[Blotter-commits] r598 - in pkg/RTAQ: . R

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

Author: jonathan
Date: 2011-04-27 16:45:56 +0200 (Wed, 27 Apr 2011)
New Revision: 598

Modified:
   pkg/RTAQ/DESCRIPTION
   pkg/RTAQ/R/convert_to_RData.R
Log:


Modified: pkg/RTAQ/DESCRIPTION
===================================================================
--- pkg/RTAQ/DESCRIPTION	2011-04-13 10:35:13 UTC (rev 597)
+++ pkg/RTAQ/DESCRIPTION	2011-04-27 14:45:56 UTC (rev 598)
@@ -2,7 +2,7 @@
 Type: Package
 Title: RTAQ: Tools for the analysis of trades and quotes in R
 Version: 0.1
-Author: Kris Boudt, Jonathan Cornelissen
+Author: Jonathan Cornelissen, Kris Boudt
 Maintainer: Jonathan Cornelissen <Jonathan.cornelissen at econ.kuleuven.be>
 Description: The Trades and Quotes data of the New York Stock Exchange is a popular input for the implementation of intraday trading strategies, the measurement of liquidity and volatility and investigation of the market microstructure, among others. This package contains a collection of R functions to carefully clean and match the trades and quotes data, calculate ex post liquidity and volatility measures and detect price jumps in the data.
 Depends: xts, timeDate

Modified: pkg/RTAQ/R/convert_to_RData.R
===================================================================
--- pkg/RTAQ/R/convert_to_RData.R	2011-04-13 10:35:13 UTC (rev 597)
+++ pkg/RTAQ/R/convert_to_RData.R	2011-04-27 14:45:56 UTC (rev 598)
@@ -31,8 +31,8 @@
 ############################
 convert = function(from,to,datasource,datadestination,trades=TRUE,quotes=TRUE,ticker,dir=FALSE,extention="txt",header=FALSE,tradecolnames=NULL,quotecolnames=NULL,format="%Y%M%D %H:%M:%S"){
   dates = timeSequence(from,to, format = "%Y-%m-%d", FinCenter = "GMT")
-  dates = dates[isBizday(dates, holidays = holidayNYSE(2004:2010))];
-  missingt=missingq=matrix(ncol=2,nrow=0);
+  dates = dates[isBizday(dates, holidays = holidayNYSE(1950:2030))];
+  missingt = missingq = matrix(ncol=2,nrow=0);
 
   if(dir)	{
   dir.create(datadestination);