The OANDA Functions
All of the OANDA functions in the package are prefixed by ‘oanda’ for clarity.
Functions designed primarily for interactive use may be called without any arguments, e.g. oanda_stream() or oanda_view(), in which case you will be further prompted to enter required arguments; these should be entered unquoted i.e. without any surrounding ““.
The ‘instrument’ argument is case-insensitive and the delimiter can be either ’_’ or ‘-’, such that both oanda("USD_JPY") and oanda("usd-jpy") would be acceptable.
oanda()
Retrieve pricing data from the OANDA fxTrade API.
The arguments to the function are phrased identically to that of the API itself where relevant:
instrumentstring containing the base currency and quote currency delimited by a ’_’ (e.g. “USD_JPY”). Use theoanda_instruments()function to return a list of all valid instrumentsgranularity[default “D”] the granularity of the price data to fetch, one of “M”, “W”, “D”, “H12”, “H8”, “H6”, “H4”, “H3”, “H2”, “H1”, “M30”, “M15”, “M10”, “M5”, “M4”, “M2”, “M1”, “S30”, “S15”, “S10”, “S5”count(optional) the number of periods to return. The API supports a maximum of 5000 for each individual request, and defaults to 500 if not specified. If both ‘from’ and ‘to’ are specified, ‘count’ is ignored, as the time range combined with ‘granularity’ will determine the number of periods to returnfrom(optional) the start of the time range for which to fetch price data, for example “2020-02-01”to(optional) the end of the time range for which to fetch price data, for example “2020-06-30”price[default “M”] the pricing component, one of “M” (midpoint), “B” (bid) or “A” (ask)server(optional) Specify the “practice” or “live” server according to the account type held with OANDA. If not specified, will default to “practice”, unless this has been changed byoanda_switch().apikey(optional) string containing the OANDA fxTrade API key (personal access token). This argument is designed for specifying a function that returns such a string rather than the string itself, which could be potentially unsecure. This allows other packages that provide secure storage of secrets to be used if preferred over ‘keyring’
Note: if both from and to are specified and the request would result in over 5000 periods being returned, the function automatically prompts the user to confirm if multiple requests should be submitted. Unless the user response is “n” or “no”, the data will proceed to be downloaded with rate limiting in place as per API best practices, and merged together into a single dataframe.
oanda("USD_JPY", count = 3, from = "2010-11-01", price = "B")
#> time open high low close volume complete
#> 1 2010-11-01 21:00:00 80.275 81.504 80.225 80.501 22291 TRUE
#> 2 2010-11-02 21:00:00 80.504 80.956 80.460 80.617 13795 TRUE
#> 3 2010-11-03 21:00:00 80.632 81.585 80.594 81.069 22204 TRUEThe returned object is a dataframe with the following columns: ‘time’, ‘open’, ‘high’, ‘low’, ‘close’, ‘volume’ and ‘complete’.
volume should normally be disregarded as this reflects the trading volume registered by OANDA and may not be reflective of the broader market
complete indicates whether the data period is complete or not. If TRUE, the values are historical and not subject to change. If FALSE, the period is ongoing and the values reflect the current snapshot and the final values may or may not differ
Important implementation notes:
Incorporates automatic adjustment of the timestamps to end of period, as is customary for financial data. This means that, for example, today’s pricing data (incomplete trading period) will have today’s date as would be expected. In contrast, the raw data from the API has a timestamp of the start of the period
The API data sometimes includes data for non-trading days with very low volumes. This is more common for older data and less so with more recent data. These may represent OTC trades that occurred over the OANDA platform, but nevertheless do not reflect market rates. These are automatically excluded from the data returned as they would otherwise produce spurious results if used with
ichimoku()
oanda_chart()
Create an updating real-time Ichimoku cloud chart. The refresh rate can be set for the chart to be updated down to every second. A plot of the ichimoku chart for the price data requested is output to the graphical device at each refresh interval.
The arguments are identical to oanda() above with the addition of:
refresh[default 5] set the refresh rate of the chart in seconds, with a minimum of 1...additional parameters passed ontoichimoku()for calculating the ichimoku cloud orautoplot()to set chart parametersperiods[default c(9L, 26L, 52L)] a vector defining the length of periods used for the cloud. This parameter should not normally be modified as using other values would be invalid in the context of traditional Ichimoku analysis
The arguments ‘from’ and ‘to’ are excluded as they are not relevant in this context.
# For a live Palladium price chart:
oanda_chart("XPD_USD")In RStudio, please switch to the plots plane to view the chart if not already in focus.
Note that the periods displayed on the chart will be fewer than the ‘count’ specified - using default cloud periods, the first 77 datapoints will be excluded. This is by design to ensure a full cloud is displayed (i.e. there are no missing values for any cloud lines at the start of the data). Please take this into account when setting the ‘count’ parameter.
On exit from the function, the ichimoku object underlying the chart will be returned (invisibly). This allows the data to be saved simply by assigning to an object.
# To access the data, simply assign the return value to an object:
cloud <- oanda_chart("XPD_USD")oanda_studio()
Create an interactive R Shiny session for working with real-time Ichimoku cloud charts. Provides a live analysis environment where parameters may be set interactively as required. The cursor infotip provides ready access to the data directly from the chart.
As all parameters can be set interactively in-app, oanda_studio() may be called without specifying any arguments. Otherwise, parameters may be set beforehand in the same way as oanda_chart().
oanda_studio()
The following additional parameters can be used to customise the behaviour of the Shiny environment:
...additional arguments passed toichimoku()for calculating the ichimoku cloud,autoplot()to set chart parameters, or the ‘options’ argument ofshiny::shinyApp()launch.browser[default TRUE] If TRUE, the system’s default web browser will be launched automatically after the app is started. The value of this argument can also be a function to call with the application’s URL. To use the default Shiny viewer in RStudio, please specifygetOption("shiny.launch.browser")
Downloading Data
The ichimoku object underlying the live cloud chart can be saved by selecting the Data Archive button.
This button uses archive() to save the ichimoku object to disk. The filename will be of the form: instrument_granularity_price.rda, e.g. SUGAR_USD_D_A.rda. If confirmed, the file is saved to the browser’s default download location. Note that files with the same name are not overwritten but instead the filename is made unique.
To read back the file, use archive():
# Supply the quoted file path / name, for example:
cloud <- archive("~/Downloads/SUGAR_USD_D_A.rda")
# Or alternatively, choose the saved file interactively using a system dialog:
cloud <- archive()oanda_stream()
Connect to the OANDA fxTrade streaming API and stream a list of prices generated by OANDA.
Requires a single argument, the ‘instrument’ to stream data for.
The ‘server’ and ‘apikey’ arguments are also available if required.
oanda_stream("UK10YB_GBP")
#> Streaming data... Press 'Esc' to return
#> type:PRICE time:2021-10-01T16:59:51.377314414Z
#> bids: price:126.500 liquidity:10000 asks: price:126.540 liquidity:10000
#> closeoutBid:126.500 closeoutAsk:126.540 status:non-tradeable tradeable:false instrument:UK10YB_GBPThe stream output contains injected ANSI escape codes for formatting the console output, but otherwise represents the raw data feed without omission. As this is a raw feed, please note that the returned times are in UTC.
The following should be noted from the streaming API documentation:
- Get a stream of Account Prices starting from when the request is made. This pricing stream does not include every single price created for the Account, but instead will provide at most 4 prices per second (every 250 milliseconds) for each instrument being requested
- If more than one price is created for an instrument during the 250 millisecond window, only the price in effect at the end of the window is sent. This means that during periods of rapid price movement, subscribers to this stream will not be sent every price
- Pricing windows for different connections to the price stream are not all aligned in the same way (i.e. they are not all aligned to the top of the second). This means that during periods of rapid price movement, different subscribers may observe different prices depending on their alignment
oanda_quote()
A convenience function that outputs to the console the latest one-line price quote for an instrument.
The output format is as follows: instrument, timestamp, daily open, high, low and last prices, daily percentage change (from the open), and the pricing component (M for mid, B for bid, A for ask).
oanda_quote("USD_JPY")
#> USD_JPY 2021-10-02 14:40:44 open: 111.296 high: 111.489 low: 110.906 last: 111.051 %chg: 0.2206 Moanda_view()
Prints a snapshot overview of the selected market, showing the relative performance of all constituents.
The available markets are : ‘fx’ for major currency pairs, ‘allfx’ for all available currencies, ‘bonds’ for government bonds, ‘commodities’ for commodities, ‘metals’ for metals and ‘stocks’ for global stock markets. As partial matching is enabled, it is possible to type just the first letter e.g. ‘c’ for commodities.
The first retrieved timestamp and the pricing component are printed, followed by the dataframe showing similar data to oanda_quote() for all instruments in the selected market. The data is ordered by the daily percentage change, from the most positive to the most negative.
oanda_view()
Enter market [f]x [a]llfx [b]onds [c]ommodities [m]etals [s]tocks: c
#> Retrieving commodities.........
#> 2021-10-03 11:15:14 / M
#> open high low last %chg
#> WHEAT_USD 7.166 7.484 7.139 7.484 4.4376
#> XCU_USD 4.09312 4.19604 4.04606 4.19368 2.4568
#> WTICO_USD 75.244 76.134 74.364 75.861 0.8200
#> CORN_USD 5.640 5.718 5.582 5.686 0.8156
#> BCO_USD 79.358 80.266 78.419 79.975 0.7775
#> TWIX_USD 665.0 671.4 661.4 664.9 -0.0150
#> SOYBN_USD 12.725 12.806 12.601 12.643 -0.6444
#> SUGAR_USD 0.19590 0.19670 0.19360 0.19410 -0.9188
#> NATGAS_USD 5.898 5.948 5.480 5.493 -6.8667oanda_positions()
Provides a summary of the aggregate positions held by OANDA fxTrade clients at each price level.
The data is returned as a dataframe, with parameters saved as attributes which can be viewed with look(). A chart showing the percentage long and short positions at each price level is output to the graphical device.
Please note that this feature has been implemented by OANDA only for certain major currency pairs and should be considered experimental.