transform_ohlc: Transform to OHLC from tick data / order book data
In imlijunda/tswbench: Tushare Workbench
Description
Usage
Arguments
Details
Value
Description
Input data dt should have these columns:
Code, Date, Time, Price, Volume (Vol), Turnover (Tnvr)
Usage
1
transform_ohlc(dt, vol_acc)
Arguments
dt
tick data or order book data
vol_acc
whether volume data is accumulated, auto detected if not supplied
Details
Output data contains these columns:
Code, Date, Time, Open, High, Low, Close, Vol, Tnvr, VWAP, Avg
Note: this function sets key to dt on Code, Date, Time
Value
a data.table
imlijunda/tswbench documentation built on June 12, 2021, 12:45 p.m.
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.
Description Usage Arguments Details Value
Description
Input data dt should have these columns: Code, Date, Time, Price, Volume (Vol), Turnover (Tnvr)
Usage
1 | transform_ohlc(dt, vol_acc)
|
Arguments
dt |
tick data or order book data |
vol_acc |
whether volume data is accumulated, auto detected if not supplied |
Details
Output data contains these columns: Code, Date, Time, Open, High, Low, Close, Vol, Tnvr, VWAP, Avg
Note: this function sets key to dt on Code, Date, Time
Value
a data.table
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.