I'm an associate professor of Finance at EA/UFRGS.
You can find more details about my work at my personal site.
Fell free to reach me at [email protected].
Repository for CRAN package GetHFData
I'm an associate professor of Finance at EA/UFRGS.
You can find more details about my work at my personal site.
Fell free to reach me at [email protected].
Olá Marcelo, vc tem os dados históricos de anos anteriores a 2019? Obrigado!
Hi Perlin, i has suggested a change to summarise in agg output for show the number of buys and sells quantity that a use to order flow analysis. I made this change in my code cloning you repo, but i have to compile every time that i will use this function, so a suggested to do natively by package. Sorry to not open a issue before, but i wanna know if you agree this change. Tks.
No alternative service (paid or not) has been provided for this same data information.
Quando eu tento rodar o exemplo do README, recebo a seguinte mensagem de erro:
Running ghfd_get_HF_Data for:
type.market = equity
type.data = trades
my.assets = PETR VALE
type.output = agg
agg.diff = 15 min
Reading ftp contents for equity(trades) (attempt = 1|10)
Found 154 files in ftp
First available date in ftp: 2019-11-01
Last available date in ftp: 2020-06-09
First date to download: 2020-06-01
Last date to download: 2020-06-09
Downloading ftp files/NEG_20200601.7z (1|7) Attempt 1
-> Reading filesError in read_tokens_(data, tokenizer, col_specs, col_names, locale_, :
embedded nul in string: '\0O\xe2\xfe\x870\xa7\x9e&\xbfk\xf72\xe3fd\xde('
Alguma ideia de como posso contornar isso?
-> Processing file - Found 3 lines for 1 selected tickersError in cut.default(unclass(x), unclass(breaks), labels = labels, right = right, :
'breaks' are not unique
Guys, i'm having a problem using the agg.diff for a day, it's not aggregating the data. It's taking to long?
Could some one help me out on this?
It would be a good idea to memoize some of the function calls, especially ghfd_get_ftp_contents(). One package that can do so with relatively little effort is R.cache.
Pelo que deu a entender, isso aconteceu porque, aparentemente, a B3 mudou o método de compressão de zip para gz.
Acredito que modificando a linha 40 e 43 da função ghfd_get_ftp_contents para:
if (type.data == "trades") {
pattern.files <- "NEG_(.*)"
}
else if (type.data == "orders") {
pattern.files <- "OFER_(.*)"
}
Isso deixe de ser um problema.
Hi Marcelo,
This address http://www.b3.com.br/pt_br/market-data-e-indices/servicos-de-dados/market-data/cotacoes/cotacoes/
have file with informatio for HF trading.
see ya.
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