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https://github.com/matbarofex/rrofex
R library to connect to Matba Rofex's Trading API. Functionality includes accessing account data and current holdings, retrieving investment quotes, placing and canceling orders, and getting reference data for instruments.
https://github.com/matbarofex/rrofex
api finance market-data r rlang rofex rofex-apis trading-api
Last synced: 16 days ago
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R library to connect to Matba Rofex's Trading API. Functionality includes accessing account data and current holdings, retrieving investment quotes, placing and canceling orders, and getting reference data for instruments.
- Host: GitHub
- URL: https://github.com/matbarofex/rrofex
- Owner: matbarofex
- License: other
- Created: 2019-05-02T00:12:04.000Z (over 5 years ago)
- Default Branch: master
- Last Pushed: 2023-05-09T13:42:23.000Z (over 1 year ago)
- Last Synced: 2024-10-15T21:41:00.935Z (23 days ago)
- Topics: api, finance, market-data, r, rlang, rofex, rofex-apis, trading-api
- Language: R
- Homepage: https://matbarofex.github.io/rRofex
- Size: 2.3 MB
- Stars: 25
- Watchers: 7
- Forks: 14
- Open Issues: 0
-
Metadata Files:
- Readme: README.Rmd
- License: LICENSE
- Code of conduct: CODE_OF_CONDUCT.md
Awesome Lists containing this project
README
---
output: github_document
---
```{r, include = FALSE}
knitr::opts_chunk$set(
collapse = TRUE,
comment = "#>",
fig.path = "man/figures/",
out.width = "100%"
)
options(tibble.print_min = 5, tibble.print_max = 5)
```
# rRofex 
[](https://lifecycle.r-lib.org/articles/stages.html)
[](https://travis-ci.com/matbarofex/rRofex)
[](https://CRAN.R-project.org/package=rRofex)
[](https://cran.r-project.org/package=rRofex)
With this package, you will be able to execute API calls to the 'Matba Rofex' trading platform.
The main functionalites include:accessing account data and current holdings, retrieving investment quotes, placing and canceling orders, and getting reference data for instruments.
You can find the complete documentation under https://apihub.primary.com.ar/
## Installation
```{r, eval = FALSE}
# To install the package you just need to use the command:
install.packages("rRofex")
# Then load it with
library(rRofex)
```
#### Development version
You can use the development version to try new features or bug fixes directly from GitHub.
```{r, eval=FALSE}
# 1. In R install the package `devtools`.
install.packages("devtools")
# 2. Once `devtools` is installed, install `rRofex`
library(devtools)
devtools::install_github("matbarofex/rRofex")
# 3. Then load it with
library(rRofex)
```
## References
At the present we provide two libraries for ingesting data from Matba Rofex:
- **rRofex**: methods for trading.
- [acyRsa](https://github.com/matbarofex/acyrsa): methods for accessing Back Office data from ACyRSA
### Summary of actions for trading
These are the currently available actions within the library:
- Authentication
- Reference data request
- Real-time and historical market data request
- Orders placement
- Orders management
- Account information request
- Websocket methods
### Environments:
- *Demo Environment*: go to [reMarkets](https://remarkets.primary.ventures/) to get free credentials.
- *Production*: for credentials please contact: for more information.
- *Production - xOMS*: please contact your broker for credentials.
### Connection Protocols
There are currently three standard protocols that are being used to connecting to the market::
1. **REST**. Inside this library most methods use this protocol internaly.
2. **Websocket**. The methods have the suffix 'ws' inside it's name.
3. *FIX*. We don't have any short term plans to develop this wrapper.
## Examples
### 1. Authentication
There are different environment on which one can connect to.
For **paper trading** exists [reMarkets](https://remarkets.primary.ventures/). If you go there, you will be able to get free credentials to start trading with a demo account.
If you already have a **live trading** account with a broker, you should ask them what kind of *order management system* (OMS) do they use. If they have the suite of **Primary**, then you will have to ask them for the *user*, *password* and *base_url*.
```{r, eval=FALSE}
# Using `trading_login()` you will be able to connect.
# You will need to use this object in each request made. You can have multiple connections simultaneously.
conn <- trading_login(
username = XXX,
password = XXX,
base_url ='https://api.remarkets.primary.com.ar'
)
# The connection is valid only for the day, you can get your log in information with `login_date_time()`
login_date_time(conn)
```
### 2. Reference Data
There are many types of request that you can make in order to get reference data. The basic one is to ask for a detailed list of every listed instrument.
```{r, eval=FALSE}
# You can get a complete Reference Data list with details
trading_instruments(
connection = conn,
request = "securities",
sec_detailed = T
)
# If you are interested only in the front month of each contract of features, you can try
trading_instruments_fronts(connection = conn)
# If you only want equities
trading_instruments(
connection = conn,
request = "by_type",
sec_type = "E"
)
```
### 3. Market Data
You can access real time market data and historical market data. There is a version with Websocket being developed.
```{r, eval=FALSE}
# Real Time Prices using the REST protocol
trading_md(
connection = conn,
symbol = "DODic20"
)
# Historical Trades
trading_mdh(
connection = conn,
symbol = "DOJul20",
date_from = "2020-02-06",
date_to = "2020-03-06"
)
```
### 4. Order Placement
With the method `trading_new_order()` you will be able to trade on the market. The basic order type is as follows:
```{r, eval=FALSE}
trading_new_order(
connection = conn,
account = "XXX",
symbol = "DOEne21",
side = "Buy",
quantity = 10,
price = 92.14
)
```
### 5. Order Management
If you want to know the status of your arder, you will need ths method:
```{r, eval=FALSE}
trading_orders(
connection = conn,
account = "XXX"
)
```
### 6. Account Information
With `trading_account()` and `trading_account_report()` you will be able to obtain information about your current position in terms of instruments and in terms of cash and settlement dates.
```{r, eval=FALSE}
# With trading account you can get the information about your basket
trading_account(
connection = conn,
account = "XXX"
)
# With trading account report you can have your cash, margins, etc.
trading_account_report(
connection = conn,
account = "XXX"
)
```
### 7. Websocket Methods
Instead of requesting information using REST protocol, you could get it through Websocket. This means, that you can listen to an object and be notified every time that a change has been made.
The methods available in Websocket protool are:
- Listen to Market Data with `trading_ws_md()`
- Listen to Order status with `trading_ws_orders()`
- Close Websocket connections with `trading_ws_close()`
## Acknowledgments
Development of this software was driven by [Primary](https://www.primary.com.ar/) as part of an Open Source initiative of [Matba Rofex](https://matbarofex.com.ar/).
#### Author/Maintainer
- [Augusto Hassel](https://github.com/augustohassel)
#### Internal Contributors
- [Juan Francisco Gomez](https://github.com/jfgomezok)