BSE Bhavcopy with Delivery Quantity

July 24, 2011

(This article was first published on My Paper Trades, and kindly contributed to R-bloggers)

One of my TI forum members IV had a requirement for BSE Quotes along with Delivery Quantity. This made me implement “merge” function of R coding (thanks to the great work done by people behind various packages and guidance available on R Mailing lists).

The task involves downloading files from two separate links and merging it on the basis of Symbol on any given date.

The output is a single file for one trading day. With a slight tweak in the code, single file can be generated for a week, a month, a year , or from beginning to end. If anyone is interested, let me know, and will offer the solution for the same

Without much write-up here is the code for the same.

For those, who want to take a shortcut, here are historical quotes

You can download R Code here

#This code merges BHAVCOPY and Total Deliverable Quantity from BSE
#The output file contains "DATE","SC_CODE","SC_NAME","OPEN","HIGH",
# Start ---------------- User Defined Variables
#Define Working Directory, where files would be saved
setwd('D:/BSE Equity')
#Define start and end dates, and convert them into date format
startDate = as.Date("2010-01-01", order="ymd")
endDate = as.Date("2011-07-31", order="ymd")
#Define Download folder, use \\ instead of windows standard \
filepath="D:\\BSE Equity\\New\\"
# End ---------------- User Defined Variables
junkBHAV <- dir(pattern="EQ")
junkDELV <- dir(pattern="SCBSEALL")
#work with date, month, year for which data has to be extracted
myDate = startDate
#Define temporary files
zippedBhav <- tempfile()
zippedDelv <- tempfile()
while (myDate <= endDate){
filenameDate = paste(as.character(myDate, "%Y%m%d"), sep = "")
fileBHAV=paste("eq", as.character(myDate, "%d%m%y"), "", sep = "")
fileDELV=paste("SCBSEALL", as.character(myDate, "%d%m"), ".zip", sep = "")
#Generate URL in following format
URLBhav = paste("", fileBHAV, sep = "")
URLDelv = paste("", as.character(myDate, "%Y"),"/",fileDELV, sep = "")
#retrieve Zipped file
#Download Zipped File
download.file(URLBhav,zippedBhav, quiet=TRUE, mode="wb")
download.file(URLDelv,zippedDelv, quiet=TRUE, mode="wb")
bhav <- read.csv(unzip(zippedBhav), header=TRUE, sep=",")
#Add Date Column
bhav <- cbind(DATE=myDate,bhav)
#Select only SY_Type="Q", or Equity Quotes
bhav <- subset(bhav, SC_TYPE=="Q")
delv <- read.csv(unzip(zippedDelv), header=TRUE, sep="|")
colnames(delv)[2] <- "SC_CODE"
colnames(delv)[3] <- "DLV_QTY"
colnames(delv)[4] <- "DLV_VAL"
colnames(delv)[5] <- "VOLUME"
colnames(delv)[6] <- "TURNOVER"
colnames(delv)[7] <- "DLV_PCT"
temp<-merge(bhav,delv, by.x="SC_CODE", by.y="SC_CODE")
colnames(temp)[2] <- "DATE"
write.csv(temp.IV,file=paste(filepath,filenameDate, ".csv",sep=""),row.names = FALSE)
#Print Progress
print(paste (myDate, "-Done!", endDate-myDate, " days left"))
}, error=function(err){
print(paste(myDate, "-No Record", endDate-myDate, " days left"))
myDate <- myDate+1
#Delete temp file

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