lemonmarkets

The goal of lemonmarkets is to provide an R interface to the lemon.markets trading API. The API docs are available at docs.lemon.markets.

Installation

You can install the development version of lemonmarkets like so:

remotes::install_github("quantargo/lemonmarkets")

Get Started

Before you can get started with the lemonmarkets API you need to get an API key from the web page. Currently there is still a waitlist since the service is not publicly available yet.

After you acquired the API keys we recommend to create a new file .Renviron within your R project directory and enter the keys there:

LEMON_MARKETS_CLIENT_ID=<your-client-id>
LEMON_MARKETS_CLIENT_SECRET=<your-client-secret>

The LEMON_MARKETS_CLIENT_ID and LEMON_MARKETS_CLIENT_SECRET are then available as environment variables within your R session. Alternatively, you can also set the environment variables directly within the R session as

Sys.setenv(LEMON_MARKETS_CLIENT_ID="<your-client-id>",
           LEMON_MARKETS_CLIENT_SECRET="<your-client-secret>")

Once you have set the environment variables you can load the lemonmarkets package and get your access token through the auth() function:

library(lemonmarkets)

auth()

All subsequent calls will use the resulting access token which is stored in options("LEMON_MARKETS_TOKEN").

Currenly, all trading operations are done through pre-defined sub-accounts (spaces). These spaces need to be created via the web fronted to retrieve its ID.

Searching for an instrument

You can search for an instrument, like Daimler stock, through instrument_search():

instruments_search(list(search = "daimler", type = "stock"))
#>           isin    wkn                name      title symbol  type
#> 1 US2338252073 A2DKLU DAIMLER AG ADRS/1/4 DAIMLER AG   DAII stock
#> 2 DE0007100000 710000  DAIMLER AG NA O.N. DAIMLER AG    DAI stock
#>              venues.name venues.title venues.mic venues.is_open venues.tradable
#> 1 Börse München - Gettex       Gettex       XMUN           TRUE            TRUE
#> 2 Börse München - Gettex       Gettex       XMUN           TRUE            TRUE
#>   venues.currency
#> 1             EUR
#> 2             EUR

Retrieving Market Data

To retrieve historical Open-High-Low-Close (OHCL) data for the German Daimler listing you can use the ohcl() function:

ohcl("DE0007100000", from = Sys.Date() - 7, freq = "daily")
#>                      open  high   low close
#> 2021-10-21 02:00:00 81.25 82.61 80.70 81.64
#> 2021-10-22 02:00:00 81.61 82.91 81.61 81.96
#> 2021-10-25 02:00:00 82.19 83.75 81.99 83.10
#> 2021-10-26 02:00:00 83.00 83.92 82.80 83.01
#> 2021-10-27 02:00:00 82.85 84.05 82.24 83.27
#> 2021-10-28 02:00:00 83.21 83.71 82.68 83.65

The example above retrieves daily data for the last week. Also other frequencies like like hourly and min (minute) are available.

Alternatively, you can also use quotes() to only retrieve the last market quote for an instrument:

quotes("DE0007100000")
#>           isin b_v a_v     b     a          t  mic
#> 1 DE0007100000 239 239 83.61 83.63 2021-10-28 XMUN

Get Current Cash Balance

The current cash balance of a specified space can be retrieved as

space_id <- "e44907b7-d131-4ec9-9647-a2649480003d"
bal <- balance(space_id)

Place an Order

You can place an order with the create_order() function. To place a market order of 5 shares for Daimler stock we can use

create_order(space_id, "DE0007100000", 5)

Note, that orders are immediatly activated per default. You can disable this features through the parameter activate=FALSE.

Get Current Portfolio

To get a list of the current portfolio we can use

portfolio(space_id)
#>    quantity average_price latest_total_value instrument.isin
#> 1         3      269.5000            808.500    DE000A1EWWW0
#> 2         8      107.9000            905.600    NL0000235190
#> 3         5      181.7000            908.500    DE000A0D9PT0
#> 4         8      115.1000            920.800    DE000SYM9999
#> 5        18       52.9000            950.400    DE0005552004
#> 6        16       59.7800            956.480    DE0005785802
#> 7         7      138.0800            966.560    DE0007236101
#> 8        24       40.6150            974.760    DE0005785604
#> 9        20       50.9875            984.598    DE000A0HN5C6
#> 10       62       16.5130            998.324    DE0005557508
#>               instrument.title
#> 1                    ADIDAS AG
#> 2                    AIRBUS SE
#> 3          MTU AERO ENGINES AG
#> 4                   SYMRISE AG
#> 5             DEUTSCHE POST AG
#> 6  FRESENIUS MEDICAL CARE KGAA
#> 7                   SIEMENS AG
#> 8      FRESENIUS SE & CO. KGAA
#> 9           DEUTSCHE WOHNEN SE
#> 10         DEUTSCHE TELEKOM AG

Quantargo Workspace Trading Example

The link below contains a fully-functioning Quantargo workspace which uses the package to daily re-balance a mean-reversion portfolio strategy:

https://www.quantargo.com/qbits/qbit-example-lemonmarkets-reversion-dax40?panel=viewer

Feedback

Please raise an issue through Github.