[Blotter-commits] r346 - in pkg/RTAQ: R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Jun 24 15:42:44 CEST 2010
Author: jonathan
Date: 2010-06-24 15:42:44 +0200 (Thu, 24 Jun 2010)
New Revision: 346
Added:
pkg/RTAQ/man/p_return.Rd
Modified:
pkg/RTAQ/R/aggregate.R
pkg/RTAQ/man/agg_quotes.Rd
pkg/RTAQ/man/agg_trades.Rd
pkg/RTAQ/man/aggregatets.Rd
pkg/RTAQ/man/autoselectexchangeq.Rd
pkg/RTAQ/man/di_diff.Rd
pkg/RTAQ/man/di_div.Rd
pkg/RTAQ/man/es.Rd
pkg/RTAQ/man/logqs.Rd
pkg/RTAQ/man/logsize.Rd
pkg/RTAQ/man/mergequotessametimestamp.Rd
pkg/RTAQ/man/mq_return_abs.Rd
pkg/RTAQ/man/mq_return_sqr.Rd
pkg/RTAQ/man/nozeroquotes.Rd
pkg/RTAQ/man/pes.Rd
pkg/RTAQ/man/pqs.Rd
pkg/RTAQ/man/prop_price_impact.Rd
pkg/RTAQ/man/prs.Rd
pkg/RTAQ/man/pts.Rd
pkg/RTAQ/man/qs.Rd
pkg/RTAQ/man/rmlargespread.Rd
pkg/RTAQ/man/rmnegspread.Rd
pkg/RTAQ/man/rmoutliers.Rd
pkg/RTAQ/man/rmtradeoutliers.Rd
pkg/RTAQ/man/rs.Rd
pkg/RTAQ/man/tspread.Rd
Log:
Help-files update (WRDS standard)
Modified: pkg/RTAQ/R/aggregate.R
===================================================================
--- pkg/RTAQ/R/aggregate.R 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/R/aggregate.R 2010-06-24 13:42:44 UTC (rev 346)
@@ -1,5 +1,5 @@
previoustick = function(a){
-a=as.vector(a);
+a = as.vector(a);
b = a[length(a)];
return(b)
}
Modified: pkg/RTAQ/man/agg_quotes.Rd
===================================================================
--- pkg/RTAQ/man/agg_quotes.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/agg_quotes.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -6,7 +6,7 @@
\description{
-Function returns an xts object containing the aggregated quote data with columns "SYMBOL", "EX", "BID","BIDSIZE","OFFER","OFFERSIZE".
+Function returns an xts object containing the aggregated quote data with columns "SYMBOL", "EX", "BID","BIDSIZ","OFR","OFRSIZ".
Please see pdf documentation for the requirements regarding "quote data objects".
}
Modified: pkg/RTAQ/man/agg_trades.Rd
===================================================================
--- pkg/RTAQ/man/agg_trades.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/agg_trades.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -28,7 +28,7 @@
In case an interval is empty, it is omitted. (Possibly, you expect an NA but this isn't the case)
-Columns "COND", "CR", "G127" are dropped because aggregating them makes no sense.
+Columns "COND", "CORR", "G127" are dropped because aggregating them makes no sense.
It is assumed that a trading day starts at 09:30:00 and ends at 16:00:00. Returned object will always contain the
first observation (opening price,..).
Modified: pkg/RTAQ/man/aggregatets.Rd
===================================================================
--- pkg/RTAQ/man/aggregatets.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/aggregatets.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -10,7 +10,7 @@
}
\usage{
-aggregatets(ts, FUN=previoustick, on="minutes", k=1, weights=NULL)
+aggregatets(ts, FUN=previoustick, on="minutes", k=1, weights=NULL,dropna=F)
}
\arguments{
Modified: pkg/RTAQ/man/autoselectexchangeq.Rd
===================================================================
--- pkg/RTAQ/man/autoselectexchangeq.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/autoselectexchangeq.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -7,7 +7,7 @@
\description{
Function returns an xts object containing only observations
of the exchange with highest
-value for the sum of "BIDSIZE" and "OFFERSIZE", i.e. the highest quote volume.
+value for the sum of "BIDSIZ" and "OFRSIZ", i.e. the highest quote volume.
}
\usage{
@@ -17,7 +17,7 @@
\arguments{
\item{qdata}{
an xts object with at least a column "EX", indicating the exchange symbol
-and columns "BIDSIZE" and "OFFERSIZE", indicating
+and columns "BIDSIZ" and "OFRSIZ", indicating
the volume available at the bid and ask respectively.
The chosen exchange is printed on the console.
The possible exchanges are:
Modified: pkg/RTAQ/man/di_diff.Rd
===================================================================
--- pkg/RTAQ/man/di_diff.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/di_diff.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -9,7 +9,7 @@
Function returns an xts object with the depth imbalance (as a difference), defined as
\deqn{
-\mbox{depth imbalace (as difference)}_t = \frac{D_t *(\mbox{OFFERSIZE}_{t}-\mbox{BIDSIZE}_{t})}{(\mbox{OFFERSIZE}_{t}+\mbox{BIDSIZE}_{t})},
+\mbox{depth imbalace (as difference)}_t = \frac{D_t *(\mbox{OFRSIZ}_{t}-\mbox{BIDSIZ}_{t})}{(\mbox{OFRSIZ}_{t}+\mbox{BIDSIZ}_{t})},
}
where \eqn{D_t} is 1 (-1) if \eqn{trade_t} was buy (sell) (see Bhoehmer (2005), Bessembinder (2003)).
Note that the input of this function consists of the matched trades and quotes,
Modified: pkg/RTAQ/man/di_div.Rd
===================================================================
--- pkg/RTAQ/man/di_div.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/di_div.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -9,7 +9,7 @@
Function returns an xts object with the depth imbalance (as a ratio), defined as
\deqn{
-\mbox{depth imbalace (as ratio)}_t = (\frac{D_t *\mbox{OFFERSIZE}_{t}}{\mbox{BIDSIZE}_{t}})^{D_t},
+\mbox{depth imbalace (as ratio)}_t = (\frac{D_t *\mbox{OFRSIZ}_{t}}{\mbox{BIDSIZ}_{t}})^{D_t},
}
where \eqn{D_t} is 1 (-1) if \eqn{trade_t} was buy (sell) (see Bhoehmer (2005), Bessembinder (2003)).
Note that the input of this function consists of the matched trades and quotes,
Modified: pkg/RTAQ/man/es.Rd
===================================================================
--- pkg/RTAQ/man/es.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/es.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -9,7 +9,7 @@
Function returns an xts object with the effective spread, defined as
\deqn{
-\mbox{Effective Spread}_t = 2*D_t*(\mbox{PRICE}_{t} - \frac{(\mbox{BID}_{t}+\mbox{OFFER}_{t})}{2}),
+\mbox{Effective Spread}_t = 2*D_t*(\mbox{PRICE}_{t} - \frac{(\mbox{BID}_{t}+\mbox{OFR}_{t})}{2}),
}
where \eqn{D_t} is 1 (-1) if \eqn{trade_t} was buy (sell) (see Bhoehmer (2005), Bessembinder (2003)).
Modified: pkg/RTAQ/man/logqs.Rd
===================================================================
--- pkg/RTAQ/man/logqs.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/logqs.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -9,7 +9,7 @@
Function returns an xts object with the logarithm of the quoted spread, defined as
\deqn{
-\mbox{log quoted spread}_t = \log(\frac{\mbox{OFFERSIZE}_{t}}{\mbox{BID}_{t}})
+\mbox{log quoted spread}_t = \log(\frac{\mbox{OFR}_{t}}{\mbox{BID}_{t}})
}
(Hasbrouck and Seppi, 2001).
Modified: pkg/RTAQ/man/logsize.Rd
===================================================================
--- pkg/RTAQ/man/logsize.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/logsize.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -9,7 +9,7 @@
Function returns an xts object with the log quoted size, defined as
\deqn{
-\mbox{log quoted size}_t = \log(\mbox{OFFERSIZE}_{t})-\log(\mbox{BIDSIZE}_{t})
+\mbox{log quoted size}_t = \log(\mbox{OFRSIZ}_{t})-\log(\mbox{BIDSIZ}_{t})
}
(Hasbrouck and Seppi, 2001).
Modified: pkg/RTAQ/man/mergequotessametimestamp.Rd
===================================================================
--- pkg/RTAQ/man/mergequotessametimestamp.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/mergequotessametimestamp.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -15,8 +15,8 @@
\arguments{
\item{tdata}{ an xts object containing the time series data, with
-at least two columns named "BID" and "OFFER" indicating the bid and ask price
-and two columns "BIDSIZE", "OFFERSIZE" indicating the number of round lots available at these
+at least two columns named "BID" and "OFR" indicating the bid and ask price
+and two columns "BIDSIZ", "OFRSIZ" indicating the number of round lots available at these
prices. }
\item{selection}{indicates how the bid and ask price for a certain time stamp
should be calculated in case of multiple observation for a certain time
@@ -25,7 +25,7 @@
\item selection = "maxvolume": use the (bid/ask) price of the entry with
largest (bid/ask) volume.
\item selection = "weightedaverage": take the weighted average of all bid (ask) prices,
-weighted by "BIDSIZE" ("OFFERSIZE").
+weighted by "BIDSIZ" ("OFRSIZ").
}
}
}
Modified: pkg/RTAQ/man/mq_return_abs.Rd
===================================================================
--- pkg/RTAQ/man/mq_return_abs.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/mq_return_abs.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -12,7 +12,7 @@
\mbox{midquote absolute return}_t = |\log(\mbox{midquote}_{t})-\log(\mbox{midquote}_{t-1})|,
}
-where \eqn{\mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFFERSIZE}_{t}}{2}}.
+where \eqn{\mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFR}_{t}}{2}}.
}
\usage{
Modified: pkg/RTAQ/man/mq_return_sqr.Rd
===================================================================
--- pkg/RTAQ/man/mq_return_sqr.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/mq_return_sqr.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -12,15 +12,10 @@
\mbox{midquote squared return}_t = (\log(\mbox{midquote}_{t})-\log(\mbox{midquote}_{t-1}))^2,
}
-where \eqn{\mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFFERSIZE}_{t}}{2}}.
+where \eqn{\mbox{midquote}_{t} = \frac{\mbox{BID}_{t} + \mbox{OFR}_{t}}{2}}.
}
-
-
-
-
-
\usage{
mq_return_sqr(data)
}
Modified: pkg/RTAQ/man/nozeroquotes.Rd
===================================================================
--- pkg/RTAQ/man/nozeroquotes.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/nozeroquotes.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -13,7 +13,7 @@
}
\arguments{
- \item{qdata}{an xts object at least containing the columns "BID" and "OFFER".}
+ \item{qdata}{an xts object at least containing the columns "BID" and "OFR".}
}
\section{Details}{}
Added: pkg/RTAQ/man/p_return.Rd
===================================================================
--- pkg/RTAQ/man/p_return.Rd (rev 0)
+++ pkg/RTAQ/man/p_return.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -0,0 +1,41 @@
+\name{p_return}
+\Rdversion{1.1}
+\alias{p_return}
+\title{
+Compute log returns
+}
+
+\description{
+Function returns an xts object
+with the log returns on Trade prices as xts object.
+
+\deqn{
+\mbox{log return on Trade prices}_t = (\log(\mbox{PRICE}_{t})-\log(\mbox{PRICE}_{t-1})).
+}
+}
+
+\usage{
+p_return(data);
+}
+
+\arguments{
+ \item{data}{
+xts object, containing at least a column PRICE.)
+}
+}
+
+\section{Details}{
+Note: the first observation is set to zero.
+}
+
+\value{
+an xts object containing the log returns.
+}
+
+\references{
+}
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%cd C:\package\TradeAnalytics\pkg\RTAQ\man
+%R CMD Rdconv --type=html --output=sample_5minprices.htm sample_5minprices.Rd
\ No newline at end of file
Modified: pkg/RTAQ/man/pes.Rd
===================================================================
--- pkg/RTAQ/man/pes.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/pes.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -9,7 +9,7 @@
Function returns an xts object with the proportional effective spread, defined as
\deqn{
-\mbox{proportional effective spread}_t = \frac{\mbox{effective spread}_t}{(\mbox{OFFER}_{t}+\mbox{BID}_{t})/2}
+\mbox{proportional effective spread}_t = \frac{\mbox{effective spread}_t}{(\mbox{OFR}_{t}+\mbox{BID}_{t})/2}
}
(Venkataraman, 2001).
Modified: pkg/RTAQ/man/pqs.Rd
===================================================================
--- pkg/RTAQ/man/pqs.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/pqs.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -9,7 +9,7 @@
Function returns an xts object with the quoted spread, defined as
\deqn{
-\mbox{proportional quoted spread}_t = \frac{\mbox{quoted spread}_t}{\frac{\mbox{OFFER}_{t}+\mbox{BID}_{t}}{2}}
+\mbox{proportional quoted spread}_t = \frac{\mbox{quoted spread}_t}{\frac{\mbox{OFR}_{t}+\mbox{BID}_{t}}{2}}
}
(Venkataraman, 2001).
Note that the input of this function consists of the matched trades and
Modified: pkg/RTAQ/man/prop_price_impact.Rd
===================================================================
--- pkg/RTAQ/man/prop_price_impact.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/prop_price_impact.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -9,7 +9,7 @@
Function returns an xts object with the proportional price impact, defined as
\deqn{
-\mbox{proportional price impact}_t = \frac{100*\frac{(\mbox{effective spread}_t - \mbox{realized spread}_t)}{2}}{\frac{\mbox{OFFER}_{t}+\mbox{BID}_{t}}{2}}
+\mbox{proportional price impact}_t = \frac{100*\frac{(\mbox{effective spread}_t - \mbox{realized spread}_t)}{2}}{\frac{\mbox{OFR}_{t}+\mbox{BID}_{t}}{2}}
}
(Venkataraman, 2001).
Note that the input of this function consists of the matched trades and
Modified: pkg/RTAQ/man/prs.Rd
===================================================================
--- pkg/RTAQ/man/prs.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/prs.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -9,7 +9,7 @@
Function returns an xts object with the proportional realized spread, defined as
\deqn{
-\mbox{proportional realized spread}_t = \frac{\mbox{realized spread}_t}{(\mbox{OFFER}_{t}+\mbox{BID}_{t})/2}
+\mbox{proportional realized spread}_t = \frac{\mbox{realized spread}_t}{(\mbox{OFR}_{t}+\mbox{BID}_{t})/2}
}
(Venkataraman, 2001).
Modified: pkg/RTAQ/man/pts.Rd
===================================================================
--- pkg/RTAQ/man/pts.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/pts.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -9,7 +9,7 @@
Function returns an xts object with the proportional half traded spread, defined as
\deqn{
-\mbox{proportional half traded spread}_t = \frac{\mbox{half traded spread}_t}{\frac{\mbox{OFFER}_{t}+\mbox{BID}_{t}}{2}}.
+\mbox{proportional half traded spread}_t = \frac{\mbox{half traded spread}_t}{\frac{\mbox{OFR}_{t}+\mbox{BID}_{t}}{2}}.
}
Note that the input of this function consists of the matched trades and quotes,
so this is were the time indication refers to (and thus not to the registered quote timestamp).
Modified: pkg/RTAQ/man/qs.Rd
===================================================================
--- pkg/RTAQ/man/qs.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/qs.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -9,7 +9,7 @@
Function returns an xts object with the quoted spread, defined as
\deqn{
-\mbox{quoted spread}_t = \mbox{OFFER}_{t}-\mbox{BID}_{t}
+\mbox{quoted spread}_t = \mbox{OFR}_{t}-\mbox{BID}_{t}
}
Note that the input of this function consists of the matched trades and
quotes, so this is where the time indication refers to (and thus not to the
Modified: pkg/RTAQ/man/rmlargespread.Rd
===================================================================
--- pkg/RTAQ/man/rmlargespread.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/rmlargespread.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -15,12 +15,12 @@
}
\arguments{
- \item{qdata}{an xts object at least containing the columns "BID" and "OFFER".}
+ \item{qdata}{an xts object at least containing the columns "BID" and "OFR".}
\item{maxi}{an integer. By default maxi="50",
which means that entries are deleted if the spread is more than 50 times the median spread on that day.}
}
-\section{Details}{NOTE: This function works only correct if supplied input data consists of 1 day!!}
+\section{Details}{NOTE: This function works only correct if supplied input data consists of 1 day!}
\value{
xts object
Modified: pkg/RTAQ/man/rmnegspread.Rd
===================================================================
--- pkg/RTAQ/man/rmnegspread.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/rmnegspread.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -13,7 +13,7 @@
}
\arguments{
- \item{qdata}{an xts object at least containing the columns "BID" and "OFFER".}
+ \item{qdata}{an xts object at least containing the columns "BID" and "OFR".}
}
\section{Details}{}
Modified: pkg/RTAQ/man/rmoutliers.Rd
===================================================================
--- pkg/RTAQ/man/rmoutliers.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/rmoutliers.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -32,7 +32,7 @@
rmoutliers(qdata,maxi=10,window=50,type="advanced")}
\arguments{
- \item{qdata}{an xts object at least containing the columns "BID" and "OFFER".}
+ \item{qdata}{an xts object at least containing the columns "BID" and "OFR".}
\item{maxi}{an integer, indicating the maximum number of median absolute deviations allowed.}
\item{window}{an integer, indicating the time window for which the "outlyingness" is considered.}
\item{type}{should be "standard" or "advanced" (see description).}
Modified: pkg/RTAQ/man/rmtradeoutliers.Rd
===================================================================
--- pkg/RTAQ/man/rmtradeoutliers.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/rmtradeoutliers.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -16,7 +16,7 @@
\item{tdata}{ an xts object containing the time series data, with
at least the column "PRICE", containing the transaction price.}
\item{qdata}{ an xts object containing the time series data,
-with at least the columns "BID" and "OFFER", containing the bid and
+with at least the columns "BID" and "OFR", containing the bid and
ask prices.
}
}
Modified: pkg/RTAQ/man/rs.Rd
===================================================================
--- pkg/RTAQ/man/rs.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/rs.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -9,11 +9,11 @@
Function returns an xts object with the realized spread, defined as
\deqn{
-\mbox{Realized Spread}_t = 2*D_t*(\mbox{PRICE}_{t} - \frac{(\mbox{BID}_{t+300}+\mbox{OFFER}_{t+300})}{2}),
+\mbox{Realized Spread}_t = 2*D_t*(\mbox{PRICE}_{t} - \frac{(\mbox{BID}_{t+300}+\mbox{OFR}_{t+300})}{2}),
}
where \eqn{D_t} is 1 (-1) if \eqn{trade_t} was buy (sell) (see Bhoehmer (2005), Bessembinder (2003)).
-Note that the time indication of \eqn{\mbox{BID}} and \eqn{\mbox{OFFER}} refers
+Note that the time indication of \eqn{\mbox{BID}} and \eqn{\mbox{OFR}} refers
to the registered time of the quote in seconds.
}
Modified: pkg/RTAQ/man/tspread.Rd
===================================================================
--- pkg/RTAQ/man/tspread.Rd 2010-06-24 10:25:11 UTC (rev 345)
+++ pkg/RTAQ/man/tspread.Rd 2010-06-24 13:42:44 UTC (rev 346)
@@ -9,7 +9,7 @@
Function returns an xts object with the half traded spread, defined as
\deqn{
-\mbox{half traded spread}_t = D_t*(\mbox{PRICE}_{t} - \frac{(\mbox{BID}_{t}+\mbox{OFFER}_{t})}{2}),
+\mbox{half traded spread}_t = D_t*(\mbox{PRICE}_{t} - \frac{(\mbox{BID}_{t}+\mbox{OFR}_{t})}{2}),
}
where \eqn{D_t} is 1 (-1) if \eqn{trade_t} was buy (sell) (see Bhoehmer (2005), Bessembinder (2003)).
Note that the input of this function consists of the matched trades and quotes,
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