classconstructor {DatastreamDSWS2R}R Documentation

dsws

Description

An R5/RC object for accessing the Refinitiv Datastream DSWS service.

Details

Creates an R5/RC4 object for accessing the Refinitiv Datastream DSWS service

Fields

tokenList

fieldDescription

tokenSource

fieldDescription

serverURL

fieldDescription

username

fieldDescription

password

fieldDescription

initialised

fieldDescription

errorlist

fieldDescription

requestList

fieldDescription

jsonResponseSaveFile

fieldDescription

jsonResponseLoadFile

fieldDescription

dataResponse

fieldDescription

symbolList

fieldDescription

myValues

fieldDescription

myTypes

fieldDescription

logging

fieldDescription

numDatatype

fieldDescription

numInstrument

fieldDescription

numRequests

fieldDescription

numChunks

fieldDescription

chunkLimit

fieldDescription

requestStringLimit

fieldDescription

logFileFolder

fieldDescription

Methods

initialize( dsws.serverURL = "", getTokenFunction = NULL, token = NULL, username = "", password = "", connect = TRUE )

initialises the class. Unless noConnect is TRUE also connects to the Datastream dsws server.

Authentication can be set in three ways: 1) If getTokenFunction is not null then that function is called. It is expected to return a list with items 'TokenValue' and 'TokenExpiry'.

2) An access token can also be passed into the class on initialisation, so that it can be shared between sessions. 'token' is expected to be a list with items 'TokenValue' and 'TokenExpiry'.

3) A username and password that are used to fetch a token from the DSWS server. If the username and password are not provided, then they are sourced from system enviroment variables (ie Sys.getenv) 'DatastreamUsername' and 'DatastreamPassword' or alternatively (not preferred) then from options()$Datastream.Username and options()$Datastream.Password

This allows the password to be stored in .Renviron or .RProfile rather than in the source code.

There is a difference in the Refinitiv's documentation about the chunk limit and different accounts have different limits. Some users are limited to 50 items while others are limited to 2000L. The chunk limit can be controlled by setting the chunkLimit parameter of the dsws object. If options()$Datastream.ChunkLimit is set then the value is taken from there.

listRequest(instrument, datatype = "", expression = "", requestDate)

Make a listRequest from Datastream DSWS. This is the equivalent to the Excel static request for a list.

Parameters are:

instrument

should contain a list mnemonic, such as 'LFTSE100' Can be a user created list or index. The UCL can contain expressions

datatype

array of datatypes eg NAME, MNEM, P, PE etc

expression

if datatype is null or ” then an expression eg PCH#(XXXX,3M)

requestDate

either a Date or a string with a datastream relative date eg '-3M'

Returns a data.frame with the requested data.

Examples: 

      mydsws$listRequest(instrument = "LFTSE100",
      datatype = c("NAME","P"), 
requestDate = "-0D")
    
      mydsws$listRequest(instrument = "LFTSE100",
      expression = "PCH#(XXXX,3M)", requestDate = Sys.Date())
snapshotRequest(instrument, datatype = "", expression = "", requestDate)

Make a snapshotRequest from Datastream DSWS. This is the equivalent to the Excel static request for an array of instruments.

Parameters are:

instrument

should one or more instruments eg "MKS" or c("MKS","@AAPL"). The array can contain Economics codes and Expressions.

datatype

array of datatypes eg NAME, MNEM, P, PE etc

expression

if datatype is null or ” then an expression eg PCH#(XXXX,3M)

requestDate

either a Date or a string with a datastream relative date eg '-3M'

Returns a data.frame with the requested data.

Examples: 

  mydsws$snapshotRequest(instrument = c("MKS","@AAPL"), 

   datatype = c("NAME","P"), requestDate = "-0D")
    
  mydsws$snapshotRequest(instrument = c("MKS","@AAPL"), 

   expression = "PCH#(XXXX,3M)", requestDate = "-0D")
timeSeriesListRequest( instrument, datatype = "", expression = "", startDate, endDate, frequency = "D", format = "ByInstrument" )

Make a timeSeriesListRequest from Datastream DSWS. This is the equivalent to the Excel timeseries request for an array of instruments. Should request either a datatype or an expression not both. If a datatype is provided then anything in Expression will be ignored.

Parameters are:

instrument

should contain a list mnemonic, such as "LFTSE100" . Can be a user created list or index. The UCL can contain expressions.

datatype

array of datatypes eg P, PE etc

expression

if datatype is null or ” then an expression

eg PCH#(XXXX,3M)

startDate

either a Date or a string with a datastream relative date

eg '-3M'

endDate

either a Date or a string with a datastream relative date

eg '-0D'

frequency

one of the standard Datastream frequencies - D, W, M, Q, or Y

format

can be either "ByInstrument" or "ByDatatype".

Returns either a single xts or a list of xts a data.frame with the requested data. If "ByInstrument" then the data is returned as one or more (ie a list) wide xts with one column per instrument. If "ByDatatype" then the data is returned as one or more (ie a list) of wide xts with one column per Datatype. This format is more compatible with the quantmod package.

Examples: 

  mydsws$timeSeriesListRequest(instrument = "LFTSE100",

    datatype = "P", startDate = "-30D",

    endDate = "-0D", frequency = "D")
    

  mydsws$timeSeriesListRequest(instrument = "LFTSE100", 

    expression = "PCH#(XXXX,3M)", 

    startDate = "-30D",

    endDate = "-0D", 

    frequency = "D")
    
  mydsws$timeSeriesListRequest(instrument = "LFTSE100", 

    datatype = ("P","UP"), startDate = "-30D",

    endDate = "-0D", 

    frequency = "D", format = "ByDatatype")
timeSeriesRequest( instrument, datatype = "", expression = "", startDate, endDate, frequency = "D", format = "ByInstrument" )

Return a timeSeriesRequest from Datastream dsws. Should request either a datatype or an expression not both. If a datatype is provided then anythink in Expression will be ignored

Make a timeSeriesRequest from Datastream DSWS. This is the equivalent to the Excel timeseries request for an array of instruments.

Parameters are:

instrument

should one or more instruments eg "MKS" or c("MKS","@AAPL"). The array can contain Economics codes and Expressions.

datatype

array of datatypes eg P, PE etc

expression

if datatype is null or ” then an expression eg PCH#(XXXX,3M)

startDate

either a Date or a string with a datastream relative date eg '-3M'

endDate

either a Date or a string with a datastream relative date eg '-0D'

frequency

one of the standard Datastream frequencies - D, W, M, Q, or Y

format

can be either "ByInstrument" or "ByDatatype".

Returns either a single xts or a list of xts a data.frame with the requested data. If "ByInstrument" then the data is returned as one or more (ie a list) wide xts with one column per instrument. If "ByDatatype" then the data is returned as one or more (ie a list) of wide xts with one column per Datatype. This format is more compatible with the quantmod package.

Examples: 

  mydsws$timeSeriesRequest(instrument = c("MKS","@AAPL"),

      datatype = "P", startDate = "-30D",

      endDate = "-0D", frequency = "D")
    

  mydsws$timeSeriesRequest(instrument = c("MKS"), 

      expression = "PCH#(XXXX,3M)", startDate = "-30D",

      endDate = "-0D", frequency = "D")
    
  mydsws$timeSeriesRequest(instrument = c("MKS","@AAPL"), 

      datatype = ("P","UP"), startDate = "-30D",

      endDate = "-0D", frequency = "D", format = "ByDatatype")

Examples

## Not run: 


     mydsws <- dsws$new()
     # Snapshot requests


     myData <- mydsws$snapshotRequest(instrument = c("ABF","RIO","WPP"),
                                      datatype = "P",
                                      requestDate = "0D")

     myData <- mydsws$snapshotRequest(instrument = c("ABF","RIO","WPP"),
                                      expression = "PCH#(XXXX,3M)",
                                      requestDate = "0D")
     myData <- mydsws$listRequest(instrument = "LFTSE100", datatype = "P", requestDate = "0D")

     mydsws$snapshotRequest(instrument = c("SWCNB10","UKEUSCCIR"),
                            datatype = c("MNEM","UPDATE"),
                            requestDate = "0D")
     mydsws$snapshotRequest(instrument = c("VOD", "HSBA"),
                            datatype="QTEALL",
                            requestDate = Sys.Date())
     mydsws$snapshotRequest(instrument = "STATS",
                            datatype = "DS.USERSTATS",
                            requestDate = Sys.Date())


     # Timeseries requests


     xtsData <- mydsws$timeSeriesRequest(instrument = "MKS",
                                         datatype = "MV",
                                         startDate = "-30D",
                                         endDate = "-0D",
                                         frequency = "D")

     xtsData <- mydsws$timeSeriesListRequest(instrument = "LFTSE100",
                                             datatype = "MV",
                                             startDate = "-30D",
                                             endDate = "-0D",
                                             frequency = "D")

## End(Not run)
[Package DatastreamDSWS2R version 1.9.7 Index]