ylwpaopao/cnquant
Quantitative Analysis Tools in Chinese Stock Market

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R/calculate_price_impact_cost.R

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

Defines functions calculate_price_impact_cost

Documented in calculate_price_impact_cost 

#' Calculate daily price impact cost using wind tick data
#'
#' \code{calculate_price_impact_cost()} calculates daily price impact cost for a stock by using wind tick data
#'
#' @param 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".
#'
#' @return A double matrix.
#' @export
#'
#' @examples
calculate_price_impact_cost <- function(tick_data){

  if ((ncol(tick_data) == 43) &
      (nrow(tick_data) > 1000)) {

    if((sum(tick_data[c("ask10", "ask9", "ask8", "ask7", "ask6",
                        "ask5", "ask4", "ask3", "ask2", "ask1",
                        "bid1", "bid2", "bid3", "bid4", "bid5",
                        "bid6", "bid7", "bid8", "bid9", "bid10")], na.rm = T) != 0)){

      ## 取时间段为9：30：01—14：56：59
      stkcode <- tick_data$code[1]

      price_impact_cost <- tick_data %>%
        dplyr::filter(time >= 93001000 & time <= 145659000) %>%
        dplyr::select(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) %>%
        dplyr::group_by(time) %>%
        dplyr::slice(n()) %>%
        dplyr::ungroup()

      price_impact_cost <- price_impact_cost %>%
        dplyr::mutate_at(dplyr::vars(price, ask10:bid10), dplyr::funs(. / 10 ^ 4)) %>%   # 价格单位：元
        dplyr::mutate_at(dplyr::vars(asize10:bsize10), dplyr::funs(. / 10 ^ 6)) %>%   # 委托量单位：百万股
        dplyr::mutate(cf_buy_1 = ask1 * asize1,
                      cf_buy_2 = cf_buy_1 + ask2 * asize2,
                      cf_buy_3 = cf_buy_2 + ask3 * asize3,
                      cf_buy_4 = cf_buy_3 + ask4 * asize4,
                      cf_buy_5 = cf_buy_4 + ask5 * asize5,
                      cf_buy_6 = cf_buy_5 + ask6 * asize6,
                      cf_buy_7 = cf_buy_6 + ask7 * asize7,
                      cf_buy_8 = cf_buy_7 + ask8 * asize8,
                      cf_buy_9 = cf_buy_8 + ask9 * asize9,
                      cf_buy_10 = cf_buy_9 + ask10 * asize10,
                      cf_sell_1 = bid1 * bsize1,
                      cf_sell_2 = cf_sell_1 + bid2 * bsize2,
                      cf_sell_3 = cf_sell_2 + bid3 * bsize3,
                      cf_sell_4 = cf_sell_3 + bid4 * bsize4,
                      cf_sell_5 = cf_sell_4 + bid5 * bsize5,
                      cf_sell_6 = cf_sell_5 + bid6 * bsize6,
                      cf_sell_7 = cf_sell_6 + bid7 * bsize7,
                      cf_sell_8 = cf_sell_7 + bid8 * bsize8,
                      cf_sell_9 = cf_sell_8 + bid9 * bsize9,
                      cf_sell_10 = cf_sell_9 + bid10 * bsize10,
                      pi_buy_1 = (ask1 - price) / price,
                      pi_buy_2 = (ask2 - price) / price,
                      pi_buy_3 = (ask3 - price) / price,
                      pi_buy_4 = (ask4 - price) / price,
                      pi_buy_5 = (ask5 - price) / price,
                      pi_buy_6 = (ask6 - price) / price,
                      pi_buy_7 = (ask7 - price) / price,
                      pi_buy_8 = (ask8 - price) / price,
                      pi_buy_9 = (ask9 - price) / price,
                      pi_buy_10 = (ask10 - price) / price,
                      pi_sell_1 = (bid1 - price) / price,
                      pi_sell_2 = (bid2 - price) / price,
                      pi_sell_3 = (bid3 - price) / price,
                      pi_sell_4 = (bid4 - price) / price,
                      pi_sell_5 = (bid5 - price) / price,
                      pi_sell_6 = (bid6 - price) / price,
                      pi_sell_7 = (bid7 - price) / price,
                      pi_sell_8 = (bid8 - price) / price,
                      pi_sell_9 = (bid9 - price) / price,
                      pi_sell_10 = (bid10 - price) / price)

      ## 考虑有些没有挂单
      price_impact_cost$cf_buy_1[price_impact_cost$ask1 == 0] <- NA
      price_impact_cost$cf_buy_2[price_impact_cost$ask2 == 0] <- NA
      price_impact_cost$cf_buy_3[price_impact_cost$ask3 == 0] <- NA
      price_impact_cost$cf_buy_4[price_impact_cost$ask4 == 0] <- NA
      price_impact_cost$cf_buy_5[price_impact_cost$ask5 == 0] <- NA
      price_impact_cost$cf_buy_6[price_impact_cost$ask6 == 0] <- NA
      price_impact_cost$cf_buy_7[price_impact_cost$ask7 == 0] <- NA
      price_impact_cost$cf_buy_8[price_impact_cost$ask8 == 0] <- NA
      price_impact_cost$cf_buy_9[price_impact_cost$ask9 == 0] <- NA
      price_impact_cost$cf_buy_10[price_impact_cost$ask10 == 0] <- NA
      price_impact_cost$cf_sell_1[price_impact_cost$bid1 == 0] <- NA
      price_impact_cost$cf_sell_2[price_impact_cost$bid2 == 0] <- NA
      price_impact_cost$cf_sell_3[price_impact_cost$bid3 == 0] <- NA
      price_impact_cost$cf_sell_4[price_impact_cost$bid4 == 0] <- NA
      price_impact_cost$cf_sell_5[price_impact_cost$bid5 == 0] <- NA
      price_impact_cost$cf_sell_6[price_impact_cost$bid6 == 0] <- NA
      price_impact_cost$cf_sell_7[price_impact_cost$bid7 == 0] <- NA
      price_impact_cost$cf_sell_8[price_impact_cost$bid8 == 0] <- NA
      price_impact_cost$cf_sell_9[price_impact_cost$bid9 == 0] <- NA
      price_impact_cost$cf_sell_10[price_impact_cost$bid10 == 0] <- NA
      price_impact_cost$pi_buy_1[price_impact_cost$ask1 == 0] <- NA
      price_impact_cost$pi_buy_2[price_impact_cost$ask2 == 0] <- NA
      price_impact_cost$pi_buy_3[price_impact_cost$ask3 == 0] <- NA
      price_impact_cost$pi_buy_4[price_impact_cost$ask4 == 0] <- NA
      price_impact_cost$pi_buy_5[price_impact_cost$ask5 == 0] <- NA
      price_impact_cost$pi_buy_6[price_impact_cost$ask6 == 0] <- NA
      price_impact_cost$pi_buy_7[price_impact_cost$ask7 == 0] <- NA
      price_impact_cost$pi_buy_8[price_impact_cost$ask8 == 0] <- NA
      price_impact_cost$pi_buy_9[price_impact_cost$ask9 == 0] <- NA
      price_impact_cost$pi_buy_10[price_impact_cost$ask10 == 0] <- NA
      price_impact_cost$pi_sell_1[price_impact_cost$bid1 == 0] <- NA
      price_impact_cost$pi_sell_2[price_impact_cost$bid2 == 0] <- NA
      price_impact_cost$pi_sell_3[price_impact_cost$bid3 == 0] <- NA
      price_impact_cost$pi_sell_4[price_impact_cost$bid4 == 0] <- NA
      price_impact_cost$pi_sell_5[price_impact_cost$bid5 == 0] <- NA
      price_impact_cost$pi_sell_6[price_impact_cost$bid6 == 0] <- NA
      price_impact_cost$pi_sell_7[price_impact_cost$bid7 == 0] <- NA
      price_impact_cost$pi_sell_8[price_impact_cost$bid8 == 0] <- NA
      price_impact_cost$pi_sell_9[price_impact_cost$bid9 == 0] <- NA
      price_impact_cost$pi_sell_10[price_impact_cost$bid10 == 0] <- NA

      ## 去掉涨跌停的点
      price_impact_cost$cf_buy_1[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$cf_buy_2[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$cf_buy_3[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$cf_buy_4[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$cf_buy_5[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$cf_buy_6[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$cf_buy_7[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$cf_buy_8[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$cf_buy_9[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$cf_buy_10[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                              "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$cf_sell_1[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$cf_sell_2[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$cf_sell_3[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$cf_sell_4[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$cf_sell_5[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$cf_sell_6[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$cf_sell_7[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$cf_sell_8[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$cf_sell_9[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$cf_sell_10[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                               "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$pi_buy_1[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$pi_buy_2[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$pi_buy_3[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$pi_buy_4[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$pi_buy_5[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$pi_buy_6[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$pi_buy_7[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$pi_buy_8[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$pi_buy_9[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                             "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$pi_buy_10[rowSums(price_impact_cost[c("bid1", "bid2", "bid3", "bid4", "bid5",
                                                              "bid6", "bid7", "bid8", "bid9", "bid10")]) == 0] <- NA
      price_impact_cost$pi_sell_1[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$pi_sell_2[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$pi_sell_3[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$pi_sell_4[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$pi_sell_5[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$pi_sell_6[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$pi_sell_7[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$pi_sell_8[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$pi_sell_9[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                              "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA
      price_impact_cost$pi_sell_10[rowSums(price_impact_cost[c("ask1", "ask2", "ask3", "ask4", "ask5",
                                                               "ask6", "ask7", "ask8", "ask9", "ask10")]) == 0] <- NA


      price_impact_cost <- price_impact_cost %>%
        dplyr::select(time,
                      cf_buy_1, cf_buy_2, cf_buy_3, cf_buy_4, cf_buy_5,
                      cf_buy_6, cf_buy_7, cf_buy_8, cf_buy_9, cf_buy_10,
                      cf_sell_1, cf_sell_2, cf_sell_3, cf_sell_4, cf_sell_5,
                      cf_sell_6, cf_sell_7, cf_sell_8, cf_sell_9, cf_sell_10,
                      pi_buy_1, pi_buy_2, pi_buy_3, pi_buy_4, pi_buy_5,
                      pi_buy_6, pi_buy_7, pi_buy_8, pi_buy_9, pi_buy_10,
                      pi_sell_1, pi_sell_2, pi_sell_3, pi_sell_4, pi_sell_5,
                      pi_sell_6, pi_sell_7, pi_sell_8, pi_sell_9, pi_sell_10) %>%
        dplyr::mutate_at(dplyr::vars(cf_sell_1:cf_sell_10), `-`) %>%
        dplyr::mutate_at(dplyr::vars(pi_buy_1:pi_sell_10), dplyr::funs(. * 100)) %>%   # 价格冲击的单位变为百分数
        tidyr::gather(key, value, -time) %>%
        dplyr::filter(!is.na(value), !is.nan(value), !is.infinite(value)) %>%
        tidyr::separate(key, into = c("var", "bs", "n")) %>%
        tidyr::spread(var, value)

      if(sum(is.na(price_impact_cost$cf)) != nrow(price_impact_cost)){
        reg <- summary(lm(pi ~ cf - 1, data = price_impact_cost))
        slope <- reg$coefficients[1,1]

        price_impact_cost <- slope
      }else{
        price_impact_cost <- NA
      }

      res <- c(stkcode, price_impact_cost)
      return(res)

    }else{
      res <- c(NA, NA)
      return(res)
    }

  }else{
    res <- c(NA, NA)
    return(res)
  }

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

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