calc_PIC: Calculate daily price impact cost using wind tick data

In ylwpaopao/cnquant: Quantitative Analysis Tools in Chinese Stock Market

Description

calc_PIC() calculates daily price impact cost for a stock using wind tick data.

Usage

calc_PIC(tick_data)

Arguments

tick_data

A data frame. The tick data come from Wind. This function needs the columns "code", "time", "price", "ask10", "ask9", "ask8", "ask7", "ask6", "ask5", "ask4", "ask3", "ask2", "ask1", "bid1", "bid2", "bid3", "bid4", "bid5", "bid6", "bid7", "bid8", "bid9", "bid10", "asize10", "asize9", "asize8", "asize7", "asize6", "asize5", "asize4", "asize3", "asize2", "asize1", "bsize1", "bsize2", "bsize3", "bsize4", "bsize5", "bsize6", "bsize7", "bsize8", "bsize9", "bsize10".

Value

A numeric scalar.

ylwpaopao/cnquant documentation built on Dec. 2, 2019, 10:39 p.m.