README.md

In thanhuwe8/mladv: mladv - Machine Learning for Finance routines

mladv

The package mladv provide tools to clean, convert and analyze the financial data. It also provides various tools to apply machine learning to financial data.

Installation

We expect to release the package as soon as possible in CRAN. At the mean time, you can install it with devtools:

devtools::install_github("thanhuwe8/mladv")

Example

First you load the data from the package

library(mladv)
head(data1,3)
#>                  Time Price   Size cum_volume  ppt
#> 1 2018-12-17 10:15:36  21.6 123460     123460 1.31
#> 2 2018-12-17 10:15:47  21.6    400     123860 0.00
#> 3 2018-12-17 10:16:07  21.6   3000     126860 0.03

With the data_set, we can convert the raw market data into different bars such as time bars or volume bars as examples below with SSI_data

volume6000 <- volumebarr(data1, 15000)
head(volume6000)
#>                  Time  Open  High   Low Close Volume Transaction
#> 1 2018-12-17 12:15:36 21.60 21.60 21.60 21.60 123460           1
#> 2 2018-12-17 12:16:22 21.60 21.60 21.60 21.60  50340           4
#> 3 2018-12-17 12:17:12 21.60 21.60 21.55 21.60  15530           4
#> 4 2018-12-17 12:18:01 21.60 21.60 21.60 21.60  21930           9
#> 5 2018-12-17 12:18:43 21.60 21.65 21.60 21.65  31330           4
#> 6 2018-12-17 12:20:56 21.65 21.65 21.60 21.65  16410          12

minute_bar <- timebar(data1, "minute")
head(minute_bar)
#>                  Time  Open  High   Low Close Volume
#> 1 2018-12-17 12:16:22 21.60 21.60 21.60 21.60 173800
#> 2 2018-12-17 12:17:25 21.60 21.60 21.55 21.60  23270
#> 3 2018-12-17 12:18:31 21.60 21.60 21.60 21.60  15470
#> 4 2018-12-17 12:19:34 21.65 21.65 21.60 21.65  33930
#> 5 2018-12-17 12:20:30 21.65 21.65 21.60 21.60   5060
#> 6 2018-12-17 12:21:33 21.60 21.65 21.60 21.65  37130

We can still use functions from popular packages such as quantmod or ggplot2 with the return data.frame

We will add more useful functions later.

License

This project is licensed under the GPL3 License

thanhuwe8/mladv documentation built on June 9, 2019, 9:26 p.m.