GetHFData

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.