vwap: OHLC and VWAP

In jangorecki/dwtools: Data Warehouse related functions.

Description

Perform OHLC and VWAP on tick trades.

Usage

vwap(x, units, trunc_ceiling = "trunc")

Arguments

x	data.table of tick trades, columns: date, price, amount, tid, type.
units	time units period to aggregate.
trunc_ceiling	character, default trunc, also possible ceiling.

Details

Rows where amount==0 (normally should not happened) should be filtered before passing the tick data to the function.

Value

data.table aggregated to specified time units, price column is VWAP.

Examples

suppressPackageStartupMessages(library(dwtools))

# populate tick data
suppressPackageStartupMessages(library(Rbitcoin))
tick = market.api.process("hitbtc",c("BTC","USD"),"trades")[["trades"]]
print(tick)

# ohlc + vwap
DT = vwap(tick, "30 mins")
print(DT)

# same with timing
DT = timing(vwap(tick, "30 mins"), nrow(tick))
get.timing()

# ohlc + vwap, aggregate using ceiling
DT = vwap(tick, "30 mins", "ceiling")
print(DT)

jangorecki/dwtools documentation built on May 18, 2019, 12:24 p.m.