to_ticks: Convert candles to ticks
In QuantTools: Enhanced Quantitative Trading Modelling
Description
Usage
Arguments
Details
Examples
Description
Convert candles to ticks
Usage
1
to_ticks(x)
Arguments
x
candles, read 'Candles' in Processor
Details
Convert OHLCV candles to ticks using the following model. One candle is equivalent to four ticks ( time, price, volume ): ( time - period, open, volume / 4 ); ( time - period / 2, high, volume / 4 ); ( time - period / 2, low, volume / 4 ); ( time - period / 100, close, volume / 4 ). Assuming provided candles have frequent period ( less than a minute ) it is a good approximation for tick data which can be used to speed up back testing or if no raw tick data available.
Examples
1
2
3
data( ticks )
candles = to_candles( ticks, timeframe = 60 )
to_ticks( candles )
QuantTools documentation built on Oct. 23, 2020, 7:54 p.m.
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Description Usage Arguments Details Examples
Description
Convert candles to ticks
Usage
1 | to_ticks(x)
|
Arguments
x |
candles, read 'Candles' in Processor |
Details
Convert OHLCV candles to ticks using the following model. One candle is equivalent to four ticks ( time, price, volume ): ( time - period, open, volume / 4 ); ( time - period / 2, high, volume / 4 ); ( time - period / 2, low, volume / 4 ); ( time - period / 100, close, volume / 4 ). Assuming provided candles have frequent period ( less than a minute ) it is a good approximation for tick data which can be used to speed up back testing or if no raw tick data available.
Examples
1 2 3 | data( ticks )
candles = to_candles( ticks, timeframe = 60 )
to_ticks( candles )
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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