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class MoexImporter()Class MoexImporter implements https-queries to MOEX ISS API. You should to create at least one instance to work with other objects in the package.
Base methods allow to get generic information about available engines and markets, request securities lists and quotes.
Quotes requests are wrapped in the MoexSecurity class to improve convenience.
def __init__(
header={
'user-agent':
'Mozilla/5.0 (Macintosh; Intel Mac OS X x.y; rv:42.0) Gecko/20100101 Firefox/42.0',
},
loadinfo=False)Class constructor initializes base variables and load information about
engines and markets if flag _loadinfo is True
header : dict, optional
HTTP-header for all requests to MOEX ISS API.
loadinfo: boolean, optional
If True, engines and markets lists are requested from MOEX ISS. You may get
this information later with methods getEngines and getMarkets.
def getEngines()Returns the list of engines.
array_like List of engines.
def getMarkets(engine)Returns the list of markets.
engine: str The engine string identifier to get markets list.
array_like
List of markets for the specific engine.
def getSecurity(seccode)Returns the specific data for the security.
seccode: str Security ticker.
array_like
List of specific data for seccode.
def searchForSecurity(secpart)Returns the list of all securities with the specific secpart of the name or ticker.
secpart: str Part of the security name or ticker.
array_like List of securities.
def searchForSecurityTraded(secpart)Returns the list of traded securities with the specific secpart of the name or ticker.
secpart: str Part of the security name or ticker.
array_like List of securities.
def searchForSecurityNonTraded(secpart)Returns the list of non-traded securities with the specific secpart of the name or ticker.
secpart: str Part of the security name or ticker.
array_like List of securities.
def getSecuritiesAll()Returns the list of all securities.
array_like List of securities.
def getSecuritiesAllTraded()Returns the list of traded securities.
array_like List of securities.
def getSecuritiesAllNonTraded()Returns the list of non-traded securities.
array_like List of securities.
def getBondsAll()Returns the list of all local bonds.
array_like List of securities.
def getBondsAllTraded()Returns the list of all traded local bonds.
array_like List of securities.
def getBondsAllNonTraded()Returns the list of all non-traded local bonds.
array_like List of securities.
def getSharesAll()Returns the list of all local shares.
array_like List of securities.
def getSharesAllTraded()Returns the list of all traded local shares.
array_like List of securities.
def getSharesAllNonTraded()Returns the list of all non-traded local shares.
array_like List of securities.
def getHistoryQuotes(engine, market, board, seccode, dtfrom, dttill, tsession,
start)Returns quotes for the specific security.
engine: str Specify engine for quotes. market: str Specify market for quotes. board: str Specify board for quotes. seccode: str Security ticker. dtfrom: date Left bound of daterange for quotes. dttill: date Right bound of daterange for quotes. tsession: MoexSessions Specify trading session for quotes. start: int Specify cursor for query. MOEX ISS returns only limited number of quotes per request. You have to shift the cursor to get the next portion.
array_like List of quotes.
def getCandles(engine, market, board, seccode, dtfrom, dttill, start,
candleperiod)Returns candles for the specific security.
engine: str Specify engine for quotes. market: str Specify market for quotes. board: str Specify board for quotes. seccode: str Security ticker. dtfrom: date Left bound of daterange for quotes. dttill: date Right bound of daterange for quotes. start: int Specify cursor for query. MOEX ISS returns only limited number of quotes per request. You have to shift the cursor to get the next portion. candleperiod: MoexCandlePeriods Period for candle.
array_like List of quotes.
class MoexSecurity()Class MoexSecurity implements methods to store and request security-specific information.
Instance of MoexImporter should be created before.
def __init__(seccode, mi)Class constructor initializes base variables and loads security-specific information from MOEX ISS.
seccode: str Security ticker from MOEX. mi: MoexImporter The object of MoexImporter that was created before. You can't use the class without this object.
def getHistoryQuotesAsDataFrame(dtfrom,
dttill,
board=None,
ts=MoexSessions.MainSession)Returns quotes for the security as a pandas dataframe.
dtfrom: date
The left bound of the range to request quotes.
dttill: date
The right bound of the range to request quotes.
board: str, optional
Request quotes for the specific board. The primary board
is used if the parameter is ommited. You can check
class attribute boards to get all available boards.
ts: MoexSessions, optional
Request quotes for the specific session. The main session
is used if the parameter is ommited.
pd.DataFrame
Quotes as pandas dataframe.
Columns:
'TRADEDATE' - date of the quote,
'OPEN' - open price,
'HIGH' - high price,
'LOW' - low price,
'CLOSE' - last price,
'YIELD' - yield to maturity, may be None for non-bonds,
'DURATION' - duration in days, may be None for non-bonds,
'VALUE' - trading value in rubles,
'QUANTITY' - trading value in securities.
def getHistoryQuotesAsArray(dtfrom,
dttill,
board=None,
ts=MoexSessions.MainSession)Returns quotes for the security as an array of dicts.
dtfrom: date
The left bound of the range to request quotes.
dttill: date
The right bound of the range to request quotes.
board: str, optional
Request quotes for the specific board. The primary board
is used if the parameter is ommited. You can check
class attribute boards to get all available boards.
ts: MoexSessions, optional
Request quotes for the specific session. The main session
is used if the parameter is ommited.
array_like
Quotes as an array of dicts.
Dict keys:
'TRADEDATE' - date of the quote,
'OPEN' - open price,
'HIGH' - high price,
'LOW' - low price,
'CLOSE' - last price,
'YIELD' - yield to maturity, may be None for non-bonds,
'DURATION' - duration in days, may be None for non-bonds,
'VALUE' - trading value in rubles,
'QUANTITY' - trading value in securities.
def getCandleQuotesAsDataFrame(dtfrom,
dttill,
board=None,
interval=MoexCandlePeriods.Period1Day)Returns candles for the security as a pandas dataframe.
dtfrom: date
The left bound of the range to request quotes.
dttill: date
The right bound of the range to request quotes.
board: str, optional
Request quotes for the specific board. The primary board
is used if the parameter is ommited. You can check
class attribute boards to get all available boards.
interval: MoexCandlePeriods, optional
Request candles for the specified period. Default is 1 day.
pd.DataFrame Candles as pandas dataframe. Columns: 'begin' - begin time of the candle, 'end' - end time of the candle, 'open' - open price, 'high' - high price, 'low' - low price, 'close' - last price, 'value' - trading value in rubles, 'quantity' - trading value in securities.
def getCandleQuotesAsArray(dtfrom,
dttill,
board=None,
interval=MoexCandlePeriods.Period1Day)Returns quotes for the security as an array of dicts.
dtfrom: date
The left bound of the range to request quotes.
dttill: date
The right bound of the range to request quotes.
board: str, optional
Request quotes for the specific board. The primary board
is used if the parameter is ommited. You can check
class attribute boards to get all available boards.
interval: MoexCandlePeriods, optional
Request candles for the specified period. Default is 1 day.
array_like Candles as an array of dicts. Dict keys: 'begin' - begin time of the candle, 'end' - end time of the candle, 'open' - open price, 'high' - high price, 'low' - low price, 'close' - last price, 'value' - trading value in rubles, 'quantity' - trading value in securities.
class MoexCandlePeriods(IntEnum)Enum of candle periods.
Period for 1 minute candles.
Period for 10 minutes candles.
Period for 1 hour candles.
Period for 1 day candles.
Period for 1 week candles.
Period for 1 month candles.
Period for 1 quarter candles.
class MoexSessions(IntEnum)Enum for MOEX sessions. Not applicable to all instruments.
Morning trading session.
Main trading session.
Evening tradning session.
Data for all sessions.