R/bboread.R

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

#' Read in BBO data sets from CME Historical Datamine
#'
#' 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
#' For performance, only the bare minimum columns are read in.
#'
#' @param x is a .txt file from the CME Group's historical datamine.
#'
#' @return 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)






bboread <- function(x) {

  start <- c(1, 9, 15, 28, 32, 45, 53, 65)
  end   <- c(8, 14, 22, 31, 36, 51, 53, 70)
  columnnames <- c("TradeDate", "TradeTime", "TradeSeqNum", "DeliveryDate", "TrQuantity", "TrPrice", "ASKBID", "EntryDate")

  data <- read_fwf(x, fwf_positions(start, end, col_names = columnnames))
  return(data)
}