TAQload: Load trade or quote data into R

In highfrequency: Tools for Highfrequency Data Analysis

Description

Function to load the taq data into R. If only the trades (or quotes) should be loaded the function returns them directly as xts object. If both trades and quotes should be extracted, the function returns a list with two items named "trades" and "quotes" respectively.

The function assumes that the files are ordered in folders per day, and the folders contain: ticker_trades.RData or ticker_quotes.RData. In these files the xts object is stored. If you used the function convert, this shall be the case. Please find more information in the pdf documentation.

Usage

TAQLoad(tickers,from,to,trades=TRUE,quotes=FALSE,
          datasource=NULL,variables=NULL)

Arguments

tickers	the ticker(s) to be loaded. It is recommended that you use only 1 ticker as input in case of non-synchronic observations. For synchronic data a vector of tickers can be used.
from	first day to load e.g. "2008-01-30".
to	last day to load e.g. "2008-01-30".
trades	boolean, determines whether trades are extracted.
quotes	boolean, determines whether quotes are extracted.
datasource	path to folder in which the files are contained.
variables	a character (or character vector) containing the name(s) of the variable(s) that should be loaded, e.g. c("SYMBOL","PRICE"). By default all data is loaded.

Value

see section description

Author(s)

Jonathan Cornelissen and Kris Boudt

Examples

#In order for these examples to work, the folder datasource 
#should contain two folders named 2008-01-02 and 2008-01-03.
#These folder contain the files with the trade data,
#which are named "AAPL_trades.RData" or "AA_trades.RData".

from="2008-01-02";
to = "2008-01-03";
## Not run: datasource="C:\data";

#TAQLoad: load data for stock AAPL
## Not run: xx = TAQLoad(tickers="AAPL",from,to,trades=TRUE,quotes=FALSE,
datasource=datasource,variables=NULL)
## End(Not run)

#Load only price data for stocks AA and AAPL
## Not run: xx = TAQLoad(tickers=c("AA","AAPL"),from,to,trades=TRUE,
quotes=FALSE,datasource=datasource,variables="PRICE")
## End(Not run)                                                                                                

highfrequency documentation built on May 2, 2019, 6:09 p.m.