getSymbols.Algopack {rusquant} | R Documentation |
Download AlgoPack data from MOEX
Description
Download historical market data from AlgoPack for a given symbol and time range.
Usage
getSymbols.Algopack(
Symbols = "",
env = globalenv(),
from = Sys.Date() - 30,
to = Sys.Date(),
date = Sys.Date(),
verbose = FALSE,
type = "tradestats",
market = "eq",
auto.assign = FALSE,
...
)
Arguments
Symbols |
a character vector of AlgoPack symbols to download data for. |
env |
environment where to create the downloaded data object. |
from |
a character string indicating the start date of the data to download, in YYYY-MM-DD format. |
to |
a character string indicating the end date of the data to download, in YYYY-MM-DD format. |
date |
a character string indicating the date of the data to download, in YYYY-MM-DD format. |
verbose |
a logical indicating whether to print the response details or not. |
type |
a character string indicating the AlgoPack type possible values are c('tradestats','orderstats','obstats','hi2','oi'), default 'tradestats'. |
market |
a character string indicating the market type possible values are c('eq','fo','fx'), default 'eq'. |
auto.assign |
a logical indicating whether to automatically assign the downloaded data to the global environment. |
... |
additional arguments passed to getSymbols.AlgoPack |
Value
returns an data.table object containing financial data
Note
Not for the faint of heart. All profits and losses related are yours and yours alone. If you don't like it, write it yourself.
Author(s)
Vyacheslav Arbuzov
Examples
getSymbols.Algopack('SBER',from = '2023-10-24',to='2023-11-04')
# open interest for available futures
getSymbols.Algopack(date = '2024-05-10',type = 'oi')
# open interest for Si futures
getSymbols.Algopack(Symbols = 'Si',type = 'oi')
# market concentration for available stocks
#getSymbols.Algopack(date = '2024-05-10',type = 'hi2')
# market concentration for current stock
#devgetSymbols.Algopack('SBER',from = '2023-10-24',to='2023-11-04',type = 'hi2')
# market concentration for available fx
#getSymbols.Algopack(date = '2024-05-10',type = 'hi2',market='fx')
# market concentration for available futures
#getSymbols.Algopack(date = '2024-05-10',type = 'hi2',market='fo')
# market concentration for CNYRUB_TOM
#getSymbols.Algopack(Symbols = 'CNYRUB_TOM',type = 'hi2',market='fx')