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aquisicao_dados.spin.R
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aquisicao_dados.spin.R
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source("global.R")
##### Dados Macroeconômicos #####
###### Expactativas de Inflação 12 meses ######
expectativa_inflacao_12M <- rbcb::get_market_expectations("inflation-12-months", "IPCA",
end_date = "2022-12-31") |>
select(Data,Mediana) |>
rename(DT_COMPTC = Data) |>
mutate(MÊS = yearmonth(DT_COMPTC)) |>
mutate(ANO = lubridate::year(DT_COMPTC)) |>
mutate(TRIMESTRE = yearquarter(DT_COMPTC)) |>
mutate(SEMESTRE = paste0(ANO," S",lubridate::semester(DT_COMPTC)))
pin_write(board,
expectativa_inflacao_12M,
"expectativa_inflacao_12M",
type = "qs")
###### Abertura da Curva de Juros ######
df <- futures_mget(
first_date = "2005-01-01",
last_date = "2022-04-27",
by = 1
)
pin_write(board,
df,
"contratos_futuros",
type = "qs")
di1_futures <- df |>
lazy_dt() |>
filter(refdate > "2005-01-01") |>
filter(commodity == "DI1") |>
mutate(maturity_code = str_replace(maturity_code,"JAN","F")) |>
mutate(maturity_code = str_replace(maturity_code,"FEV","G")) |>
mutate(maturity_code = str_replace(maturity_code,"MAR","H")) |>
mutate(maturity_code = str_replace(maturity_code,"ABR","J")) |>
mutate(maturity_code = str_replace(maturity_code,"MAI","K")) |>
mutate(maturity_code = str_replace(maturity_code,"JUN","M")) |>
mutate(maturity_code = str_replace(maturity_code,"JUL","N")) |>
mutate(maturity_code = str_replace(maturity_code,"AGO","Q")) |>
mutate(maturity_code = str_replace(maturity_code,"SET","U")) |>
mutate(maturity_code = str_replace(maturity_code,"OUT","V")) |>
mutate(maturity_code = str_replace(maturity_code,"NOV","X")) |>
mutate(maturity_code = str_replace(maturity_code,"DEZ","Z")) |>
mutate(maturity_code = str_replace(maturity_code,"(?<=[:alpha:])\\d{1,1}$",
paste0("0",
str_extract(maturity_code,"\\d")))) |>
mutate(maturity_code = str_replace(maturity_code,"00","10")) |>
filter(str_detect(maturity_code,"F")) |>
mutate(maturity_date = maturity2date(maturity_code)) |>
mutate(fixing = following(maturity_date, "Brazil/ANBIMA"),
business_days = bizdays(refdate, maturity_date, "Brazil/ANBIMA"),
adjusted_tax = (100000 / price) ^ (252 / business_days) - 1) |>
collect()
di1_futures |>
filter(str_detect(maturity_code,"F")) |>
select(refdate,maturity_code,adjusted_tax) |>
group_by(refdate) |>
tidyr::nest() |>
mutate(data = lapply(data,function(df) tidyr::pivot_wider(df,
names_from = maturity_code,
values_from = adjusted_tax))) |>
mutate(data = purrr::map(data,function(df) df %>% mutate(Abertura_Curva5A = .[[6]]-.[[1]]))) |>
tidyr::unnest(data) |>
select(-starts_with("DI1")) -> Aberturas_Curva
pin_write(board,
Aberturas_Curva,
"Aberturas_Curva",
type = "qs")
###### Curva DIxPRE ######
yc_mget(
first_date = "2005-01-01",
last_date = "2022-04-27",
by = 1
) -> DI_PRE
pin_write(board,
DI_PRE,
"DI_PRE",
type = "qs")
##### Câmbio ########
dolar <- rbcb::get_series(c(USDBRL = 1)) |>
rename(DT_COMPTC = date) |>
mutate(MÊS = yearmonth(DT_COMPTC)) |>
mutate(ANO = lubridate::year(DT_COMPTC)) |>
mutate(TRIMESTRE = yearquarter(DT_COMPTC)) |>
mutate(SEMESTRE = paste0(ANO," S",lubridate::semester(DT_COMPTC))) |>
filter(ANO >= 2004)
pin_write(board,
dolar,
"dolar",
type = "qs")
####### Selic #######
selic <- rbcb::get_series(432) |>
rename(SELIC = `432`) |>
rename(DT_COMPTC = date) |>
mutate(MÊS = yearmonth(DT_COMPTC)) |>
mutate(ANO = lubridate::year(DT_COMPTC)) |>
mutate(TRIMESTRE = yearquarter(DT_COMPTC)) |>
mutate(SEMESTRE = paste0(ANO," S",lubridate::semester(DT_COMPTC))) |>
filter(ANO >= 2004)
pin_write(board,
selic,
"selic",
type = "qs")
###### IBOV #########
IBOV1 <- read_delim("D:/Tese/Dados/IBOV/Evolucao_Mensal.csv",
delim = ";",
escape_double = FALSE,
locale = locale(decimal_mark = ",",
grouping_mark = ".",
encoding = "WINDOWS-1252"),
trim_ws = TRUE)
IBOV2 <- read_delim("D:/Tese/Dados/IBOV/Evolucao_Mensal (1).csv",
delim = ";",
escape_double = FALSE,
locale = locale(decimal_mark = ",",
grouping_mark = ".",
encoding = "WINDOWS-1252"),
trim_ws = TRUE)
bind_rows(IBOV1,IBOV2) |>
mutate(COMPETENCIA = zoo::as.yearmon(paste0(as.character(lubridate::month(Mês,label = T))," ",Ano))) |>
select(COMPETENCIA,Valor) |>
rename(IBOV = Valor) -> IBOV
pin_write(board,
IBOV,
"IBOV",
type = "qs")
########### IPCA #############
IPCA <- rbcb::get_series(13522) |>
rename(IPCA = `13522`) |>
rename(DT_COMPTC = date) |>
mutate(MÊS = yearmonth(DT_COMPTC)) |>
mutate(ANO = lubridate::year(DT_COMPTC)) |>
mutate(TRIMESTRE = yearquarter(DT_COMPTC)) |>
mutate(SEMESTRE = paste0(ANO," S",lubridate::semester(DT_COMPTC)))
pin_write(board,
IPCA,
"IPCA",
type = "qs")
############## DADOS BALANCETES #################
plan(multisession, workers = 6)
meses_download <- format(seq(as.Date("2005-01-01"),as.Date("2014-12-31"),by = "month"),"%Y%m")
future_map(meses_download, function(mes){
tryCatch({
url <- paste0("https://dados.cvm.gov.br/dados/FI/DOC/BALANCETE/DADOS/HIST/balancete_fi_",mes,".zip")
destfile <- paste0("./balancetes/",mes,".zip")
download.file(url,destfile)
}, error = function(e){
url <- paste0("https://dados.cvm.gov.br/dados/FI/DOC/BALANCETE/DADOS/HIST/balancete_fi_",mes,".zip")
destfile <- paste0("./balancetes/",mes,".zip")
download.file(url,destfile)
})
})
meses_download <- format(seq(as.Date("2015-01-01"),as.Date("2021-06-01"),by = "month"),"%Y%m")
future_map(meses_download, function(mes){
tryCatch({
url <- paste0("https://dados.cvm.gov.br/dados/FI/DOC/BALANCETE/DADOS/balancete_fi_",mes,".zip")
destfile <- paste0("./balancetes/",mes,".zip")
download.file(url,destfile)
}, error = function(e){
url <- paste0("https://dados.cvm.gov.br/dados/FI/DOC/BALANCETE/DADOS/balancete_fi_",mes,".zip")
destfile <- paste0("./balancetes/",mes,".zip")
download.file(url,destfile)
})
})
zipfiles <- list.files("./balancetes/",full.names = T)
future_map(zipfiles,function(path){
unzip(path,exdir = "./balancetes/")
})
file.remove(zipfiles)
balancetes_path <- list.files("./balancetes/",full.names = T,pattern = ".csv")
future_map(balancetes_path,function(balancentes){
read_delim(balancentes,
delim = ";",
escape_double = FALSE,
locale = locale(),
trim_ws = TRUE) |>
lazy_dt() |>
dplyr::filter(CD_CONTA_BALCTE == "49983205") |>
dplyr::as_tibble() |>
dplyr::as_tibble()
}) -> taxa_performance_fundos
taxa_performance_fundos |>
dplyr::bind_rows() -> taxa_performance_fundos
pin_write(board,taxa_performance_fundos,"taxa_performance_fundos")
############ INFORME DIARIO #######################
anos_download <- unique(format(seq(as.Date("2005-01-01"),as.Date("2020-12-31"),by = "month"),"%Y"))
meses_download <- format(seq(as.Date("2021-01-01"),as.Date("2021-06-01"),by = "month"),"%Y%m")
future_map(anos_download, function(ano){
url <- paste0("https://dados.cvm.gov.br/dados/FI/DOC/INF_DIARIO/DADOS/HIST/inf_diario_fi_",ano,".zip")
destfile <- paste0("./informe_diario/",ano,".zip")
download.file(url,destfile)
})
future_map(meses_download, function(mes){
url <- paste0("https://dados.cvm.gov.br/dados/FI/DOC/INF_DIARIO/DADOS/inf_diario_fi_",mes,".zip")
destfile <- paste0("./informe_diario/",mes,".zip")
download.file(url,destfile)
})
zipfiles <- list.files("./informe_diario/",full.names = T)
future_map(zipfiles,function(path){
unzip(path,exdir = "./informe_diario/")
})
file.remove(zipfiles)
informes_path <- list.files("./informe_diario/",full.names = T,pattern = ".csv")
future_map(informes_path,function(informe){
read_delim(informe,
delim = ";",
escape_double = FALSE,
col_types = cols(DT_COMPTC = col_date(format = "%Y-%m-%d")),
locale = locale(),
trim_ws = TRUE)
}) -> informe_diario_fundos
bind_rows(informe_diario_fundos) -> informe_diario_fundos
pin_write(board,informe_diario_fundos,"informe_diario_fundos",type = "rds")
########################## EXTRATO DE FUNDOS ####################################################
download.file("https://dados.cvm.gov.br/dados/FI/DOC/EXTRATO/DADOS/extrato_fi.csv",
"./extrato/extrato_fi_atual.csv")
extrato_fi_atual <- read_delim("extrato/extrato_fi_atual.csv",
delim = ";", escape_double = FALSE, col_types = cols(DT_COMPTC = col_date(format = "%Y-%m-%d")),
locale = locale(encoding = "latin1"),
trim_ws = TRUE)
pin_write(board,extrato_fi_atual,"extrato_fi_atual",type = "rds")
######################## CASDASTRO DE FUNDOS ##########################################################
download.file("https://dados.cvm.gov.br/dados/FI/CAD/DADOS/cad_fi.csv",
"./extrato/cad_fi.csv")
cad_fi <- read_delim("extrato/cad_fi.csv",
delim = ";",
escape_double = FALSE,
col_types = cols(DT_REG = col_date(format = "%Y-%m-%d"),
DT_CONST = col_date(format = "%Y-%m-%d"),
DT_CANCEL = col_date(format = "%Y-%m-%d"),
DT_INI_SIT = col_date(format = "%Y-%m-%d"),
DT_INI_ATIV = col_date(format = "%Y-%m-%d"),
DT_INI_EXERC = col_date(format = "%Y-%m-%d"),
DT_FIM_EXERC = col_date(format = "%Y-%m-%d"),
DT_PATRIM_LIQ = col_date(format = "%Y-%m-%d")),
locale = locale(encoding = "latin1"),
trim_ws = TRUE)
pin_write(board,cad_fi,"cad_fi",type = "rds")
############## IMAS ############################
rbcb::get_series(12461) |>
rename(IRF_M = `12461`) |>
rename(DT_COMPTC = date) |>
mutate(MÊS = yearmonth(DT_COMPTC)) |>
mutate(ANO = lubridate::year(DT_COMPTC)) |>
mutate(TRIMESTRE = yearquarter(DT_COMPTC)) |>
mutate(SEMESTRE = paste0(ANO," S",lubridate::semester(DT_COMPTC))) -> IRF_M
rbcb::get_series(12462) |>
rename(IMA_S = `12462`) |>
rename(DT_COMPTC = date) |>
mutate(MÊS = yearmonth(DT_COMPTC)) |>
mutate(ANO = lubridate::year(DT_COMPTC)) |>
mutate(TRIMESTRE = yearquarter(DT_COMPTC)) |>
mutate(SEMESTRE = paste0(ANO," S",lubridate::semester(DT_COMPTC))) -> IMA_S
rbcb::get_series(12466) |>
rename(IMA_B = `12466`) |>
rename(DT_COMPTC = date) |>
mutate(MÊS = yearmonth(DT_COMPTC)) |>
mutate(ANO = lubridate::year(DT_COMPTC)) |>
mutate(TRIMESTRE = yearquarter(DT_COMPTC)) |>
mutate(SEMESTRE = paste0(ANO," S",lubridate::semester(DT_COMPTC))) -> IMA_B
pin_write(board,
IRF_M,
"IRF_M",
type = "qs")
pin_write(board,
IMA_S,
"IMA_S",
type = "qs")
pin_write(board,
IMA_B,
"IMA_B",
type = "qs")
###### CDI ########
CDI <- rbcb::get_series(4391) |>
rename(CDI = `4391`) |>
rename(DT_COMPTC = date) |>
mutate(MÊS = yearmonth(DT_COMPTC)) |>
mutate(ANO = lubridate::year(DT_COMPTC)) |>
mutate(TRIMESTRE = yearquarter(DT_COMPTC)) |>
mutate(SEMESTRE = paste0(ANO," S",lubridate::semester(DT_COMPTC)))
pin_write(board,
CDI,
"CDI",
type = "qs")