B3 is NOT shutting down its ftp site, for now..

August 7, 2019
By

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Surprise, surprise. B3’s ftp site is still up and running.

Following previous post regarding the shutdown of B3’s ftp site and its impact over GetHFData, I’m happy to report that the site is up and running.

We can check it with code:

library(GetHFData)
library(tidyverse)

df.ftp <- ghfd_get_ftp_contents(type.market = 'equity')
## 
## Reading ftp contents for equity(trades) (attempt = 1|10)
# check time difference
max(df.ftp$dates) - min(df.ftp$dates)
## Time difference of 158 days

Let’s download some trade data:

df.trades <- ghfd_get_HF_data(my.assets = 'PETR3', 
                              type.market = 'equity', 
                              first.date = Sys.Date()-6, 
                              last.date = Sys.Date(),type.data = 'trades', type.output = 'agg', 
                              first.time =  '11:00:00', last.time = '18:00:00', dl.dir = tempdir()
                              )
## 
## Running ghfd_get_HF_Data for:
##    type.market = equity
##    type.data = trades
##    my.assets = PETR3
##    type.output = agg
##       agg.diff = 15 min
## Reading ftp contents for equity(trades) (attempt = 1|10)
##    Found  107  files in ftp
##    First available date in ftp:  2019-02-28
##    Last available date in ftp:   2019-08-05
##    First date to download:  2019-08-02
##    Last date to download:   2019-08-05
## Downloading /tmp/RtmpJjZnMZ/NEG_20190802.gz (1|2) Attempt 1
##    -> Reading files - Imported  1662368 lines, 547 unique tickers
##    -> Processing file - Found 24794 lines for 1 selected tickers
##    -> Aggregation resulted in dataframe with 27 rows
## Downloading /tmp/RtmpJjZnMZ/NEG_20190805.gz (2|2) Attempt 1
##    -> Reading files - Imported  1962293 lines, 583 unique tickers
##    -> Processing file - Found 20874 lines for 1 selected tickers
##    -> Aggregation resulted in dataframe with 27 rows

And check it out:

glimpse(df.trades)
## Observations: 54
## Variables: 13
## $ InstrumentSymbol  "PETR3", "PETR3", "PETR3", "PETR3", "PETR3", "P…
## $ SessionDate       2019-08-02, 2019-08-02, 2019-08-02, 2019-08-02…
## $ TradeDateTime     2019-08-02 11:00:00, 2019-08-02 11:15:00, 2019…
## $ n.trades          1123, 1522, 1884, 1109, 675, 803, 568, 653, 541…
## $ last.price        29.24, 29.02, 29.02, 28.96, 29.11, 29.06, 29.12…
## $ weighted.price    29.39957, 29.06305, 28.97820, 28.96853, 28.9880…
## $ period.ret        -0.0098205215, -0.0071843996, 0.0000000000, -0.…
## $ period.ret.volat  0.0002035764, 0.0002197109, 0.0001967620, 0.000…
## $ sum.qtd           656500, 1140000, 1090700, 506000, 277200, 37400…
## $ sum.vol           19300683, 33131637, 31606455, 14658055, 8035460…
## $ n.buys            616, 731, 859, 552, 409, 265, 273, 337, 250, 28…
## $ n.sells           507, 791, 1025, 557, 266, 538, 295, 316, 291, 2…
## $ Tradetime         "11:00:00", "11:15:00", "11:30:00", "11:45:00",…

Its working fine. The ammount of data available at the ftp is more than necessary for research and class material.

I’m not really sure what happened. It could be a simple delay to the shutdown. Lets keep our fingers crossed.

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