save_taq: Load and scrub multiple days of _TAQ_ data for a single...

In algoquant/HighFreq: High Frequency Time Series Management

Load and scrub multiple days of TAQ data for a single symbol, and save it to multiple ‘*.RData’ files.

Description

Load and scrub multiple days of TAQ data for a single symbol, and save it to multiple ‘*.RData’ files.

Usage

save_taq(
  symbol,
  data_dir = "E:/mktdata/sec/",
  output_dir = "E:/output/data/",
  look_back = 51,
  vol_mult = 2,
  tzone = "America/New_York"
)

Details

The function save_taq() loads multiple days of TAQ data, scrubs it, and saves the scrubbed TAQ data to individual ‘*.RData’ files. It uses the same file names for output as the input file names. The TAQ data files are assumed to be stored in separate directories for each ‘symbol’. Each ‘symbol’ has its own directory (named ‘symbol’) in the ‘data_dir’ directory. Each ‘symbol’ directory contains multiple daily ‘*.RData’ files, each file containing one day of TAQ data.

Value

a TAQ time series in xts format.

Examples

## Not run: 
save_taq("SPY")

## End(Not run)

algoquant/HighFreq documentation built on Feb. 9, 2024, 8:15 p.m.