bboread: Read in BBO data sets from CME Historical Datamine

In ProfMalloryResearch/BBOToolkit: Tools for Working with CME Group's Historical BBO Data sets

Description

This function is simply a wrapper for the read_fwf function in the readr package. Inside the function, start and end positions of the raw fixed width file are specified as documented at http://www.cmegroup.com/confluence/display/EPICSANDBOX/Best+Bid+Best+Offer+ASCII+Layout

Usage

bboread(x)

Arguments

x	is a path to a .txt file from the CME Group's historical datamine.

Details

For performance, only the bare minimum columns are read in.

Value

A datatable.

Examples

DATA <- bboread('data-raw/XCBT_C_FUT_110110.TXT')
head(DATA)

DATA <- bboread('C:/Users/mallorym/BBOCORNDATA/2012Jan-2013Nov_txt/BBO_CBT_20120102-20131130_9552_00.txt')  # A 'large' file.
head(DATA)

ProfMalloryResearch/BBOToolkit documentation built on May 8, 2019, 3:23 a.m.