ghfd_read_file.trades: Reads zip file downloaded from Bovespa ftp (trades) -...

In msperlin/GetHFData: Download and Aggregate High Frequency Trading Data from Bovespa

Description

Reads zip file downloaded from Bovespa ftp (trades) - INTERNAL USE

Usage

ghfd_read_file.trades(
  out.file,
  my.assets = NULL,
  type.matching = NULL,
  first.time = "10:00:00",
  last.time = "17:00:00",
  type.output = "agg",
  agg.diff = "15 min"
)

Arguments

out.file	Name of zip file
my.assets	The tickers (symbols) of the derised assets to import data (e.g. c('PETR4', 'VALE5')). The function allow for partial patching (e.g. 'PETR' for all assets related to Petrobras). Default is set to NULL (download all available tickers)
type.matching	Type of matching for asset names in data ('exact' or 'partial')
first.time	The first intraday period to import the data. All trades/orders before this time of day are ignored. As character, e.g. '10:00:00'.
last.time	The last intraday period to import the data. All trades/orders after this time of day are ignored. As character, e.g. '18:00:00'.
type.output	Defines the type of output of the data. The choice 'agg' outputs aggregated data for time intervals defined in agg.diff. The choice 'raw' outputs the raw, tick by tick/order by order, data from the zip files.
agg.diff	The time interval used in the aggregation of data. Only used for type.output='agg'. It should contain a integer followed by a time unit ('sec' or 'secs', 'min' or 'mins', 'hour' or 'hours', 'day' or 'days'). Example: agg.diff = '15 mins', agg.diff = '1 hour'.

Value

A dataframe with trade data (aggregated or raw)

Examples

# no example

msperlin/GetHFData documentation built on July 4, 2020, 11:48 a.m.