Tick2bar.vol: extract volume-wise bar from tick data

Description Usage Arguments Value See Also

Description

generic function for extracting volume-wise bar from tick data.

Usage

1
Tick2bar.vol(dta, vol.unit = 1200, timespan = NULL)

Arguments

dta

data frame or matrix, with at least fields of date, time, price and volume optional. ORIGINAL tick data from data provider

vol.unit

integer. specify the unit of volume chunk as a bar. default 1200

timespan

ascendingly ordered character vector. specify the normal trading time period for invalid data filter. default c('09:15:00', '11:29:59', '13:00:00', '15:14:59'), which is the case of stock index future data.

Value

A dataframe with the fileds of Date, ID, Time, Open, High, Low, Close and Volume.

See Also

Tick2bar.time, OHLC.barplot


yuanwei/my documentation built on May 4, 2019, 6:35 p.m.