moeximporter 0.2.4

MOEX Importer package

Project description

Important

! Arguments' naming has been changed since 0.1.x release. !

Disclaimer

This project is not affilliated with MOEX.

You should refer to MOEX's official documents for terms of use the market data.

Description

The package allows to get quotes and data from MOEX ISS interface over HTTPS.

API docs for moeximporter.

Installation

Install moeximporter:

$ pip install moeximporter

Requirements

• pandas

Examples

Importing modules

# Import required modules
from datetime import date
from moeximporter import MoexImporter, MoexSecurity, MoexCandlePeriods

Initialization

Class MoexImporter is used for all https-requests to the ISS API. You should create at least one copy of the class to use for data-requests.

You can pass your own http-header to the class-constructor. _loadinfo flag allows to get additional data from the exchange during the class initialization. You may use this data to check available engines and markets. You do not need to set this flag to True if you often create copies of the class to speedup the code. Additional data isn't required for

# Create an object to access ISS API requests
mi = MoexImporter()

# Get all traded securities
seclist = mi.getSecuritiesAllTraded()

# Get all traded bonds
seclist = mi.getBondsAllTraded()

# Get all traded shares
seclist = mi.getSharesAllTraded()

# Search for traded security
seclist = mi.searchForSecurityTraded('ОФЗ')

Working with securities

Class MoexSecuirty is used to get quotes and additional data for the security. You should pass an appropriate ticker and MoexImporter object that you have created before.

# Create an object to access sequirity data
sec = MoexSecurity('GAZP', mi)

# Print information about security
print(sec)

# Request quotes as a pandas DataFrame
quotes_df = sec.getHistoryQuotesAsDataFrame(date(2023, 5, 1), date(2023, 9, 20))

# Request quotes as an array of dicts
quotes_arr = sec.getHistoryQuotesAsArray(date(2023, 5, 1), date(2023, 9, 20))

# Request candles as a pandas DataFrame
candles_df = sec.getCandleQuotesAsDataFrame(date(2023, 5, 1), date(2023, 9, 20), interval=MoexCandlePeriods.Period1Hour)

# Request candles as an array of dicts
candles_arr = sec.getCandleQuotesAsArray(date(2023, 5, 1), date(2023, 9, 20), interval=MoexCandlePeriods.Period1Hour)

Licensing

The package is distributed under MIT License. See details in LICENSE.txt file.