Type: Package
Title: Interact with Moscow Exchange Informational and Statistical Server ('ISS')
Version: 0.3.0
Maintainer: Dmitry Zotikov <dmitry.zotikov@ungrund.org>
Description: This is a thin wrapper around the 'MOEX' 'ISS' REST interface, see https://iss.moex.com. It allows to quickly fetch price candles for a particular security, obtain its profile information and so on.
License: GPL-3
Language: en-GB
Encoding: UTF-8
RoxygenNote: 7.2.3
Depends: R (≥ 4.2.0)
Imports: glue, purrr, httr, jsonlite, tibble, readr, rlang, stringr, assertthat, cli, dplyr, lubridate, ggplot2
Suggests: testthat, knitr, rmarkdown
URL: https://github.com/x1o/moexer
BugReports: https://github.com/x1o/moexer/issues
NeedsCompilation: no
Packaged: 2024-03-12 11:23:11 UTC; xio
Author: Dmitry Zotikov [aut, cre, cph]
Repository: CRAN
Date/Publication: 2024-03-12 12:30:03 UTC

A Decorator for Fetching All Available Data

Description

A decorator for query_iss to increase the start parameter in a loop until no more data is received.

Usage

fetching_fully(query_iss_fn)

Arguments

query_iss_fn

A function object corresponding to query_iss.

Value

Decorated query_iss_fn.

Examples

## Not run: 
fetching_fully(query_iss)(
    'engines/stock/markets/shares/boards/TQBR/securities/SBER/candles',
    params = list(
        from = URLencode('2020-01-10 10:00:00'),
        till = URLencode('2020-01-10 23:59:59'),
        interval = 1,
        start = 10
    )
)

## End(Not run)

A Decorator for Following Response Cursor

Description

Iterative queries will be issued to fetch all section pages as indicated by ⁠<section>.cursor⁠; the cursor section itself will be removed from the response.

Usage

following_cursor(query_iss_fn)

Arguments

query_iss_fn

A function object corresponding to query_iss.

Value

Decorated query_iss_fn.

Examples

## Not run: 
following_cursor(query_iss)(
    'history/engines/stock/markets/shares/securities/MOEX',
    params = list(
        from = '2021-09-01',
        till = '2021-12-31',
        start = 10
    )
)

## End(Not run)

Get Possible Candle from-till Values for a Security

Description

REST path: ⁠/engines/[engine]/markets/[market]/boards/[board]/securities/[security]/candleborders⁠ (see http://iss.moex.com/iss/reference/48).

Usage

get_candle_borders(secid, ...)

Arguments

secid

A vector of security ID's.

...

Further arguments to query_iss.

Details

To get the engine-market-board path a separate get_security_info query is made and the board with is_primary = 1 is selected.

Value

A tibble with possible from-till values for each interval; additionally the intervals-durations mapping tibble is joined.

Examples

## Not run: 
get_candle_borders(secid = c('SBER', 'FXGD'))

## End(Not run)

Get Candle Durations-Intervals Mapping

Description

REST path: ⁠/index?iss.only=durations⁠ (see http://iss.moex.com/iss/reference/28)

Usage

get_candle_durations(...)

Arguments

...

Further arguments to query_iss.

Value

A tibble with the durations-intervals mapping.

Examples

## Not run: 
get_candle_durations()

## End(Not run)

Get Candles for a Set of Securities

Description

REST path: ⁠/engines/[engine]/markets/[market]/boards/[board]/securities/[security]/candles⁠ (see http://iss.moex.com/iss/reference/46).

Usage

get_candles(secid, from, till = NULL, interval = "monthly", ...)

Arguments

secid

A vector of security ID's.

from

A date or a datetime object, or something that can be coerced to it with readr::parse_date or readr::parse_datetime.

till

A date or a datetime object, or something that can be coerced to it with readr::parse_date or readr::parse_datetime, or NULL. If NULL, interpreted by ISS as "today".

interval

A character value specifying the candle duration (see moexer.candle.intervals option.)

...

Further arguments to query_iss.

Details

To get the engine-market-board path a separate get_security_info query is made and the board with is_primary = 1 is selected.

All candles for the specified period will be fetched, see fetching_fully.

Value

A tibble as with candles in OHLCV format, prepended with a column containing the corresponding security ID.

Examples

## Not run: 
# Get daily candles for `SBER`, `FXGD` from 2020-01-01 until today. Note that
# an unknown symbol `XXXX` is skipped with a warning.
get_candles(
    secid = c('XXXX', 'SBER', 'FXGD'),
    from = '2020-01-01',
    debug_output = TRUE
)

# Get SBER minute candles for one trading day (all 526 of them)
get_candles(
    secid = 'SBER',
    from = '2020-01-10',
    till = '2020-01-10',
    interval = 'per_minute'
)

# Get SBER minute candles for the specified time period (1 hour)
get_candles(
    secid = 'SBER',
    from = '2020-01-10 11:00:00',
    till = '2020-01-10 12:00:00',
    interval = 'per_minute'
)

## End(Not run)

Get a Security's Info

Description

REST path: ⁠securities/[security]⁠ (see http://iss.moex.com/iss/reference/13)

Usage

get_security_info(secid, ...)

Arguments

secid

A security ID.

...

Further arguments to query_iss

Value

A list with two tibbles:

Examples

## Not run: 
get_security_info(secid = 'SBER')

## End(Not run)

Plot Candles

Description

Plot Candles

Usage

## S3 method for class 'MoexCandles'
plot(x, ...)

Arguments

x

A candles tibble as returned by get_candles()

...

For compatibility with the generic; ignored

Value

A ggplot2 object.

Examples

## Not run: 
get_candles(secid = 'SBER', from = '2020-01-01') |>
    plot()

## End(Not run)

Submit a REST Query to ISS

Description

See http://iss.moex.com/iss/reference/ for the list of available endpoints.

Usage

query_iss(rest_path, params = list(), debug_output = getOption("moexer.debug"))

Arguments

rest_path

A REST path appended to iss_base_url.

params

A HTTP GET query parameters string, passed as a list (not URL-escaped!)

debug_output

Print REST URLs as they are queried.

Value

A list of tibbles, corresponding to the blocks in the response.

Examples

## Not run: 
query_iss(
    rest_path = 'securities/SBER',
    params = list(iss.only = 'description'),
    debug_output = TRUE
)

## End(Not run)

Search for a Single Security

Description

REST path: '/securities“ (See http://iss.moex.com/iss/reference/5)

Usage

search_security(query, ...)

Arguments

query

(A part of the) ID, name, ISIN, issuer ID, reg. number of a security.

...

Further arguments to query_iss

Value

A tibble with a list of matched securities.

Examples

## Not run: 
search_security(query = 'SBER')

## End(Not run)