filte.univ <- function(data, univ, by = NULL){
if(is.array(univ)){
data <- data[get(SYMBOL) %chin% univ]
}else if(inherits(univ, 'data.table')){
if(is.null(by)){
if(all(c('K','D','T') %in% colnames(data) &
c('K','D','T') %in% colnames(univ))){
by <- c('K', 'D', 'T')
}else{
by <- c(SYMBOL, DATE, TIME)
}
}
univ.name <- colnames(univ)[!colnames(univ) %in% by]
data <- merge(data, univ, by = by)
data <- data[get(univ.name)==1,][,-which(univ.name == colnames(data)),with = FALSE]
}
}
winsorize <- function(x, p = 0.05){
thres <- quantile(x,probs = c(p,1-p), na.rm = TRUE)
x[x<thres[1]] <- thres[1]
x[x>thres[2]] <- thres[2]
x
}
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