BovespaID

Fetch public trade data from Bovespa Stocks and converts into OHLC xts time series to use with quantmod in R

This script uses GetHFData package to download intraday data from Bovespa FTP. The trade price, time and volume information is stored as OHLC time series on csv format inside datacache directory.

Data Volume

These files are big, some have about 700MB after uncompressed for every trade session. They are stored in the ftp files directory. At this date they sum up to 11Gb on zip format. The computer need to have enought memory to handle up to 5 trade sessions at time.

Install Packages

To install GetHFData, quantmod and data.table packages required, type the following on the R console:

install.packages(c('GetHFData', 'quantmod', 'data.table'))

Get Data

Go to the working directory and call the R console. Call get.data function specifiying the desired assets on my.assets parameter or NULL to all on the period. Be aware of the storage and working memory required.

The default time.frame parameter is 1M (one minute). It is possible to chose any of the following: 1M, 3M, 5M, 10M, 15M, 30M or 1H.

source('BovespaID.R')
get.data(my.assets = c('BVMF3'))

Append Data

If already there is previous data stored on datacache, it is possible to append the csv files specifying the assets, start.date with the starting date and append as true. Type the following on the R console:

get.data(my.assets = c('BVMF3'), start.date = as.Date('2017-08-01'), append = TRUE)

Export Data

Convert to xts rds Files

To export the data as xts times series on rds files, call the export.data function with save.files parameter as intraday. The resulting files will be stored in intraday directory.

export.data(save.files = 'intraday')

Adjust to Splits and Dividends

Call export.data function with save.files parameter as adjusted. The files will be stored in adjusted directory. Some assets won't will be adjusted because don't have splits or dividends info on yahoo.

export.data(save.files = 'adjusted')