R/priceReq.R

In zumthor86/OptionsAnalytics: Provides advanced options strategies analytics

#' Request number of historical prices
#'
#' @param epic Instrument ID
#' @param resolution Time interval of prices eg. "HOUR", "DAY", "MINUTE_15"
#' @param n_prices Number of prices to request
#' @param price_type "bid" or "ask"
#'
#' @return Dataframe of historical prices
#' @export
#'
#' @importFrom assertthat assert_that
#' @importFrom purrr map
#' @importFrom purrr map_int
#' @importFrom purrr map_dbl
#' @importFrom purrr pluck
#' @importFrom dplyr bind_cols
#' @importFrom lubridate ymd_hms
#' @importFrom httr content
#'
#' @examples
request_prices <-
  function(epic = "IX.D.SPTRD.DAILY.IP",
             resolution = "HOUR",
             n_prices = 5,
             price_type = "bid") {
    assertthat::assert_that(is.numeric(n_prices), msg = "n_prices must be an integer")

    allowable_resolutions <- c(
      "SECOND", "MINUTE", "MINUTE_2", "MINUTE_3", "MINUTE_5",
      "MINUTE_10", "MINUTE_15", "MINUTE_30", "HOUR", "HOUR_2",
      "HOUR_3", "HOUR_4", "DAY", "WEEK", "MONTH"
    )

    is_allowed <- (resolution %in% allowable_resolutions)

    assertthat::assert_that(is_allowed, msg = "Invalid price resolution")

    response <- make_ig_request(
      api_version = 3,
      path = file.path("prices", epic),
      query = list(
        "resolution" = resolution,
        "max" = round(n_prices),
        "pageSize" = round(n_prices)
      )
    )

    prcs <- httr::content(response)

    prices <- parse_prices(prcs, price_type)

    dplyr::bind_cols(prices,
      epic = rlang::rep_along(prices$close, epic)
    )
  }

#' Parse IG Index prices
#'
#' @param prices_response Response from IG index
#' @param price_type "Bid" or "ask"
#'
#' @return Dataframe of historical prices
#'
#' @examples
parse_prices <- function(prices_response,
                         price_type) {
  price_names <- c(
    "closePrice",
    "openPrice",
    "highPrice",
    "lowPrice"
  )

  prices <- purrr::map_depth(prices_response$prices, 2, ~ pluck(., price_type, .default = 0)) %>%
    dplyr::bind_rows() %>%
    dplyr::select(dplyr::one_of(price_names))

  date_time <- purrr::map_chr(prices_response$prices, "snapshotTimeUTC") %>%
    lubridate::ymd_hms()

  volume <- purrr::map_int(prices_response$prices, "lastTradedVolume")

  names(prices) <- c("close", "open", "high", "low")

  dplyr::bind_cols(
    date_time = date_time,
    prices,
    volume = volume
  )
}


#' Request prices for a given range
#'
#' @param epic Instrument epic
#' @param start_time Datetime given as character in ISO8601 format UTC time, start period
#' @param end_time Datetime given as character in ISO8601 format UTC time, end period
#' @param price_type "Bid" or "Ask"
#'
#' @return Dataframe of prices
#' @export
#'
#' @importFrom rlang rep_along
#'
#' @examples
request_prices_range <- function(epic, start_time, end_time, price_type = "bid") {
  response <- make_ig_request(
    path = file.path("prices", epic),
    query = list(
      "resolution" = "HOUR",
      "from" = format_price_request(start_time),
      "to" = format_price_request(end_time),
      "max" = 1000,
      "pageSize" = 1000
    ),
    api_version = 3
  )

  prcs <- httr::content(response)

  prices <- parse_prices(prcs, price_type)

  dplyr::bind_cols(prices,
    epic = rlang::rep_along(prices$close, epic)
  )
}