Description Usage Arguments Details Value Author(s) See Also Examples
Calculates time series of ratio of 2 instruments using available data. Returned object will be ratios calculated using Bids, Asks, and Mids, or Opens, Closes, and Adjusteds.
1 | buildRatio(x, env = .GlobalEnv, silent = FALSE)
|
x |
vector of instrument names. e.g. c("SPY","DIA") |
env |
environment where xts data is stored |
silent |
silence warnings? |
x
should be a vector of 2 instrument names. An attempt will be made to get
the data
for both instruments. If there are no xts data stored under either of the names, it will try to
return prebuilt data with a call to .get_rate
.
If the data are not of the same frequency, or are not of the same type (OHLC, BBO, etc.) An attempt will be made to make them compatible. Preference is given to the first leg.
If the data in x[1]
is daily or slower and the data in x[2]
is intraday
(e.g. if you give it daily OHLC and intraday Bid Ask Mid, it will use all of
the OHLC columns of x[1]
and only the the End of Day Mid price of the BAM object.
If the data in x[1]
is intraday, and the data in x[2]
is daily or slower,
for each day, the previous closing value of x[2]
will be filled forward with na.locf
An xts object with columns of Bid, Ask, Mid OR Open, Close, Adjusted OR Price
Garrett See
redenominate
buildSpread
fn_SpreadBuilder
1 2 3 4 5 6 7 | ## Not run:
syms <- c("SPY","DIA")
getSymbols(syms)
rat <- buildRatio(syms)
summary(rat)
## End(Not run)
|
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