[Blotter-commits] r280 - pkg/RTAQ/R

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

Author: jonathan
Date: 2010-03-08 10:08:34 +0100 (Mon, 08 Mar 2010)
New Revision: 280

Modified:
   pkg/RTAQ/R/aggregate.R
   pkg/RTAQ/R/volatility.R
Log:


Modified: pkg/RTAQ/R/aggregate.R
===================================================================
--- pkg/RTAQ/R/aggregate.R	2010-03-04 13:37:09 UTC (rev 279)
+++ pkg/RTAQ/R/aggregate.R	2010-03-08 09:08:34 UTC (rev 280)
@@ -76,12 +76,21 @@
 ##k indicates the number of periods to aggregate over
   ts2 = aggregatets(ts, FUN=previoustick, on, k);
 
+  #adjustmet correct opening price
   date = strsplit(as.character(index(ts))," ")[[1]][1]
   realopen = "09:30:00";
   a = as.timeDate(paste(date,realopen));
   b = xts(ts[1],a);
+  ts3 = c(b,ts2);
 
-  ts3 = c(b,ts2);
+  ##adjustment for correct closing price:
+  realclose = "16:00:00";
+  aa = as.timeDate(paste(date,realclose));
+  condition = index(ts3) < aa;
+  ts3=ts3[condition];
+  bb = xts(ts[length(ts)],aa);
+  ts3 = c(ts3,bb);
+
   return(ts3);
 }
 

Modified: pkg/RTAQ/R/volatility.R
===================================================================
--- pkg/RTAQ/R/volatility.R	2010-03-04 13:37:09 UTC (rev 279)
+++ pkg/RTAQ/R/volatility.R	2010-03-08 09:08:34 UTC (rev 280)
@@ -187,7 +187,7 @@
    }
 }
 
-tresholdcov = function(ts)	{
+thresholdcov = function(ts)	{
   n=dim(ts)[1];						#number of observations
   delta = 1/n;
   rbpvars = apply(ts,2,FUN=RBPVar);			#bipower variation per stock
@@ -196,12 +196,9 @@
   condition = ts>tresmatrix;
   ts[condition] = 0;
   cov = RCov(ts);
-
 return(cov);	
 				}
 
-
-
 #Realized Correlation (RCor)
 RCor = function(ts){
   ts = na.locf(ts,na.rm=FALSE);