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Read and parse raw market data files downloaded from the B3 website.

Source: R/read-marketdata.R
read_marketdata.Rd

B3 provides various files containing valuable information about traded assets on the exchange and over-the-counter (OTC) market. These files include historical market data, trading data, and asset registration data for stocks, derivatives, and indices. This function reads these files and parses their content according to the specifications defined in a template.

Usage

read_marketdata(meta)

Arguments

meta

A metadata object.

Value

Returns a meta object containing the downloaded file's metadata:

  • template - Name of the template used

  • download_checksum - Unique hash code for the download

  • download_args - Arguments used for the download

  • downloaded - Path to the downloaded file

  • created - Timestamp of file creation

  • is_downloaded - Whether the file was successfully downloaded

  • is_processed - Whether the file was successfully processed

  • is_valid - Whether the file is valid

The meta object can be interpreted as a ticket for the download process. It contains all the necessary information to identify the data, if it has been downloaded, if it has been processed, and ince it is processed, if the downloaded file is valid.

Details

This function reads the downloaded file and parses its content according to the specifications and schema defined in the template associated with the meta object. The template specifies the file format, column definitions, and data types.

The parsed data is then written to a partitioned dataset in Parquet format, stored in a directory structure based on the template name and data layer. This directory is located within the db subdirectory of the rb3.cachedir directory. The partitioning scheme is also defined in the template, allowing for efficient querying of the data using the arrow package.

If an error occurs during file processing, the function issues a warning, removes the downloaded file and its metadata, and returns NULL.

See also

list_templates

rb3.cachedir

download_marketdata

Examples

if (FALSE) { # \dontrun{
# Create metadata for daily market data
meta <- template_meta_create_or_load("b3-cotahist-daily",
  refdate = as.Date("2024-04-05")
)
# Download using the metadata
meta <- download_marketdata(meta)
meta <- read_marketdata(meta)

# For reference rates
meta <- template_meta_create_or_load("b3-reference-rates",
  refdate = as.Date("2024-04-05"),
  curve_name = "PRE"
)
# Download using the metadata
meta <- download_marketdata(meta)
meta <- read_marketdata(meta)
} # }