search for: intraday

Hi Everyone. I am downloading intraday Bloomberg data from R. The code I give is: library(zoo) library(chron) library(RBloomberg) conn<-blpConnect(show.days="trading",na.action="previous.days",periodici ty="daily") dat<-blpGetData(conn, "VG1 Index", c("LAST_PRICE"),...

Hello, I'm new to R and am having trouble plotting intraday data on a chart. I haven't had any success with using ideas from some other posts or other content. My data is in csv format, here's the first few rows: TimeStamp..UTC. Open High Low Close 1 2011-06-15 13:30:00:0000 127175 127500 126925 127425 2 2011-06-15 14:00:00:0000 127400 127575 1...

Hi, I have an intraday timeseries of financial data (see below) which has gaps due to market opening and closing hours. I am trying to plot it, but the time gap is always visible in the plot. I tried converting data to xts, zoo, timeSeries and plotting it with different functions i.e. plot.xts, plot.zoo. The only way to...

I'm trying to read intraday zoo but running into issues (again) ... what am I missing here? (the date doesn't seem to read in correctly) > head(dat) TrdDate TrdTime impliedVol 1 20090102 09:55:03 0.3610715 2 20090102 09:55:04 0.3637943 3 20090102 09:55:05 0.3752375 4 20090102 09:55:05 0.4190025 5 20090102 09:5...

I want to create a open/high/low/last plot of intraday data. I try to use the function plotOHLC from the tsteries package. I create my own multiple time series and then try to plot it. raw Data Format (file eurusd2.csv): "Date (GMT)" "Open" "High" "Low" "Last" 17-03-2008 00:00:00 1,5764 1,5766 1,5747 1...

Hello,   I would like to create a function that computes intraday returns of a financial asset on a calendar time basis, without making any loop. For instance, I want to get price returns every 60 seconds. The main problem is that the times series of prices is irregularly spaced in time. I have looked in the "zoo" or "its" classes but have not...

...#2013-01-31 00:02:00 1.356785 #2013-01-31 00:03:00 1.356890 #2013-01-31 00:04:00 1.356900 #2013-01-31 00:05:00 1.356900 #2013-01-31 00:06:00 1.356885 #2013-01-31 00:07:00 1.356910 #2013-01-31 00:08:00 1.357000 ?plot(dat2) A.K. >Hi all, > >I would like to do some time series analysis on intraday data. >Therefore, I try to read some data with zoo and then convert them a xts-object. > >The data are like: >Time;Mid >31/01/2013 00:00;1,35679 >31/01/2013 00:01;1,35678 >31/01/2013 00:02;1,356785 >31/01/2013 00:03;1,35689 >31/01/2013 00:04;1,3569 >31/01/2013...

Hi all I have some tick-by-tick data and I have calculated the intraday returns. I want to sum up the intraday squared returns to calculate the daily volatility(or daily variance). I know that the s-plus FinMerics has the function aggregateSeries function that can be apply to daily data: aggregateSeries(x, Fun, by="daily"), but the counterpart function in R:a...

Hello all, I'm trying to use zoo.read but can't figure out how to deal with the time format. (example below) would be nice if someone could help. best regards, Immanuel --------------------------- L <- "Date,Time,Open,High,Low,Close,Up,Down 05.02.2001,00:30,421.20,421.20,421.20,421.20,11,0 05.02.2001,01:30,421.20,421.40,421.20,421.40,7,0

Dear R Folks, I know that Enrique Bengoechea ( Credit Suisse ) had posted some code snippets for importing Bloomberg historical data into R. I found them to be very useful. Has anyone succeeded in getting the below items from Bloomberg to R? (a) historical economic release data, (b) tick/intra-day data (c) bulk data such as Index membership info, etc. If someone is willing to share their code

Hello, I have a series of intraday (high-frequency) price data in the form of POSIX timestamp followed by the value. I sucesfuly loaded that into "its" package object. I would like to create from it a regularly spaced time series of prices (for example 1min, 5min, etc apart) so i could calcualte returns. There is an interp...

Hi, I am trying to download data from Bloomberg through R. If I try to download intraday data for multiple tickers and only one field, I get the error, written below in red. How do I get rid of this error? > dat<-blpGetData(conn, c("NOK1V FH Equity","AUA AV Equity"), "LAST_PRICE", start=as.chron(as.Date("2006-9-13","%Y-%m-%d&quo...

.......... downloaded 37 Kb Read 151 items > typeof(data) [1] "list" > data ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? Value Symbol? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? IBM Date ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? 2009-04-27 Market Cap (intraday)? ? ? ? ? ? ? <span id="yfs_j10_ibm">132.36B Enterprise Value (27-Apr-09)? ? ? ? ? ? ? ? ? ? ? ? ? ? ? 150.79B Trailing PE (ttm intraday)? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? 11.13 Fiscal Year Ends ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? 31-Dec Most Recent Quarter (mrq) ? ? ? ? ? ? ?...

...assume the signals are 0... for no trades.. then I would like to basically process the signal file.. and at the time of the "signal" whenever I see -1 then sell instrument, if I see 1, then buy it... to determine the buy price, I would like to make sure the signal time coincides with the intraday data time.. and then either buy/sell the next minute open... then given a set of variables (target, stop) I would basically either sell at target or stop... the other thought is to buy/sell after X number of target/stop bars.. also, if an opposite signal is processed before target/stop are reached,...

...x = c(1, 2, 10, 12) y = c(100, -20, 50, 25) if I go plot(x, y), then the default x-axis range goes from 1 to 12. Is there a way to change it so that the axis looks like: ----|-----|-----|-----|---- 1 2 10 12 This doesn't seem reasonable but let's say I want to plot intraday graph with axis.POSIXct, my data is only from 8:30 to 4 every day and I have these data for days.. i don't want to see a straight line every night.. Is there a way I can do this? Thanks!!! -yoooooooooooooooooo -- View this message in context: http://www.nabble.com/plotting-tf4361709.ht...

...11 12:02:12 1231 1200 30.03.2011 17:00:00 1200 1190 Please note that this is the German version of the date notation. So 02.01.2011 is January 2nd 2011. So the column data is class: character. When I now split the dataframe by date, e.g. Intraday <- split(x=src, f=src$date, drop=FALSE) ..I get a list which is not sorted...for example: "01.02.2011" (February 1st) comes before "02.01.2011" (January 2nd). My approach was to transform the column date into POSIXct by using strptime (btw: I dont care for the ti...

Hello! Please help - can't find any options how to remove very big spaces between two dates containing intraday prices plotted by plot.xts. It looks like the following: on the left side of the plot window is the first bunch of points, the same is for the right hand side and a long line connecting them in the middle. I would want to merge them (cut spaces) somehow. In any case thanks for help. Alex -- View...

Given a matrix of m*n, I want to reorder it as a vector, using a row major transpose. so: > m<-matrix(seq(1,48),nrow=6,byrow=T) > m [,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [1,] 1 2 3 4 5 6 7 8 [2,] 9 10 11 12 13 14 15 16 [3,] 17 18 19 20 21 22 23 24 [4,] 25 26 27 28 29 30 31 32 [5,] 33 34 35 36 37

Hi R-Experts, I'm currently using R 2.4.0 in Windows XP. I'm trying to download data from Bloomberg using the package "RBloomberg", but it fails to install the three needed packages "zoo", "chron" and 'Rbloomberg". Moreover I am not able to find "RBloomberg" package as windows binary in CRAN site as only for MAC it's given. Please

...time, some average price from Oanda data). Also fx data from others sources as suggested in another mail on this list would not really help with this unless it is really sampled at exactly the same times as the equity close of ^gspc. The only way to get clean data for such an analysis is to use intraday data. Best regards Adrian >Message: 1 >Date: Sun, 14 Oct 2007 15:00:15 -0500 >From: Alexander Moreno <alexander.f.moreno at gmail.com> >Subject: [R-SIG-Finance] oanda and yahoo get.hist.quote >To: r-sig-finance at stat.math.ethz.ch >Message-ID: <4712754F.6000203 at gmai...