moexer

Moscow Exchange (MOEX) provides a REST interface to its Informational and Statistical Server (ISS), see https://fs.moex.com/files/8888.

moexer is a thin wrapper around the REST interface. It allows to quickly fetch e.g. price candles for a particular security, obtain its profile information and so on. The data is returned as tibbles, making it easy to subsequently process and analyse it.

Installation

You can install the released version of moexer from CRAN with:

install.packages("moexer")

or the latest version from github:

devtools::install_github("x1o/moexer")

Example

Suppose you want to download monthly candles from Jan 1, 2020 until the present day for the Sberbank common shares.

library(moexer)
library(dplyr)

Each security on MOEX has an ID, e.g. a 4-letter ticker symbol for a share (“LKOH”) or an ISIN for a bond (“RU000A0JXPU3”).

Find the corresponding security ID:

search_security(query = 'Sberbank') %>% 
    slice_head(n = 10) %>% 
    select(secid, name, is_traded, type, primary_boardid)

We can verify that SBER is indeed the symbol we were looking for and check the profile information:

sber_info <- get_security_info(secid = 'SBER')
sber_info$description %>% 
    select(name, title, value)

sber_info$boards %>% 
    slice_head(n = 10) %>% 
    select(secid, boardid, title, is_traded, history_from, history_till, currencyid)

Fetch the SBER candles:

get_candles(secid = 'SBER', from = '2020-01-01', interval = 'monthly')

get_candles() is vectorised over secid, so it is possible to, say, fetch candles for both the common and the preferred shares:

get_candles(secid = c('SBER', 'SBERP'), from = '2020-01-01', interval = 'monthly') %>% 
    plot_candles()