[Blotter-commits] r570 - in pkg/RTAQ: R man

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

Author: jonathan
Date: 2011-03-11 13:09:33 +0100 (Fri, 11 Mar 2011)
New Revision: 570

Modified:
   pkg/RTAQ/R/periodicityTAQ.R
   pkg/RTAQ/man/convert.Rd
   pkg/RTAQ/man/spotVol.rd
Log:
spotvol update and bugfix convert helpfile

Modified: pkg/RTAQ/R/periodicityTAQ.R
===================================================================
--- pkg/RTAQ/R/periodicityTAQ.R	2011-03-08 20:31:57 UTC (rev 569)
+++ pkg/RTAQ/R/periodicityTAQ.R	2011-03-11 12:09:33 UTC (rev 570)
@@ -2,7 +2,7 @@
 
 # Documented function:
 
-spotVol = function (pdata, dailyvol = "medrv" , periodicvol = "TML" , on = "minutes" , k = 5 , 
+spotVol = function (pdata, dailyvol = "bipower" , periodicvol = "TML" , on = "minutes" , k = 5 , 
            dummies = FALSE , P1 = 4 , P2 = 2, ...) 
 {
     dates = unique(format(time(pdata),"%Y-%m-%d"))
@@ -227,5 +227,11 @@
     return( -log(-log(beta))*b(M) + a(M)     )
 }
 
+center = function()
+{
+    g=function(y){ return( sqrt(2/pi)*exp(y-exp(2*y)/2)  )}
+    f=function(y){ return( y*g(y)    )  }
+    return( integrate(f,-Inf,Inf)$value )
+}
 
 

Modified: pkg/RTAQ/man/convert.Rd
===================================================================
--- pkg/RTAQ/man/convert.Rd	2011-03-08 20:31:57 UTC (rev 569)
+++ pkg/RTAQ/man/convert.Rd	2011-03-11 12:09:33 UTC (rev 570)
@@ -15,7 +15,7 @@
 convert(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")
+        format="\%Y\%M\%D \%H:\%M:\%S")
 }
 
 \arguments{
@@ -34,7 +34,7 @@
 \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, "%Y%M%D %H:%M:%S" is taken, which means the date is denoted by e.g. "20080130" and the time by e.g. "09:30:00".}
+By default, "\%Y\%M\%D \%H:\%M:\%S" is taken, which means the date is denoted by e.g. "20080130" and the time by e.g. "09:30:00".}
 }
 
 \value{For each day an xts object is saved into the folder of that date, containing the converted data.

Modified: pkg/RTAQ/man/spotVol.rd
===================================================================
--- pkg/RTAQ/man/spotVol.rd	2011-03-08 20:31:57 UTC (rev 569)
+++ pkg/RTAQ/man/spotVol.rd	2011-03-11 12:09:33 UTC (rev 570)
@@ -27,7 +27,7 @@
 
 \usage{
 spotVol(pdata, 
-    dailyvol = "medrv", 
+    dailyvol = "bipower", 
     periodicvol = "TML",
     on = "minutes",
     k   = 5,
@@ -82,8 +82,6 @@
 data("sample_real5minprices");
 
 #compute and plot intraday periodicity
-par(mfrow =c(2,1));
-out = spotVol(price,P1=6,P2=4,method="OLS",k=5, dummies=TRUE);
 out = spotVol(price,P1=6,P2=4,method="OLS",k=5, dummies=FALSE);
 head(out);
 }