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Moscow Exchange (MOEX) provides a REST interface to its Informationaland Statistical Server (ISS), seehttps://fs.moex.com/files/8888.

moexer is a thin wrapper around the REST interface. It allows toquickly fetch e.g. price candles for a particular security, obtain itsprofile information and so on. The data is returned astibbles, makingit easy to subsequently process and analyse it.

You can install the released version of moexer fromCRAN with:

install.packages("moexer")

or the latest version from github:

devtools::install_github("x1o/moexer")

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

library(moexer)library(dplyr)library(purrr)

Each security on MOEX has an ID, e.g. a 4-letter ticker symbol for ashare (“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 thatSBER is indeed the symbol we were looking for andcheck 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 theSBER candles:

get_candles(secid='SBER',from='2020-01-01',till='2022-01-01',interval='monthly')|>     head()

get_candles() also supports specifying date-times for thefrom,till arguments, e.g. '2020-01-01 09:00:00'. This is most useful forobtaining intraday candles, e.g withinterval = 'hourly' — seeoptions('moexer.candle.intervals').

Iftill = NULL, all candles up to today are fetched.

get_candles() is vectorised oversecid, so it is possible to, say,fetch candles for both the common and the preferred shares. The returnedobject has classMoexCandles for which there’s an appropriateplot()method:

get_candles(secid= c('SBER','SBERP'),from='2020-01-01',till='2022-01-01',interval='monthly')|>     plot()

ISS is accessed via HTTP and/or HTTPS.

The interface is “RESTful”, meaning the endpoint parameters can bepassed as a query string, but they also form the path of the URL. Forinstance, to receiveSBER candles, one would need to form a URL asbelow:

<base_url>/securities/SBER/candles?from=2020-01-10&till=2020-01-17

For a list of all public endpoints, seehttp://iss.moex.com/iss/reference/.

ISS is capable of returning data in several formats; the present packageuses JSON internally.

Every response consists of named sections (“blocks”).

Every block contains the following sub-sections:

• metadata with types
• column with column names
• data with the actual payload

All response blocks are parsed as tibbles using the information above.

The parameters can be applied to some sections (1), all section (2) ormodify “system” ISS parameters (3).

1. <block>.<parameter>=<value> (applicable for block<block>)
   • <block>.columns=<id_1>,<id_2>,...: only select these column inthe block<block>
2. <parameter>=<value> (all response blocks)
3. iss.<parameter>=<value> (system parameter)
   • iss.only=<block_1>,<block_2>,...: only return these blocks

The main function for working with low-level requests isquery_iss().

Fetch possible values for certain market objects. This returns a list ofsections such asengines,markets, etc, each being a dataframe.

iss_index<- query_iss('index')names(iss_index)#>  [1] "engines"             "markets"             "boards"#>  [4] "boardgroups"         "durations"           "securitytypes"#>  [7] "securitygroups"      "securitycollections"

iss_index$engines

Query string parameters are specified asparams argument;debug_output = TRUE results in the request URL being printed:

df<- query_iss('index',params=list(iss.only='engines,markets',markets.columns='id,market_name,market_title'    ),debug_output=TRUE)#>  http://iss.moex.com/iss/index.json?iss.only=engines,markets&markets.columns=id,market_name,market_titledf$engines|> head()

df$markets|> head()

show_df<-function(df) {    print(nrow(df))    bind_rows(head(df), tail(df))}

Some queries return large responses, which are split into pages thatmust accessed usingstart query string parameter as indicated in theauxiliary sectionhistory.cursor, also returned by ISS:

df<- query_iss('history/engines/stock/markets/shares/securities/MOEX',params=list(from='2021-09-01',till='2021-12-31',start=10    ))show_df(df$history[,1:10])#>  [1] 100

df$history.cursor

An adverbfollowing_cursor() decoratesquery_iss() to follow thecursor until the requested information is received completely. The.cursor dataframe is dropped.

following_cursor(query_iss)('history/engines/stock/markets/shares/securities/MOEX',params=list(from='2021-09-01',till='2021-12-31',start=10    ))|>     pluck('history')|>     select(1:10)|>     show_df()#>  [1] 164

Some responses are large yet are not accompanied by a.cursor block.

query_iss('engines/stock/markets/shares/boards/TQBR/securities/SBER/candles',params=list(from= URLencode('2020-01-10 10:00:00'),till= URLencode('2020-01-10 23:59:59'),interval=1,start=10    ),debug_output=TRUE)|>     pluck('candles')|>     show_df()#>  http://iss.moex.com/iss/engines/stock/markets/shares/boards/TQBR/securities/SBER/candles.json?from=2020-01-10%2010:00:00&till=2020-01-10%2023:59:59&interval=1&start=10#>  [1] 500

These queries may accessed byquery_iss() wrapped intofetching_fully decorator, which automatically increases the value ofstart parameter until no more data is received:

fetching_fully(query_iss)('engines/stock/markets/shares/boards/TQBR/securities/SBER/candles',params=list(from= URLencode('2020-01-10 10:00:00'),till= URLencode('2020-01-10 23:59:59'),interval=1,start=10    ))|>     pluck('candles')|>     show_df()#>  [1] 515

Some endpoints do not supportstart parameter –fetching_fully()knows how to handle that:

fetching_fully(query_iss)('turnovers',params=list(iss.only='turnovers'))$turnovers#>  ! Received identical sections: the endpoint probably does not support `start` parameter