[Blotter-commits] r321 - pkg/RTAQ/man

[noreply at r-forge.r-project.org]

Author: jonathan
Date: 2010-04-05 18:32:34 +0200 (Mon, 05 Apr 2010)
New Revision: 321

Added:
   pkg/RTAQ/man/TAQload.Rd
   pkg/RTAQ/man/convert.Rd
   pkg/RTAQ/man/matchtq.Rd
Modified:
   pkg/RTAQ/man/tradescleanup_finalop.Rd
Log:
help files update

Added: pkg/RTAQ/man/TAQload.Rd
===================================================================
--- pkg/RTAQ/man/TAQload.Rd	                        (rev 0)
+++ pkg/RTAQ/man/TAQload.Rd	2010-04-05 16:32:34 UTC (rev 321)
@@ -0,0 +1,40 @@
+\name{TAQload}
+\Rdversion{1.1}
+\alias{TAQload}
+\title{
+Load trade or quote data into R}
+
+\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 \code{\link{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{
+\item{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.}
+\item{from}{ first day to load e.g. "2008-01-30"}
+\item{to}{ last day to load e.g. "2008-01-30"}
+\item{trades}{ boolean, determines whether trades are extracted}
+\item{quotes}{ boolean, determines whether quotes are extracted}
+\item{datasource}{ path to folder in which the files are contained}
+\item{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.}
+}
+
+\section{Details}{}
+
+\value{see section \code{description}}
+
+\references{}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
\ No newline at end of file

Added: pkg/RTAQ/man/convert.Rd
===================================================================
--- pkg/RTAQ/man/convert.Rd	                        (rev 0)
+++ pkg/RTAQ/man/convert.Rd	2010-04-05 16:32:34 UTC (rev 321)
@@ -0,0 +1,44 @@
+\name{convert}
+\Rdversion{1.1}
+\alias{convert}
+\title{
+Convert trade or quote data into xts object saved in the RData format}
+
+\description{
+Function can convert both trade and quote data stored as "txt" or "csv" and
+structured as illustrated in the pdf documentation into xts-objects and 
+stores them in the "RData" format. 
+Subsequently, the data can be loaded into the R console by \code{\link{TAQload}}.
+}
+
+\usage{
+convert(from,to,datasource,datadestination,trades=TRUE,quotes=TRUE,ticker,dir=F,extention="txt",header=F,tradecolnames=NULL,quotecolnames=NULL,format="\%m/\%d/\%Y \%H:\%M:\%S")
+}
+
+\arguments{
+\item{from}{ first date to convert e.g. "2008-01-30".}
+\item{to}{ last date to convert e.g. "2008-01-31".}
+\item{datasource}{ folder in which the original data is stored.}
+\item{datadestination}{ folder in which the converted data should be stored.}
+\item{trades}{ boolean, determines whether trades are converted.}
+\item{quotes}{ boolean, determines whether quotes are converted.}
+\item{ticker}{ vector with tickers to be converted.}
+\item{dir}{ boolean, if TRUE the datadestination folder and subfolders will be created automatically.}
+\item{extention}{ character, indicating the data format of the original data. Can be either "txt" or "csv".}
+\item{header}{ boolean, indicating whether each data file contains a header.}
+\item{tradecolnames}{ vector containing column names of your trade data. By default, 
+the standard NYSE data format is taken, see pdf documentation for more details.}
+\item{quotecolnames}{ vector containing column names of your quote data. By default, 
+the standard NYSE data format is taken, see pdf documentation for more details.}
+\item{format}{ character, indicates in what format TIME and DATE are recorded in the original data.
+By default, "\%m/\%d/\%Y \%H:\%M:\%S" is taken, which means the date is denoted by e.g. "01/30/2008" and the time by e.g. "09:30:00".}
+}
+
+\section{Details}{}
+
+\value{For each day an xts object is saved into the folder of that date, containing the converted data.
+This procedure is performed for each stock in "ticker". More information can be found in the pdf documentation.}
+
+\references{}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
\ No newline at end of file

Added: pkg/RTAQ/man/matchtq.Rd
===================================================================
--- pkg/RTAQ/man/matchtq.Rd	                        (rev 0)
+++ pkg/RTAQ/man/matchtq.Rd	2010-04-05 16:32:34 UTC (rev 321)
@@ -0,0 +1,31 @@
+\name{matchtq}
+\Rdversion{1.1}
+\alias{matchtq}
+\title{
+Match trade and quote data}
+
+\description{
+Function matches the trades and quotes and returns an xts-object containing
+both tdata.}
+
+\usage{
+matchtq(tdata,qdata,adjustment=2)
+}
+
+\arguments{
+\item{tdata}{ xts-object containing the trade data. Please see pdf documentation for the recommended format.}
+\item{qdata}{ xts-object containing the quote data. Please see pdf documentation for the recommended format.}
+\item{adjustment}{ numeric, number of seconds the quotes are registered faster than
+the trades (should be round and positive). Based on the research of
+Vergote (2005), we set 2 seconds as the default.}
+}
+
+\section{Details}{}
+
+\value{xts-object containing the matched trade and quote data}
+
+\references{
+Vergote, O. (2005). How to match trades and quotes for NYSE stocks?
+K.U.Leuven working paper.}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
\ No newline at end of file

Modified: pkg/RTAQ/man/tradescleanup_finalop.Rd
===================================================================
--- pkg/RTAQ/man/tradescleanup_finalop.Rd	2010-04-01 20:07:39 UTC (rev 320)
+++ pkg/RTAQ/man/tradescleanup_finalop.Rd	2010-04-05 16:32:34 UTC (rev 321)
@@ -2,7 +2,7 @@
 \Rdversion{1.1}
 \alias{tradescleanup_finalop}
 \title{
-Perform a final cleaning procedures on trade data}
+Perform a final cleaning procedure on trade data}
 
 \description{
 Function performs cleaning procedure \code{\link{rmtradeoutliers}}