tests/example-vwap.R

In jangorecki/dwtools: Data Warehouse related functions.

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)