[Blotter-commits] r1093 - in pkg/FinancialInstrument: . R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sat Jun 30 18:19:43 CEST 2012
Author: gsee
Date: 2012-06-30 18:19:43 +0200 (Sat, 30 Jun 2012)
New Revision: 1093
Added:
pkg/FinancialInstrument/man/Tick2Sec.Rd
Removed:
pkg/FinancialInstrument/man/alltick2sec.Rd
pkg/FinancialInstrument/man/to_secBATV.Rd
Modified:
pkg/FinancialInstrument/NAMESPACE
pkg/FinancialInstrument/R/Tick2Sec.R
pkg/FinancialInstrument/R/instrument.R
pkg/FinancialInstrument/man/instrument.Rd
Log:
docs; combine docs for to_secBATV and alltick2sec
Modified: pkg/FinancialInstrument/NAMESPACE
===================================================================
--- pkg/FinancialInstrument/NAMESPACE 2012-06-30 00:06:09 UTC (rev 1092)
+++ pkg/FinancialInstrument/NAMESPACE 2012-06-30 16:19:43 UTC (rev 1093)
@@ -1,5 +1,6 @@
export(add.defined.by)
export(add.identifier)
+export(alltick2sec)
export(bond)
export(bond_series)
export(buildBasket)
Modified: pkg/FinancialInstrument/R/Tick2Sec.R
===================================================================
--- pkg/FinancialInstrument/R/Tick2Sec.R 2012-06-30 00:06:09 UTC (rev 1092)
+++ pkg/FinancialInstrument/R/Tick2Sec.R 2012-06-30 16:19:43 UTC (rev 1093)
@@ -12,7 +12,7 @@
#
###############################################################################
-#' convert tick data to one-second data
+#' Convert tick data to one-second data
#'
#' This is like taking a snapshot of the market at the end of every second,
#' except the volume over the second is summed.
@@ -23,27 +23,44 @@
#' \dQuote{Bid.Size}, \dQuote{Ask.Price}, \dQuote{Ask.Size},
#' \dQuote{Trade.Price}, and \dQuote{Volume}
#'
-#' The primary purpose of this function is to reduce the amount of data on disk
-#' so that it will take less time to load the data into memory.
+#' The primary purpose of these functions is to reduce the amount of data on
+#' disk so that it will take less time to load the data into memory.
#'
-#' If there are no trades or bid/ask price updates in a given second, we will not make
-#' a row for that timestamp. If there were no trades, but the bid or ask
-#' price changed, then we _will_ have a row but the Volume and Trade.Price will be NA.
+#' If there are no trades or bid/ask price updates in a given second, we will
+#' not make a row for that timestamp. If there were no trades, but the bid or
+#' ask price changed, then we _will_ have a row but the Volume and Trade.Price
+#' will be NA.
#'
-#' If there are multiple trades in the same second, Volume will be the sum of the volume,
-#' but only the last trade price in that second will be printed. Similarly, if there
-#' is a trade, and then later in the same second, there is a bid/ask update, the last
-#' Bid/Ask Price/Size will be used.
+#' If there are multiple trades in the same second, Volume will be the sum of
+#' the volume, but only the last trade price in that second will be printed.
+#' Similarly, if there is a trade, and then later in the same second, there is
+#' a bid/ask update, the last Bid/Ask Price/Size will be used.
#'
-#' @param x the xts series to convert to 1 minute BATMV
-#' @return an xts object of 1 second frequency
+#' \code{alltick2sec} is used to convert the data of several files from tick to
+#' one second frequency data.
+#'
+#' @param x the xts series to convert to 1 minute BATV
+#'
+#' @param getdir Directory that contains tick data
+#' @param savedir Directory in which to save converted data
+#' @param Symbols String names of instruments to convert
+#' @param overwrite TRUE/FALSE. If file already exists in savedir, should it be
+#' overwritten?
+#' @return \code{to_secBATV} returns an xts object of one second frequency.
+#' \code{alltick2sec} returns a list of files that were converted.
#' @author gsee
+#' @note \code{to_secBATV} is used by the TRTH_BackFill.R script in the
+#' inst/parser directory of the FinancialInstrument package. These functions
+#' are specific to to data created by that script and are not intended for
+#' more general use.
#' @examples
#' \dontrun{
#' getSymbols("CLU1")
#' system.time(xsec <- to_secBATV(CLU1))
+#' convert.log <- alltick2sec()
#' }
#' @export
+#' @rdname Tick2Sec
to_secBATV <- function(x) {
#require(qmao)
# Define Bi and As functions (copied from qmao package)
@@ -79,19 +96,8 @@
}
-
-#' Convert several files from tick to 1 second
-#'
-#' @param getdir directory to get tick data from
-#' @param savedir directory to save converted data in
-#' @param Symbols names of instruments to convert
-#' @param overwrite TRUE/FALSE. If file already exists in savedir, should it be overwritten?
-#' @return list of files that were converted
-#' @author gsee
-#' @examples
-#' \dontrun{
-#' convert.log <- alltick2sec()
-#' }
+#' @export
+#' @rdname Tick2Sec
alltick2sec <- function(getdir = '~/TRTH/tick/',
savedir = '~/TRTH/sec/',
Symbols=list.files(getdir),
Modified: pkg/FinancialInstrument/R/instrument.R
===================================================================
--- pkg/FinancialInstrument/R/instrument.R 2012-06-30 00:06:09 UTC (rev 1092)
+++ pkg/FinancialInstrument/R/instrument.R 2012-06-30 16:19:43 UTC (rev 1093)
@@ -144,10 +144,11 @@
#' instrument
#' fund
#' @seealso
-#' \code{\link{exchange_rate}}
-#' \code{\link{option_series}}
-#' \code{\link{future_series}}
-#' \code{\link{spread}}
+#' \code{link{currency}},
+#' \code{\link{exchange_rate}},
+#' \code{\link{option_series}},
+#' \code{\link{future_series}},
+#' \code{\link{spread}},
#' \code{\link{load.instruments}}
#' @export
instrument<-function(primary_id , ..., currency , multiplier , tick_size=NULL,
Added: pkg/FinancialInstrument/man/Tick2Sec.Rd
===================================================================
--- pkg/FinancialInstrument/man/Tick2Sec.Rd (rev 0)
+++ pkg/FinancialInstrument/man/Tick2Sec.Rd 2012-06-30 16:19:43 UTC (rev 1093)
@@ -0,0 +1,77 @@
+\name{to_secBATV}
+\alias{alltick2sec}
+\alias{to_secBATV}
+\title{Convert tick data to one-second data}
+\usage{
+ to_secBATV(x)
+
+ alltick2sec(getdir = "~/TRTH/tick/",
+ savedir = "~/TRTH/sec/", Symbols = list.files(getdir),
+ overwrite = FALSE)
+}
+\arguments{
+ \item{x}{the xts series to convert to 1 minute BATV}
+
+ \item{getdir}{Directory that contains tick data}
+
+ \item{savedir}{Directory in which to save converted data}
+
+ \item{Symbols}{String names of instruments to convert}
+
+ \item{overwrite}{TRUE/FALSE. If file already exists in
+ savedir, should it be overwritten?}
+}
+\value{
+ \code{to_secBATV} returns an xts object of one second
+ frequency. \code{alltick2sec} returns a list of files
+ that were converted.
+}
+\description{
+ This is like taking a snapshot of the market at the end
+ of every second, except the volume over the second is
+ summed.
+}
+\details{
+ From tick data with columns: \dQuote{Price},
+ \dQuote{Volume}, \dQuote{Bid.Price}, \dQuote{Bid.Size},
+ \dQuote{Ask.Price}, \dQuote{Ask.Size}, to data of one
+ second frequency with columns \dQuote{Bid.Price},
+ \dQuote{Bid.Size}, \dQuote{Ask.Price}, \dQuote{Ask.Size},
+ \dQuote{Trade.Price}, and \dQuote{Volume}
+
+ The primary purpose of these functions is to reduce the
+ amount of data on disk so that it will take less time to
+ load the data into memory.
+
+ If there are no trades or bid/ask price updates in a
+ given second, we will not make a row for that timestamp.
+ If there were no trades, but the bid or ask price
+ changed, then we _will_ have a row but the Volume and
+ Trade.Price will be NA.
+
+ If there are multiple trades in the same second, Volume
+ will be the sum of the volume, but only the last trade
+ price in that second will be printed. Similarly, if there
+ is a trade, and then later in the same second, there is a
+ bid/ask update, the last Bid/Ask Price/Size will be used.
+
+ \code{alltick2sec} is used to convert the data of several
+ files from tick to one second frequency data.
+}
+\note{
+ \code{to_secBATV} is used by the TRTH_BackFill.R script
+ in the inst/parser directory of the FinancialInstrument
+ package. These functions are specific to to data created
+ by that script and are not intended for more general use.
+}
+\examples{
+\dontrun{
+getSymbols("CLU1")
+system.time(xsec <- to_secBATV(CLU1))
+convert.log <- alltick2sec()
+}
+}
+\author{
+ gsee
+}
+
Deleted: pkg/FinancialInstrument/man/alltick2sec.Rd
===================================================================
--- pkg/FinancialInstrument/man/alltick2sec.Rd 2012-06-30 00:06:09 UTC (rev 1092)
+++ pkg/FinancialInstrument/man/alltick2sec.Rd 2012-06-30 16:19:43 UTC (rev 1093)
@@ -1,33 +0,0 @@
-\name{alltick2sec}
-\alias{alltick2sec}
-\title{Convert several files from tick to 1 second}
-\usage{
- alltick2sec(getdir = "~/TRTH/tick/",
- savedir = "~/TRTH/sec/", Symbols = list.files(getdir),
- overwrite = FALSE)
-}
-\arguments{
- \item{getdir}{directory to get tick data from}
-
- \item{savedir}{directory to save converted data in}
-
- \item{Symbols}{names of instruments to convert}
-
- \item{overwrite}{TRUE/FALSE. If file already exists in
- savedir, should it be overwritten?}
-}
-\value{
- list of files that were converted
-}
-\description{
- Convert several files from tick to 1 second
-}
-\examples{
-\dontrun{
-convert.log <- alltick2sec()
-}
-}
-\author{
- gsee
-}
-
Modified: pkg/FinancialInstrument/man/instrument.Rd
===================================================================
--- pkg/FinancialInstrument/man/instrument.Rd 2012-06-30 00:06:09 UTC (rev 1092)
+++ pkg/FinancialInstrument/man/instrument.Rd 2012-06-30 16:19:43 UTC (rev 1093)
@@ -142,8 +142,8 @@
\code{\link[quantmod]{setSymbolLookup}}.
}
\seealso{
- \code{\link{exchange_rate}} \code{\link{option_series}}
- \code{\link{future_series}} \code{\link{spread}}
- \code{\link{load.instruments}}
+ \code{link{currency}}, \code{\link{exchange_rate}},
+ \code{\link{option_series}}, \code{\link{future_series}},
+ \code{\link{spread}}, \code{\link{load.instruments}}
}
Deleted: pkg/FinancialInstrument/man/to_secBATV.Rd
===================================================================
--- pkg/FinancialInstrument/man/to_secBATV.Rd 2012-06-30 00:06:09 UTC (rev 1092)
+++ pkg/FinancialInstrument/man/to_secBATV.Rd 2012-06-30 16:19:43 UTC (rev 1093)
@@ -1,51 +0,0 @@
-\name{to_secBATV}
-\alias{to_secBATV}
-\title{convert tick data to one-second data}
-\usage{
- to_secBATV(x)
-}
-\arguments{
- \item{x}{the xts series to convert to 1 minute BATMV}
-}
-\value{
- an xts object of 1 second frequency
-}
-\description{
- This is like taking a snapshot of the market at the end
- of every second, except the volume over the second is
- summed.
-}
-\details{
- From tick data with columns: \dQuote{Price},
- \dQuote{Volume}, \dQuote{Bid.Price}, \dQuote{Bid.Size},
- \dQuote{Ask.Price}, \dQuote{Ask.Size}, to data of one
- second frequency with columns \dQuote{Bid.Price},
- \dQuote{Bid.Size}, \dQuote{Ask.Price}, \dQuote{Ask.Size},
- \dQuote{Trade.Price}, and \dQuote{Volume}
-
- The primary purpose of this function is to reduce the
- amount of data on disk so that it will take less time to
- load the data into memory.
-
- If there are no trades or bid/ask price updates in a
- given second, we will not make a row for that timestamp.
- If there were no trades, but the bid or ask price
- changed, then we _will_ have a row but the Volume and
- Trade.Price will be NA.
-
- If there are multiple trades in the same second, Volume
- will be the sum of the volume, but only the last trade
- price in that second will be printed. Similarly, if there
- is a trade, and then later in the same second, there is a
- bid/ask update, the last Bid/Ask Price/Size will be used.
-}
-\examples{
-\dontrun{
-getSymbols("CLU1")
-system.time(xsec <- to_secBATV(CLU1))
-}
-}
-\author{
- gsee
-}
-
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