Tick2Sec: Convert tick data to one-second data

In redmode/FinancialInstrument: Financial Instrument Model Infrastructure for R

Description

This is like taking a snapshot of the market at the end of every second, except the volume over the second is summed.

Usage

  to_secBATV(x)

  alltick2sec(getdir = "~/TRTH/tick/",
    savedir = "~/TRTH/sec/", Symbols = list.files(getdir),
    overwrite = FALSE)

Arguments

x	the xts series to convert to 1 minute BATV
getdir	Directory that contains tick data
savedir	Directory in which to save converted data
Symbols	String names of instruments to convert
overwrite	TRUE/FALSE. If file already exists in savedir, should it be overwritten?

Details

From tick data with columns: “Price”, “Volume”, “Bid.Price”, “Bid.Size”, “Ask.Price”, “Ask.Size”, to data of one second frequency with columns “Bid.Price”, “Bid.Size”, “Ask.Price”, “Ask.Size”, “Trade.Price”, and “Volume”

The primary purpose of these functions is to reduce the amount of data on disk so that it will take less time to load the data into memory.

If there are no trades or bid/ask price updates in a given second, we will not make a row for that timestamp. If there were no trades, but the bid or ask price changed, then we _will_ have a row but the Volume and Trade.Price will be NA.

If there are multiple trades in the same second, Volume will be the sum of the volume, but only the last trade price in that second will be printed. Similarly, if there is a trade, and then later in the same second, there is a bid/ask update, the last Bid/Ask Price/Size will be used.

alltick2sec is used to convert the data of several files from tick to one second frequency data.

Value

to_secBATV returns an xts object of one second frequency. alltick2sec returns a list of files that were converted.

Note

to_secBATV is used by the TRTH_BackFill.R script in the inst/parser directory of the FinancialInstrument package. These functions are specific to to data created by that script and are not intended for more general use.

Author(s)

gsee

Examples

## Not run: 
getSymbols("CLU1")
system.time(xsec <- to_secBATV(CLU1))
convert.log <- alltick2sec()

## End(Not run)

redmode/FinancialInstrument documentation built on May 27, 2019, 4:03 a.m.