[Highfrequency-commits] r28 - in pkg/highfrequency: R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Aug 6 18:55:52 CEST 2012
Author: jonathan
Date: 2012-08-06 18:55:51 +0200 (Mon, 06 Aug 2012)
New Revision: 28
Modified:
pkg/highfrequency/R/realized.R
pkg/highfrequency/man/convert.Rd
Log:
changed kris comments1
Modified: pkg/highfrequency/R/realized.R
===================================================================
--- pkg/highfrequency/R/realized.R 2012-07-23 21:26:56 UTC (rev 27)
+++ pkg/highfrequency/R/realized.R 2012-08-06 16:55:51 UTC (rev 28)
@@ -2207,7 +2207,7 @@
################ The real conversion starts here ;)
convert = function(from, to, datasource, datadestination, trades = TRUE,
- quotes = TRUE, ticker, dir = FALSE, extention = "txt", header = FALSE,
+ quotes = TRUE, ticker, dir = FALSE, extension = "txt", header = FALSE,
tradecolnames = NULL, quotecolnames = NULL, format = "%Y%m%d %H:%M:%S", onefile=FALSE){
require("timeDate")
Modified: pkg/highfrequency/man/convert.Rd
===================================================================
--- pkg/highfrequency/man/convert.Rd 2012-07-23 21:26:56 UTC (rev 27)
+++ pkg/highfrequency/man/convert.Rd 2012-08-06 16:55:51 UTC (rev 28)
@@ -1,87 +1,87 @@
-\name{convert}
-\Rdversion{1.1}
-\alias{convert}
-\title{Convert trade or quote data into xts object saved in the RData format}
-
-\description{
-Function converts both trade and quote data stored as "txt" or "csv" and
-structured as illustrated in the pdf documentation into xts-objects and
-stores them in the "RData" format.
-Subsequently, the data can be loaded into the R console by \code{\link{TAQLoad}}.}
-
-\usage{
-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",onefile=FALSE)
-}
-
-\arguments{
-\item{from}{ first date to convert e.g. "2008-01-30".}
-\item{to}{ last date to convert e.g. "2008-01-31".}
-\item{datasource}{ folder in which the original data is stored.}
-\item{datadestination}{ folder in which the converted data should be stored.}
-\item{trades}{ boolean, determines whether trades are converted.}
-\item{quotes}{ boolean, determines whether quotes are converted.}
-\item{ticker}{ vector with tickers to be converted.}
-\item{dir}{ boolean, if TRUE the datadestination folder and subfolders will be created automatically.}
-\item{extention}{character, indicating the data format of the original data. Can be either "txt" or "csv". In case your data comes from "www.tickdata.com", set extention="tickdatacom".}
-\item{header}{ boolean, indicating whether each data file contains a header.}
-\item{tradecolnames}{ vector containing column names of your trade data. By default,
-the standard NYSE data format is taken, see pdf documentation for more details.}
-\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".}
-\item{onefile}{
-indicates the way the source data is stored. By default FALSE, which means the function expects that the source data is saved in a folder sturcture with a folder for each date (see vignette for more info). In case the data for multiple days is stored in one file, set onefile=TRUE. The naming convention for files is, e.g. for ticker="AAPL", "AAPL_trades.extention" and "AAPL_quotes.extension" for trades and quotes respectively.}
-}
-
-\value{For each day an xts object is saved into the folder of that date, containing the converted data.
-This procedure is performed for each stock in "ticker". More information can be found in the pdf documentation.}
-
-
-\author{ Jonathan Cornelissen and Kris Boudt}
-
-\examples{
-#In order for these examples to work, the folder datasource
-#should contain two folders named 2008-01-02 and 2008-01-03.
-#These folder contain the files with the trade data,
-#which are named "AAPL_trades.txt" or "AA_trades.txt".
-
-from="2008-01-02";
-to = "2008-01-03";
-\dontrun{datasource=datadestination="C:\\data"
-
-### txt files from NYSE:
-
-convert(from,to,datasource,datadestination,trades=TRUE,
- quotes=FALSE,ticker=c("AA","AAPL"),dir=FALSE,extention="txt",
- header=FALSE,tradecolnames=NULL,quotecolnames=NULL,
- format="\%Y\%m\%d \%H:\%M:\%S");
-
-#Now, the folder datadestination will contain two folders
-#named 2008-01-02 and 2008-01-03 containing
-#the files AAPL_trades.RData and AAPL_trades.RData containing the trades.
-#The data can now be loaded with the TAQLoad function.
-
-########## Csv file from WRDS
-#Suppose the datasource folder contains one csv file from WRDS
-#with data on IBM for multiple days.
-#The file should be named "IBM_trades.csv" and can be easily converted into xts
-#and then saved in RData format by:
-
- convert(from=from, to=to, datasource=datasource, datadestination=datadestination, trades = T,
- quotes = T, ticker="IBM", dir = FALSE, extention = "csv", header = TRUE,
- tradecolnames = NULL, quotecolnames = NULL, format = format, onefile = TRUE )
-
-####### ASC file from www.tickdata.com
-#Suppose the datasource folder contains asc files for trades and quotes
-#from "www.tickdata.com" for GLP.
-#The files "GLP_quotes.asc" and "GLP_trades.asc" should be saved in datasource folder.
-
- convert(from=from, to=to, datasource=datasource, datadestination=datadestination, trades = T,
- quotes = T, ticker="GLP", dir = TRUE, extention = "tickdatacom", header = TRUE,
- tradecolnames = NULL, quotecolnames = NULL, format = format, onefile = TRUE );
-}
-}
+\name{convert}
+\Rdversion{1.1}
+\alias{convert}
+\title{Convert trade or quote data into xts object saved in the RData format}
+
+\description{
+Function converts both trade and quote data stored as "txt" or "csv" and
+structured as illustrated in the pdf documentation into xts-objects and
+stores them in the "RData" format.
+Subsequently, the data can be loaded into the R console by \code{\link{TAQLoad}}.}
+
+\usage{
+convert(from,to,datasource,datadestination,trades=TRUE,quotes=TRUE,
+ ticker,dir=FALSE,extension="txt",header=FALSE,
+ tradecolnames=NULL,quotecolnames=NULL,
+ format="\%Y\%m\%d \%H:\%M:\%S",onefile=FALSE)
+}
+
+\arguments{
+\item{from}{ first date to convert e.g. "2008-01-30".}
+\item{to}{ last date to convert e.g. "2008-01-31".}
+\item{datasource}{ folder in which the original data is stored.}
+\item{datadestination}{ folder in which the converted data should be stored.}
+\item{trades}{ boolean, determines whether trades are converted.}
+\item{quotes}{ boolean, determines whether quotes are converted.}
+\item{ticker}{ vector with tickers to be converted.}
+\item{dir}{ boolean, if TRUE the datadestination folder and subfolders will be created automatically.}
+\item{extension}{character, indicating the data format of the original data. Can be either "txt" or "csv". In case your data comes from "www.tickdata.com", set extension="tickdatacom".}
+\item{header}{ boolean, indicating whether each data file contains a header.}
+\item{tradecolnames}{ vector containing column names of your trade data. By default,
+the standard NYSE data format is taken, see pdf documentation for more details.}
+\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".}
+\item{onefile}{
+indicates the way the source data is stored. By default FALSE, which means the function expects that the source data is saved in a folder sturcture with a folder for each date (see vignette for more info). In case the data for multiple days is stored in one file, set onefile=TRUE. The naming convention for files is, e.g. for ticker="AAPL", "AAPL_trades.extension" and "AAPL_quotes.extension" for trades and quotes respectively.}
+}
+
+\value{For each day an xts object is saved into the folder of that date, containing the converted data.
+This procedure is performed for each stock in "ticker". More information can be found in the pdf documentation.}
+
+
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+\examples{
+#In order for these examples to work, the folder datasource
+#should contain two folders named 2008-01-02 and 2008-01-03.
+#These folder contain the files with the trade data,
+#which are named "AAPL_trades.txt" or "AA_trades.txt".
+
+from="2008-01-02";
+to = "2008-01-03";
+\dontrun{datasource=datadestination="C:\\data"
+
+### txt files from NYSE:
+
+convert(from,to,datasource,datadestination,trades=TRUE,
+ quotes=FALSE,ticker=c("AA","AAPL"),dir=FALSE,extension="txt",
+ header=FALSE,tradecolnames=NULL,quotecolnames=NULL,
+ format="\%Y\%m\%d \%H:\%M:\%S");
+
+#Now, the folder datadestination will contain two folders
+#named 2008-01-02 and 2008-01-03 containing
+#the files AAPL_trades.RData and AAPL_trades.RData containing the trades.
+#The data can now be loaded with the TAQLoad function.
+
+########## Csv file from WRDS
+#Suppose the datasource folder contains one csv file from WRDS
+#with data on IBM for multiple days.
+#The file should be named "IBM_trades.csv" and can be easily converted into xts
+#and then saved in RData format by:
+
+ convert(from=from, to=to, datasource=datasource, datadestination=datadestination, trades = T,
+ quotes = T, ticker="IBM", dir = FALSE, extension = "csv", header = TRUE,
+ tradecolnames = NULL, quotecolnames = NULL, format = format, onefile = TRUE )
+
+####### ASC file from www.tickdata.com
+#Suppose the datasource folder contains asc files for trades and quotes
+#from "www.tickdata.com" for GLP.
+#The files "GLP_quotes.asc" and "GLP_trades.asc" should be saved in datasource folder.
+
+ convert(from=from, to=to, datasource=datasource, datadestination=datadestination, trades = T,
+ quotes = T, ticker="GLP", dir = TRUE, extension = "tickdatacom", header = TRUE,
+ tradecolnames = NULL, quotecolnames = NULL, format = format, onefile = TRUE );
+}
+}
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