On Thu, Oct 6, 2011 at 2:15 AM, Ulrich Staudinger wrote:
> A bit late, but here is what I always do:
>
> m = merge(bid, ask, tick)
> m<- interpNA(m, method="before")
>
> intrepNA can also interpolate NAs in different ways, for example linearly.
>
Its not clear precisely what sort of objects bid,
A bit late, but here is what I always do:
m = merge(bid, ask, tick)
m<- interpNA(m, method="before")
intrepNA can also interpolate NAs in different ways, for example linearly.
Hth,
Ulrich
Am 06.10.2011 03:08, schrieb Robert A'gata:
Hi Roupell,
Yes I am aware of RTAQ function matchTradesQu
Btw tweaking MatchTradesQuotes should not be an issue and its easy to
accommodate any data format that is passed through in xts object.
At least that's what I did with RTAQ package - used it as a shell to create
unique functions that suit data format for intra-day tick flow from ASX.
Hope th
Darko - Looking at it carefully. Yes, you're right. It's still native
R code function. I know how to proceed now. Thanks.
On Wed, Oct 5, 2011 at 9:22 PM, Roupell, Darko wrote:
> Btw tweaking MatchTradesQuotes should not be an issue and its easy to
> accommodate any data format that is passed thr
Hi Roupell,
Yes I am aware of RTAQ function matchTradesQuotes. But my time series
does not follow the TAQ format like they suggest. So I gave it a try
and find that it doesn't work. In particular, my time series contain
full level 2 order book and trades. I want to do asof join of the book
to the
On Tue, 2011-10-04 at 23:41 -0400, Robert A'gata wrote:
> AsOf(A,B) should return
>
> A B
> 2011-09-0110 1.1
> 2011-09-0915 1.1 # (because latest value B prior to
> 2011-09-09 is 1.1)
> 2011-09-1020 1.5
> 2011-09-1525 1.7
>
> How do I
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