read_algoseek_futures_fullDepth: Load AlgoSeek Futures Full Depth data from zip files

In larryleihua/fmlr: Financial Machine Learning using R

Description

Load AlgoSeek Futures Full Depth data from zip files

Usage

read_algoseek_futures_fullDepth(zipdata, whichData = NULL)

Arguments

zipdata	the original zip data provided by AlgoSeek
whichData	the specific data to be loaded; by default load all data in the zip file

Author(s)

Larry Lei Hua

Examples

zipdata <- tempfile()
download.file("https://www.algoseek.com/static/files/sample_data/
futures_and_future_options/ESH5.Futures.FullDepth.20150128.csv.zip",zipdata)
dat <- read_algoseek_futures_fullDepth(zipdata)


# Do not run unless the file 20160104.zip is avaliable
# dat <- read_algoseek_futures_fullDepth("20160104.zip", whichData="ES/ESH6.csv")

larryleihua/fmlr documentation built on Jan. 31, 2020, 8:55 a.m.