Download and Aggregate High Frequency Trading Data from Bovespa

Downloads and aggregates high frequency trading data for Brazilian instruments directly from Bovespa ftp site < ftp://ftp.bmf.com.br/MarketData/>.


News

Minor update:

  • Revised apa citation on attach
  • Fixed some typos in vignette and added link to SSRN paper

Minor update with the following changes:

  • The user can now download data from the odd lots equity market (type.market='equity-odds')
  • Added Henrique Ramos as a contributor
  • Other minor changes

Minor update with the following changes:

  • The function ghfd_get_HF_data now allows for partial matching of asset names and also the download of all assets available in ftp files
  • Function ghfd_get_available_tickers_from_ftp also returns the type of market in data.frame

Major update from initial version with the following changes:

  • The function for finding tickers in the ftp now looks for the closest date in the case that the actual date is missing from the ftp
  • The function for finding tickers now returns a dataframe with the tickers and number of trades
  • Added control for bad files
  • The output for raw and agg type of output were revised
  • The vignette is revised

Reference manual

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install.packages("GetHFData")

1.3 by Marcelo Perlin, 3 months ago


https://github.com/msperlin/GetHFData/


Report a bug at https://github.com/msperlin/GetHFData/issues


Browse source code at https://github.com/cran/GetHFData


Authors: Marcelo Perlin [aut, cre], Henrique Ramos [ctb]


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL-2 license


Imports stringr, stats, RCurl, lubridate, readr, utils, curl, dplyr

Suggests knitr, rmarkdown, testthat, ggplot2


See at CRAN