makeBATs: Build Bid Ask Trade object

In twsInstrument: Improves ease of use of IBrokers and FinancialInstrument

Description

Reads from disk and merges closing Bid, Ask, Trade data

Usage

makeBATs(Symbols, base_dir = "/mnt/W", env = .GlobalEnv, ndays)

Arguments

Symbols	chr name of instrument
base_dir	base_dir that holds TRADES, BID, and ASK directories (each of those directories should hold directories named for instruments.)
env	environment to put BATs in
ndays	optional. If given and numeric, ‘from’ will become ‘to’-ndays

Value

called for side-effect. Objects that are stored will have Bid, Ask, Trade, Mid, and Volume columns unless there are no TRADES data in which case they will have Bid, Ask, and Mid columns.

Note

used by reqTBBOhistory

Author(s)

Garrett See

See Also

getBAT, reqTBBOhistory

Examples

## Not run: 
#reqTBBOhistory("RIMM", ndays=5)
makeBATs("RIMM")

## End(Not run)

twsInstrument documentation built on May 2, 2019, 5:24 p.m.