevel <- data.frame(parsed.data1$signals)
# names(signals.keylevel) <- c("type", "instrument", "id", "patternendtime", "prediction_")
provider.chartpattern <- parsed.data2$provider
signals.chartpattern <- data.frame(parsed.data2$signals)
}, error = function(e) e)
return(list(signals.keylevel = signals.keylevel,
signals.chartpattern = signals.chartpattern))
}
ivanliu1989/RQuantAPI documentation built on Sept. 13, 2019, 11:54 a.m.
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Defines functions EconomicCalendarOanda HistoricalPositionOanda SpreadsOanda COT.Oanda Autochartist.Oanda
Documented in Autochartist.Oanda COT.Oanda EconomicCalendarOanda HistoricalPositionOanda SpreadsOanda
#' Economic Calendar information relevant to an instrument
#'
#' Returns up to 1 year worth of economic calendar information relevant to an instrument.
#' For example, if the instrument is EUR_USD, then all economic information relevant to the Euro and the US Dollar will be included.
#' Some of the entries are strictly news about an important meeting, while other entries may contain economic indicator data.
#'
#' @param ACCOUNT_TYPE "practice", "real" or "sandbox"
#' @param ACCESS_TOKEN The authorization bearer token previously obtained by the client, can be found in oanda environment
#' @param ACCOUNT_ID ID of the Account to create the Order for.
#' @param INSTRUMENTS Instrument to get candlestick data for e.g. "AUD_USD"
#' @param PERIOD Required Period of time to retrieve calendar data for.
#'
#' @details
#' Period includes:\cr
#' - 1 hour\cr
#' - 12 hours\cr
#' - 1 day\cr
#' - 1 week\cr
#' - 1 month\cr
#' - 3 months\cr
#' - 6 months\cr
#' - 1 year\cr
#'
#' @return A \code{data.table}
#'
#' @examples
#' Calenda = EconomicCalendarOanda(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, .oandaEnv$ACCOUNT_ID, INSTRUMENTS = 'AUD_USD', PERIOD = '1 year')
#' Calenda
#'
#' @export
EconomicCalendarOanda <- function(ACCOUNT_TYPE, ACCESS_TOKEN, ACCOUNT_ID, INSTRUMENTS = 'EUR_USD', PERIOD = '1 year'){
# 3600 - 1 hour
# 43200 - 12 hours
# 86400 - 1 day
# 604800 - 1 week
# 2592000 - 1 month
# 7776000 - 3 months
# 15552000 - 6 months
# 31536000 - 1 year
library(data.table)
library(RCurl)
library(jsonlite)
# curl "https://api-fxtrade.oanda.com/labs/v1/calendar?instrument=EUR_USD&period=2592000"
# -H "Authorization: Bearer <access-token>"
lookupPeriod <- list("1 hour" = 3600,
"12 hours" = 43200,
"1 day" = 86400,
"1 week" = 604800,
"1 month" = 2592000,
"3 months" = 7776000,
"6 months" = 15552000,
"1 year" = 31536000
)
PERIOD = lookupPeriod[[tolower(PERIOD)]]
# Generate URL ------------------------------------------------------------
URL = paste0("https://", .oandaEnv$ENVIRONMENTS$api[ACCOUNT_TYPE])
URL = paste0(URL, "/labs/v1/calendar?instrument=", INSTRUMENTS, '&period=', PERIOD)
# Headers -----------------------------------------------------------------
HEADERS <- c(Authorization = paste("Bearer",ACCESS_TOKEN,sep=" "),
'Content-Type' = 'application/json')
parsed.data <- NULL
tryCatch({
json.data <- getURL(URL,cainfo=system.file("CurlSSL","cacert.pem", package="RCurl"),httpheader=HEADERS)
parsed.data <- fromJSON(json.data, simplifyDataFrame = TRUE)
# parsed.data <- subset(parsed.data, select = -c(currency,region,impact))
# parsed.data <- parsed.data[complete.cases(parsed.data[,]),]
parsed.data$timestamp <- as.POSIXct(parsed.data$timestamp,origin = "1970-01-01")
parsed.data <- parsed.data[,c("timestamp", "title", "region", "unit", "currency", "previous","market", "actual", "forecast", "impact")]
setDT(parsed.data)
}, error = function(e) e)
return(parsed.data)
}
#' Historical Position ratios for a supported instrument
#'
#' Returns up to 1 year worth of historical position ratios for a supported instrument.
#'
#' @param ACCOUNT_TYPE "practice", "real" or "sandbox"
#' @param ACCESS_TOKEN The authorization bearer token previously obtained by the client, can be found in oanda environment
#' @param ACCOUNT_ID ID of the Account to create the Order for.
#' @param INSTRUMENTS Instrument to get candlestick data for e.g. "AUD_USD"
#' @param PERIOD Required Period of time to retrieve calendar data for.
#'
#' @details
#' Period includes:\cr
#' - 1 day\cr
#' - 2 days\cr
#' - 1 week\cr
#' - 1 month\cr
#' - 3 months\cr
#' - 6 months\cr
#' - 1 year\cr
#'
#' @return A \code{data.table}
#'
#' @examples
#' HistPos <- HistoricalPositionOanda(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, .oandaEnv$ACCOUNT_ID, INSTRUMENTS = 'AUD_USD', PERIOD = '1 year')
#' HistPos
#'
#' @export
HistoricalPositionOanda <- function(ACCOUNT_TYPE, ACCESS_TOKEN, ACCOUNT_ID, INSTRUMENTS = 'EUR_USD', PERIOD = '1 year')
{
library(data.table)
library(RCurl)
library(jsonlite)
# 86400 - 1 day - 20 minute snapshots
# 172800 - 2 day - 20 minute snapshots
# 604800 - 1 week - 1 hour snapshots
# 2592000 - 1 month - 3 hour snapshots
# 7776000 - 3 months - 3 hour snapshots
# 15552000 - 6 months - 3 hour snapshots
# 31536000 - 1 year - daily snapshots
lookupPeriod <- list("1 day" = 86400,
"2 days" = 172800,
"1 week" = 604800,
"1 month" = 2592000,
"3 months" = 7776000,
"6 months" = 15552000,
"1 year" = 31536000
)
PERIOD = lookupPeriod[[tolower(PERIOD)]]
# Generate URL ------------------------------------------------------------
URL = paste0("https://", .oandaEnv$ENVIRONMENTS$api[ACCOUNT_TYPE])
URL = paste0(URL, "/labs/v1/historical_position_ratios?instrument=", INSTRUMENTS, '&period=', PERIOD)
# Headers -----------------------------------------------------------------
HEADERS <- c(Authorization = paste("Bearer",ACCESS_TOKEN,sep=" "),'Content-Type' = 'application/json')
parsed.data <- NULL
tryCatch({
json.data <- getURL(URL,cainfo=system.file("CurlSSL","cacert.pem", package="RCurl"),httpheader=HEADERS)
parsed.data <- data.frame(fromJSON(json.data))
parsed.data[,2] <- as.POSIXct(parsed.data[,2], origin = "1970-01-01")
names(parsed.data) <- c("label","timestamp","long_position_ratio","exchange_rate")
setDT(parsed.data)
}, error = function(e) e)
return(parsed.data)
}
#' Spread information for a supported instrument
#'
#' Returns up to 1 year worth of spread information for a supported instrument.
#' The returned data is divided in 15 minute intervals.
#' For each period, we provide the time weighted average, minimum, and maximum spread.
#'
#' @param ACCOUNT_TYPE "practice", "real" or "sandbox"
#' @param ACCESS_TOKEN The authorization bearer token previously obtained by the client, can be found in oanda environment
#' @param ACCOUNT_ID ID of the Account to create the Order for.
#' @param INSTRUMENTS Instrument to get candlestick data for e.g. "AUD_USD"
#' @param PERIOD Required Period of time to retrieve calendar data for.
#'
#' @details
#' Period includes:\cr
#' - 1 hour\cr
#' - 12 hours\cr
#' - 1 day\cr
#' - 1 week\cr
#' - 1 month\cr
#' - 3 months\cr
#' - 6 months\cr
#' - 1 year\cr
#'
#' @return A \code{list}
#'
#' @examples
#' spreads = SpreadsOanda(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, .oandaEnv$ACCOUNT_ID, INSTRUMENTS = 'AUD_USD', PERIOD = '1 year')
#' spreads
#'
#' @export
SpreadsOanda <- function(ACCOUNT_TYPE, ACCESS_TOKEN, ACCOUNT_ID, INSTRUMENTS = 'EUR_USD', PERIOD = '1 year')
{
library(data.table)
library(RCurl)
library(jsonlite)
# 86400 - 1 day - 20 minute snapshots
# 172800 - 2 day - 20 minute snapshots
# 604800 - 1 week - 1 hour snapshots
# 2592000 - 1 month - 3 hour snapshots
# 7776000 - 3 months - 3 hour snapshots
# 15552000 - 6 months - 3 hour snapshots
# 31536000 - 1 year - daily snapshots
lookupPeriod <- list("1 hour" = 3600,
"12 hours" = 43200,
"1 day" = 86400,
"1 week" = 604800,
"1 month" = 2592000,
"3 months" = 7776000,
"6 months" = 15552000,
"1 year" = 31536000
)
PERIOD = lookupPeriod[[tolower(PERIOD)]]
# Generate URL ------------------------------------------------------------
URL = paste0("https://", .oandaEnv$ENVIRONMENTS$api[ACCOUNT_TYPE])
URL = paste0(URL, "/labs/v1/spreads?instrument=", INSTRUMENTS, '&period=', PERIOD)
# Headers -----------------------------------------------------------------
HEADERS <- c(Authorization = paste("Bearer",ACCESS_TOKEN,sep=" "),'Content-Type' = 'application/json')
parsed.data <- NULL
tryCatch({
json.data <- getURL(URL,cainfo=system.file("CurlSSL","cacert.pem", package="RCurl"),httpheader=HEADERS)
parsed.data <- fromJSON(json.data)
spread.avg <- data.frame(parsed.data$avg); names(spread.avg) <- c("timestamp", "Avg_Spreads"); spread.avg$timestamp <- as.POSIXct(spread.avg$timestamp, origin = "1970-01-01")
spread.min <- data.frame(parsed.data$min); names(spread.min) <- c("timestamp", "Min_Spreads"); spread.min$timestamp <- as.POSIXct(spread.min$timestamp, origin = "1970-01-01")
spread.max <- data.frame(parsed.data$max); names(spread.max) <- c("timestamp", "Max_Spreads"); spread.max$timestamp <- as.POSIXct(spread.max$timestamp, origin = "1970-01-01")
setDT(spread.max)
setDT(spread.min)
setDT(spread.avg)
}, error = function(e) e)
return(list(spread.avg = spread.avg,
spread.min = spread.min,
spread.max = spread.max))
}
#' Commitments of Traders data from the CFTC for supported currencies
#'
#' Returns up to 4 years worth of Commitments of Traders data from the CFTC for supported currencies.
#' This is essentially CFTC’s Non-Commercial order book data.
#'
#' @param ACCOUNT_TYPE "practice", "real" or "sandbox"
#' @param ACCESS_TOKEN The authorization bearer token previously obtained by the client, can be found in oanda environment
#' @param INSTRUMENTS Instrument to get candlestick data for e.g. "AUD_USD"
#'
#' @return A \code{data.table}
#'
#' @examples
#' cot = COT.Oanda(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, INSTRUMENTS = 'AUD_USD')
#' cot
#'
#' @export
COT.Oanda <- function(ACCOUNT_TYPE, ACCESS_TOKEN, INSTRUMENTS = 'EUR_USD')
{
library(data.table)
library(RCurl)
library(jsonlite)
# Generate URL ------------------------------------------------------------
URL = paste0("https://", .oandaEnv$ENVIRONMENTS$api[ACCOUNT_TYPE])
URL = paste0(URL, "/labs/v1/commitments_of_traders?instrument=", INSTRUMENTS)
# Headers -----------------------------------------------------------------
HEADERS <- c(Authorization = paste("Bearer",ACCESS_TOKEN,sep=" "),'Content-Type' = 'application/json')
parsed.data <- NULL
tryCatch({
json.data <- getURL(URL,cainfo=system.file("CurlSSL","cacert.pem", package="RCurl"),httpheader=HEADERS)
parsed.data <- fromJSON(json.data)[[1]]
names(parsed.data) <- c("Contract_Size", "Non_Commercial_Short", "Date", "Price", "Non_Commercial_Long", "Overall Interest")
parsed.data <- parsed.data[, c("Date", "Price", "Non_Commercial_Long", "Non_Commercial_Short", "Overall Interest", "Contract_Size")]
setDT(parsed.data)
parsed.data$Date <- as.POSIXct(parsed.data$Date,origin = "1970-01-01")
}, error = function(e) e)
return(parsed.data)
}
#' Returns ‘Our Favourites’ signals from Autochartist.
#'
#' Returns ‘Our Favourites’ signals from Autochartist. These signals can be a Chart Pattern, or a Key Level.
#' Chart Patterns consists of an upper and a lower line forming a pattern, the pattern’s end time, and the prediction price box.
#' Key Levels have only a price level.
#'
#' @param ACCOUNT_TYPE "practice", "real" or "sandbox"
#' @param ACCESS_TOKEN The authorization bearer token previously obtained by the client, can be found in oanda environment
#' @param INSTRUMENTS Instrument to get candlestick data for e.g. "AUD_USD"
#' @param PERIOD Required Period of time to retrieve calendar data for.
#'
#' @details
#' Period includes:\cr
#' - 4 hours\cr
#' - 8 hours\cr
#' - 12 hours\cr
#' - 1 day\cr
#' - 1 week\cr
#'
#' @return A \code{list}
#'
#' @examples
#' signals = Autochartist.Oanda(.oandaEnv$ACCOUNT_TYPE, .oandaEnv$ACCESS_TOKEN, INSTRUMENTS = 'AUD_USD', PERIOD = '1 week')
#' signals
#'
#' @export
Autochartist.Oanda <- function(ACCOUNT_TYPE, ACCESS_TOKEN, INSTRUMENTS = 'EUR_USD', PERIOD = '1 week')
{
library(data.table)
library(RCurl)
library(jsonlite)
# 14400 - 4 hours
# 28800 - 8 hours
# 43200 - 12 hours
# 86400 - 1 day
# 604800 - 1 week
# keylevel
# chartpattern
lookupPeriod <- list("4 hours" = 14400,
"8 hours" = 28800,
"12 hours" = 43200,
"1 day" = 86400,
"1 week" = 604800
)
PERIOD = lookupPeriod[[tolower(PERIOD)]]
# Generate URL ------------------------------------------------------------
URL = paste0("https://", .oandaEnv$ENVIRONMENTS$api[ACCOUNT_TYPE])
URL1 = paste0(URL, "/labs/v1/signal/autochartistinstrument=", INSTRUMENTS, '&period=', PERIOD, "&type=keylevel")
URL2 = paste0(URL, "/labs/v1/signal/autochartistinstrument=", INSTRUMENTS, '&period=', PERIOD, "&type=chartpattern")
# Headers -----------------------------------------------------------------
HEADERS <- c(Authorization = paste("Bearer",ACCESS_TOKEN,sep=" "),'Content-Type' = 'application/json')
tryCatch({
json.data1 <- getURL(URL1,cainfo=system.file("CurlSSL","cacert.pem", package="RCurl"),httpheader=HEADERS)
json.data2 <- getURL(URL2,cainfo=system.file("CurlSSL","cacert.pem", package="RCurl"),httpheader=HEADERS)
parsed.data1 <- fromJSON(json.data1, simplifyDataFrame = T, flatten = T)
parsed.data2 <- fromJSON(json.data2, simplifyDataFrame = T, flatten = T)
provider.keylevel <- parsed.data1$provider
signals.keylevel <- data.frame(parsed.data1$signals)
# names(signals.keylevel) <- c("type", "instrument", "id", "patternendtime", "prediction_")
provider.chartpattern <- parsed.data2$provider
signals.chartpattern <- data.frame(parsed.data2$signals)
}, error = function(e) e)
return(list(signals.keylevel = signals.keylevel,
signals.chartpattern = signals.chartpattern))
}
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