R/ohcl.R

In quantargo/lemonmarkets: Interface to the lemon.markets trading API

#' Get Market data in OHCL Format
#'
#' @param isin character; ISIN of instrument to be retrieved.
#' @param freq character; Frequency of time series to be retrieved, one of 'daily', 'hourly', 'min'
#' @param interval character; Interval of time series, defaults to 1. E.g. freq = "hourly" and interval = 2 means every to hours.
#' @param from character; Starting date to be retrieved in ISO format YYYY-mm-dd
#' @importFrom httr content
#' @importFrom zoo zoo
#' @examples
#' # Get Data for Deutsche Post
#' ohcl("DE0005552004")
#' @return zoo objects with the columns "open", "high", "low" and "close"
#' @export
ohcl <- function(
  isin,
  freq = "daily",
  interval = 1,
  from = Sys.Date() - 30) {

  request_url <- sprintf("https://%s.lemon.markets/v1/ohlc/d1/?isin=%s&epoch=true&from=%s",
                         data_url(),
                         isin,
                         from)

  dat <- request_lemon(request_url)
  dat <- do.call(rbind, lapply(content(dat)$results, data.frame))

  dat <- zoo(dat[, c("o", "h", "l", "c")], order.by = as.POSIXct(dat[, "t"]/1000, origin = "1970-01-01"))
  colnames(dat) <- c("open", "high", "low", "close")
  dat
}