calculate_price_impact_cost: Calculate daily price impact cost using wind tick data

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

Description

calculate_price_impact_cost() calculates daily price impact cost for a stock by using wind tick data

Usage

calculate_price_impact_cost(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 double matrix.

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