search for: rtaq

Hi All, I am using convert() function in RTAQ package to convert the text file into xts object.The code I am using is shown below: convert(from="2010-07-01",to="2010-07-01",datasource="C:\\TAQdata",datadestination="C:\\datadestination",trades=T,quotes=F,ticker="SUBX",dir=F) The problem is tha...

Hello, I am closely following the RTAQ documentation in order to load my dataset into R, however I get this warning when running the convert function in the following way: convert(from="2010-11-01", to="2010-11-01",datasource=datasource, datadestination=datadestination,trades=T,quotes=T,ticker="BAC",dir=T,...

...11-01 08:10:00 -0.017033339 2011-11-01 08:15:00 0.000690001 2011-11-01 08:20:00 0.000000000 2011-11-01 08:25:00 0.000658411 2011-11-01 08:30:00 0.002166062 And so on for the 100 days. And the I want to do this for ten minutes, 30 minutes etc. Earlier I have tried with aggregatePrice() (in the RTAQ package) combined with a for() loop. However this didnt work so well. I assume it exist some easy way to do this? However, as I said, I have searched for a solution without any luck. So, what approach should I have? Have any of you done something like this before? Thanks in advance Reply...

Hi, I tried to google for any solution for asof join operator in R. But I couldn't find one. The asof join operator AsOf(A,B) merges 2 time series by looking for latest available value of B prior to each time point in A. For example, A <- xts(c(10,15,20,25), order.by=as.POSIXct(c("2011-09-01","2011-09-09","2011-09-10","2011-09-15")) B <-

I think the code is part of the RTAQ package but is not included in it, as I obtained it from https://r-forge.r-project.org/scm/viewvc.php/pkg/RTAQ/R/HAR_model.R?view=markup&root=blotter&sortby=author&pathrev=1028. It is not my code and I make no claim to other's good work, and apologize if I should even be posting i...

Hello, florian wrote > > Hy, > > I want to select an interval of a time series (containing intraday data) > by the data and a certain time frame (e.g. 9 AM to 10 AM). However, I do > not know how to specify the time during the day: > > #load data > library(RTAQ) > data("sample_tdata") > data=sample_tdata > return=makeReturns(data$PRICE) > > #I would like to use some command like this to get only the data between 9 > and 10 > window(return,start=as.Date("2008-01-04"),end=as.Date("2008-01-04")) > >...

...h R) Saturday, April 17th, 2010 ------ Josh Buckner/Mark Seligman: GPU computing with the gputools package Saptarshi Guha: R and Hadoop Integrated Processing Environment Stefan Theussl: Distributed Text Mining with tm *Bernhard Pfaff: Risk Modeling with R Lightning talks: Jonathan Cornelissen: RTAQ: Tools for Analysis of Trades and Quotes Robert Grossman: Computing in the Cloud Nicolas Christou/David Diez: Statistical Finance for Investors Unfamiliar with Quantitative Methods Maria Belianina: Data Management Challenges for Quantitative Research *Marc Wildi: Adapting the MDFA to 'Fina...

CRAN (and crantastic) updates this week New packages ------------ * EffectStars (1.0) Maintainer: Unknown Author(s): Gunther Schauberger License: GPL-2 http://crantastic.org/packages/EffectStars The package provides functions to visualize regression models with categorical response. The effects of the covariates are plotted with star plots in order to allow for an optical