FXtrade.transactions: Series of FX trade transactions

In WaveletComp: Computational Wavelet Analysis

Description

USD/euro FX (foreign exchange) trade: number of worldwide transactions recorded per 5-minute intervals in July 2010. The data set contains four full weekly cycles (plus three days at the beginning of July 2010), a weekly cycle lasting from Sunday, 21:00, to Friday, 20:55. The number of transactions between Friday, 21:00, and Sunday, 20:55, is 0 or close to 0. For these intervals, variable "active" is FALSE, otherwise TRUE.

Derived from data delivered by Morning Star.

Usage

data("FXtrade.transactions")

Format

A data frame of two columns:

	date	:	date and GMT time (resolution: 5 minutes),
			format: "%Y-%m-%d %H:%M:%S"
			(equivalently, "%F %T")
	transactions	:	number of transactions in the 5-minute interval
			starting with the time indicated
	active	:	trade activity indicator

Source

Morning Star, http://www.morningstar.com/

Examples

data(FXtrade.transactions)
plot(as.POSIXct(FXtrade.transactions$date, format = "%F %T", tz = "GMT"),
     FXtrade.transactions$transactions, 
     type = "l",
     xlab = "day", ylab = "transactions in 5-minute intervals")

Example output

WaveletComp documentation built on May 2, 2019, 6:33 a.m.