GetHFData

B3 is shutting down its ftp site

Well, bad news travels fast. Over the last couple of weeks I’ve been receiving a couple of emails regarding B3’s decision of shutting down its ftp site. More specifically, users are eager to know how it will impact my data grabbing packages in CRAN. I’ll use this post to explain the situation for everyone. The only package affected directly will be GetHFData, which uses the ftp site for downloading the raw zipped files with trades and quotes.

Using R to download high frequency trade data diretcly from Bovespa

Recently, Bovespa, the Brazilian financial exchange company, allowed external access to its ftp site. In this address one can find several information regarding the Brazilian financial system, including datasets with high frequency (tick by tick) trading data for three different markets: equity, options and BMF. Downloading and processing these files, however, can be exausting. The dataset is composed of zip files with the whole trading data, separated by day and market.