from moexalgo import Market, Ticker
# Акции SBER
sber = Ticker('SBER')
# Все акции
stocks = Market('stocks')
Классические свечи OHLCV. Гранулярность данных 1 мин (1m), 10 мин (10m), 1 час (60m), 1 день (1d)
# Свечи по акциям SBER за период
sber.candles(date='2023-10-10', till_date='2023-10-18', period='10m').head()
| open | close | high | low | value | volume | begin | end | |
|---|---|---|---|---|---|---|---|---|
| 0 | 264.89 | 264.89 | 264.89 | 264.89 | 68129708.0 | 257200.0 | 2023-10-10 09:50:00 | 2023-10-10 09:59:59 |
| 1 | 264.90 | 264.25 | 265.18 | 263.80 | 573080891.3 | 2167670.0 | 2023-10-10 10:00:00 | 2023-10-10 10:09:59 |
| 2 | 264.26 | 264.22 | 264.95 | 263.90 | 441929827.4 | 1671130.0 | 2023-10-10 10:10:00 | 2023-10-10 10:19:59 |
| 3 | 264.22 | 264.23 | 264.45 | 264.05 | 187603360.0 | 710040.0 | 2023-10-10 10:20:00 | 2023-10-10 10:29:59 |
| 4 | 264.23 | 264.23 | 264.58 | 264.20 | 217393400.8 | 822500.0 | 2023-10-10 10:30:00 | 2023-10-10 10:39:59 |
Торговая статистика на основе сделок. Гранулярность данных 5 мин.
# Данные по акциям SBER за период
sber.tradestats(date='2023-10-10', till_date='2023-10-18').head()
| ticker | tradedate | tradetime | pr_open | pr_high | pr_low | pr_close | pr_std | vol | val | ... | trades_b | trades_s | val_b | val_s | vol_b | vol_s | disb | pr_vwap_b | pr_vwap_s | systime | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | SBER | 2023-10-10 | 10:05:00 | 264.90 | 265.18 | 264.43 | 264.46 | 0.0001 | 89034 | 235729237.0 | ... | 1200 | 1166 | 127171136.0 | 108558102.0 | 48039 | 40995 | 0.0791 | 264.72 | 264.81 | 2023-10-10 10:05:45 |
| 1 | SBER | 2023-10-10 | 10:10:00 | 264.46 | 264.50 | 263.80 | 264.25 | 0.0001 | 127733 | 337351654.0 | ... | 1388 | 920 | 224382533.0 | 112969121.0 | 84962 | 42771 | 0.3303 | 264.10 | 264.13 | 2023-10-10 10:10:15 |
| 2 | SBER | 2023-10-10 | 10:15:00 | 264.26 | 264.95 | 264.12 | 264.94 | 0.0001 | 88051 | 232913970.0 | ... | 567 | 1059 | 44387884.0 | 188526086.0 | 16784 | 71267 | -0.6188 | 264.47 | 264.53 | 2023-10-10 10:15:15 |
| 3 | SBER | 2023-10-10 | 10:20:00 | 264.91 | 264.94 | 263.90 | 264.22 | 0.0001 | 79062 | 209015857.0 | ... | 1085 | 610 | 160063513.0 | 48952344.0 | 60553 | 18509 | 0.5318 | 264.34 | 264.48 | 2023-10-10 10:20:15 |
| 4 | SBER | 2023-10-10 | 10:25:00 | 264.22 | 264.35 | 264.05 | 264.10 | 0.0000 | 31648 | 83606468.0 | ... | 549 | 574 | 38983453.0 | 44623014.0 | 14758 | 16890 | -0.0674 | 264.15 | 264.20 | 2023-10-10 10:25:15 |
5 rows × 23 columns
# Данные по всем акциям за дату. Чтобы получить данные за период, нужно запустить цикл по датам
stocks.tradestats(date='2023-10-10').head()
| ticker | tradedate | tradetime | pr_open | pr_high | pr_low | pr_close | pr_std | vol | val | ... | trades_b | trades_s | val_b | val_s | vol_b | vol_s | disb | pr_vwap_b | pr_vwap_s | systime | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | ABIO | 2023-10-10 | 10:05:00 | 119.520 | 119.800 | 114.000 | 117.380 | 0.0017 | 45904 | 53480659.0 | ... | 790 | 647 | 26739096.0 | 26741564.0 | 22972 | 22932 | 0.0009 | 116.400 | 116.610 | 2023-10-10 10:05:45 |
| 1 | ABRD | 2023-10-10 | 10:05:00 | 305.600 | 307.400 | 305.600 | 306.600 | 0.0007 | 480 | 1471600.0 | ... | 13 | 36 | 330580.0 | 1141020.0 | 108 | 372 | -0.5500 | 306.100 | 306.700 | 2023-10-10 10:05:45 |
| 2 | AFKS | 2023-10-10 | 10:05:00 | 17.601 | 17.606 | 17.501 | 17.511 | 0.0003 | 10943 | 19184630.0 | ... | 152 | 206 | 13324856.0 | 5859774.0 | 7602 | 3341 | 0.3894 | 17.528 | 17.539 | 2023-10-10 10:05:45 |
| 3 | AFLT | 2023-10-10 | 10:05:00 | 40.560 | 40.590 | 40.470 | 40.550 | 0.0004 | 4517 | 1830401.0 | ... | 46 | 139 | 477847.0 | 1352554.0 | 1180 | 3337 | -0.4775 | 40.500 | 40.530 | 2023-10-10 10:05:45 |
| 4 | AGRO | 2023-10-10 | 10:05:00 | 1200.000 | 1209.600 | 1200.000 | 1209.600 | 0.0004 | 5834 | 7036248.0 | ... | 60 | 265 | 1252224.0 | 5784024.0 | 1039 | 4795 | -0.6438 | 1205.200 | 1206.300 | 2023-10-10 10:05:45 |
5 rows × 23 columns
Торговая статистика на основе заявок. Гранулярность данных 5 мин.
# Данные по акциям SBER за период
sber.orderstats(date='2023-10-10', till_date='2023-10-18').head()
| ticker | tradedate | tradetime | put_orders_b | put_orders_s | put_val_b | put_val_s | put_vol_b | put_vol_s | put_vwap_b | ... | cancel_val_b | cancel_val_s | cancel_vol_b | cancel_vol_s | cancel_vwap_b | cancel_vwap_s | cancel_vol | cancel_val | cancel_orders | systime | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | SBER | 2023-10-10 | 10:00:00 | 5499 | 3695 | 1.139658e+09 | 1.561519e+09 | 439030 | 585474 | 259.59 | ... | 2.684236e+08 | 4.233117e+08 | 100219 | 163705 | 267.84 | 258.58 | 263924 | 6.917352e+08 | 586 | 2023-10-10 10:00:21 |
| 1 | SBER | 2023-10-10 | 10:05:00 | 12587 | 15586 | 4.008738e+09 | 5.575253e+09 | 1511545 | 2038427 | 265.21 | ... | 3.640648e+09 | 4.970981e+09 | 1375738 | 1862514 | 264.63 | 266.90 | 3238252 | 8.611629e+09 | 24903 | 2023-10-10 10:45:25 |
| 2 | SBER | 2023-10-10 | 10:10:00 | 5568 | 6803 | 1.940720e+09 | 2.659229e+09 | 714619 | 1002342 | 271.57 | ... | 1.463819e+09 | 2.290195e+09 | 545309 | 863399 | 268.44 | 265.25 | 1408708 | 3.754014e+09 | 9355 | 2023-10-10 10:45:57 |
| 3 | SBER | 2023-10-10 | 10:15:00 | 6289 | 5902 | 2.387144e+09 | 2.482852e+09 | 898471 | 934900 | 265.69 | ... | 2.092585e+09 | 2.292207e+09 | 781963 | 864446 | 267.61 | 265.16 | 1646409 | 4.384792e+09 | 10078 | 2023-10-10 10:46:26 |
| 4 | SBER | 2023-10-10 | 10:20:00 | 5046 | 5911 | 1.633824e+09 | 2.524491e+09 | 616055 | 955082 | 265.21 | ... | 1.478751e+09 | 2.284129e+09 | 559684 | 862257 | 264.21 | 264.90 | 1421941 | 3.762880e+09 | 9225 | 2023-10-10 10:46:54 |
5 rows × 26 columns
# Данные по всем акциям за дату. Чтобы получить данные за период, нужно запустить цикл по датам
stocks.orderstats(date='2023-10-10').head()
| ticker | tradedate | tradetime | put_orders_b | put_orders_s | put_val_b | put_val_s | put_vol_b | put_vol_s | put_vwap_b | ... | cancel_val_b | cancel_val_s | cancel_vol_b | cancel_vol_s | cancel_vwap_b | cancel_vwap_s | cancel_vol | cancel_val | cancel_orders | systime | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | ABIO | 2023-10-10 | 10:00:00 | 384 | 421 | 12475618.0 | 26136863.0 | 10800 | 20900 | 115.510 | ... | 2540423.0 | 2224920.0 | 2157 | 1822 | 117.780 | 122.110 | 3979 | 4765342.0 | 42 | 2023-10-10 10:00:21 |
| 1 | ABRD | 2023-10-10 | 10:00:00 | 343 | 227 | 10453174.0 | 10150396.0 | 3567 | 3213 | 293.100 | ... | 50846.0 | 2984728.0 | 17 | 957 | 299.100 | 311.900 | 974 | 3035574.0 | 39 | 2023-10-10 10:00:21 |
| 2 | AFKS | 2023-10-10 | 10:00:00 | 1177 | 749 | 90676912.0 | 74590410.0 | 53107 | 41401 | 17.074 | ... | 11183377.0 | 6133875.0 | 6397 | 3459 | 17.482 | 17.733 | 9856 | 17317252.0 | 159 | 2023-10-10 10:00:21 |
| 3 | AFLT | 2023-10-10 | 10:00:00 | 1455 | 808 | 36591537.0 | 82398678.0 | 92884 | 199320 | 39.390 | ... | 467176.0 | 42608262.0 | 1165 | 104350 | 40.100 | 40.830 | 105515 | 43075438.0 | 87 | 2023-10-10 10:00:21 |
| 4 | AGRO | 2023-10-10 | 10:00:00 | 492 | 390 | 23522081.0 | 18425322.0 | 20206 | 14848 | 1164.100 | ... | 3279681.0 | 534936.0 | 2756 | 448 | 1190.000 | 1194.100 | 3204 | 3814617.0 | 76 | 2023-10-10 10:00:21 |
5 rows × 26 columns
Торговая статистика на основе стакана заявок. Гранулярность данных 5 мин.
# Данные по акциям SBER за период
sber.obstats(date='2023-10-10', till_date='2023-10-18').head()
| ticker | tradedate | tradetime | spread_bbo | spread_lv10 | spread_1mio | levels_b | levels_s | vol_b | vol_s | ... | val_s | imbalance_vol_bbo | imbalance_val_bbo | imbalance_vol | imbalance_val | vwap_b | vwap_s | vwap_b_1mio | vwap_s_1mio | systime | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | SBER | 2023-10-10 | 10:00:00 | 0.4 | 21.2 | 6.1 | 1335 | 786 | 313119 | 396049 | ... | 1076143580 | 0.94 | 0.94 | -0.12 | -0.15 | 255.92 | 271.72 | 264.82 | 264.98 | 2023-10-10 11:30:00 |
| 1 | SBER | 2023-10-10 | 10:05:00 | 1.0 | 8.7 | 2.2 | 1387 | 856 | 3494236 | 4569636 | ... | 1241102353 | -0.11 | -0.11 | -0.13 | -0.16 | 256.25 | 271.59 | 264.80 | 264.86 | 2023-10-11 11:57:08 |
| 2 | SBER | 2023-10-10 | 10:10:00 | 0.8 | 8.1 | 1.6 | 1401 | 922 | 3939252 | 5096615 | ... | 1383499548 | -0.04 | -0.04 | -0.13 | -0.16 | 256.41 | 271.46 | 264.16 | 264.21 | 2023-10-11 11:57:12 |
| 3 | SBER | 2023-10-10 | 10:15:00 | 0.7 | 8.0 | 1.7 | 1450 | 939 | 4450639 | 5090687 | ... | 1381519454 | -0.20 | -0.20 | -0.07 | -0.09 | 257.09 | 271.38 | 264.45 | 264.49 | 2023-10-11 11:57:12 |
| 4 | SBER | 2023-10-10 | 10:20:00 | 0.7 | 7.9 | 1.5 | 1473 | 968 | 4542218 | 5169086 | ... | 1402256629 | 0.38 | 0.38 | -0.06 | -0.09 | 257.10 | 271.28 | 264.51 | 264.55 | 2023-10-11 11:57:13 |
5 rows × 21 columns
# Данные по всем акциям за дату. Чтобы получить данные за период, нужно запустить цикл по датам
stocks.obstats(date='2023-10-10').head()
| ticker | tradedate | tradetime | spread_bbo | spread_lv10 | spread_1mio | levels_b | levels_s | vol_b | vol_s | ... | val_s | imbalance_vol_bbo | imbalance_val_bbo | imbalance_vol | imbalance_val | vwap_b | vwap_s | vwap_b_1mio | vwap_s_1mio | systime | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | ABIO | 2023-10-10 | 10:00:00 | 15.1 | 146.9 | 92.6 | 155 | 160 | 8103 | 18959 | ... | 23779942 | 0.62 | 0.61 | -0.40 | -0.44 | 114.500 | 125.43 | 118.790 | 119.890 | 2023-10-10 11:30:00 |
| 1 | ABRD | 2023-10-10 | 10:00:00 | 19.6 | 211.6 | 140.1 | 97 | 79 | 3523 | 2239 | ... | 7116490 | -0.56 | -0.56 | 0.22 | 0.18 | 292.800 | 317.80 | 303.000 | 307.300 | 2023-10-10 11:30:00 |
| 2 | AFKS | 2023-10-10 | 10:00:00 | 4.0 | 61.1 | 25.6 | 406 | 321 | 45392 | 36711 | ... | 66301774 | -0.44 | -0.44 | 0.11 | 0.08 | 16.992 | 18.06 | 17.564 | 17.609 | 2023-10-10 11:30:00 |
| 3 | AFLT | 2023-10-10 | 10:00:00 | 12.3 | 111.5 | 37.1 | 273 | 246 | 90852 | 96503 | ... | 40436571 | -0.99 | -0.99 | -0.03 | -0.06 | 39.350 | 41.90 | 40.460 | 40.610 | 2023-10-10 11:30:00 |
| 4 | AGRO | 2023-10-10 | 10:00:00 | 10.0 | 90.3 | 70.2 | 190 | 170 | 17194 | 14194 | ... | 17643759 | 0.12 | 0.12 | 0.10 | 0.06 | 1159.100 | 1243.00 | 1196.000 | 1204.400 | 2023-10-10 11:30:00 |
5 rows × 21 columns