I was looking at IMDb for Arrow, but it only shows the character as Roy. I've also never heard him referred by any code name in the show. Also, I'm not familiar with the Green Arrow comic. Is Roy based off on any character/s from the comics? If so, which? If not, then why was he added to the show?
Roy Harper is the real name of the comic character that has been known as Speedy (November 1941), Arsenal (July 1993) and Red Arrow (May 2007), aliases used as part of his sidekick duties to the Green Arrow, as well as lone hero. He goes under the same names in the Justice League/Unlimited and Young Justice cartoons.
Arrow-verse Roy has used the name Arsenal on screen as of Season 3, when he finally gets a suit. Per Wiki:
Producer Marc Guggenheim revealed that Roy would eventually take on the name Arsenal in the show, and wear red versions of Oliver's costume and equipment. The costume and red arrows appear in the premiere of Season 3. In the episode "Guilty", Oliver suggests the Arsenal moniker after the antagonist of the episode refers to Roy as "another weapon in Oliver's arsenal". In "Midnight City" and "Uprising", news reporters call him Red Arrow. He becomes a core and respected member of Oliver's team, leading their work in the field.
The name is also suggested for Oliver's kid sister Thea when Roy leaves Starling City, and gives her the uniform (She joked about Red Arrow), though she went with her nickname of Speedy as her official cape name.