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 <darko.roup...@cba.com.au> wrote: > 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 this helps. > > __________________________________________________ > Commonwealth Bank > Darko Roupell > Associate Quantitative Analyst > Institutional Banking & Markets > Equities Research > Darling Park Tower 1 > Level 23, 201 Sussex Street > Sydney, NSW 200 > P: +61 2 9117 1254 > F: +61 2 9118 1000 > M: +61 400 170 515 > E: darko.roup...@cba.com.au > Our vision is to be Australia's finest financial services organisation > through excelling in customer service. > > Email Security > This email is sent solely for informational purposes. Hoax emails, commonly > referred to as phishing, can appear to be from the Commonwealth Bank and ask > you to update or confirm details such as client numbers, passwords, personal > identification questions, contact details or account numbers. The > Commonwealth Bank will never send you an email asking you to confirm, update > or reveal your confidential banking information. > Important Information > Produced by Global Markets Research, a business unit of Commonwealth Bank of > Australia ABN 48 123 123 124 - AFSL 234945 (Commonwealth Bank). This > publication is based on information available at the time of publishing. We > believe that the information in this communication is correct and any > opinions, conclusions or recommendations are reasonably held or made as at > the time of its compilation, but no warranty is made as to accuracy, > reliability or completeness. To the extent permitted by law, neither > Commonwealth Bank nor any of its subsidiaries accept liability to any person > for loss or damage arising from the use of this communication. This > communication does not purport to be a complete statement or summary. > The information provided has been prepared without considering your > objectives, financial situation or needs, and before acting on the > information, you should consider its appropriateness to your circumstances. > No person should act on the basis of this report without considering and if > necessary taking appropriate professional advice upon their own particular > circumstances. > Commonwealth Bank of Australia, as a provider of investment, borrowing and > other financial services undertakes financial transactions with many > corporate entities in Australia. This may include any corporate issuer > referred to in this communication. Commonwealth Bank and its subsidiaries > have effected or may effect transactions for their own account in any > investments or related investments referred to herein. In the case of certain > securities Commonwealth Bank is or may be the only market maker. > > > -----Original Message----- > From: Robert A'gata [mailto:rhelp...@gmail.com] > Sent: Thursday, 6 October 2011 12:08 PM > To: Roupell, Darko; r-help@r-project.org; r-sig-fina...@stat.math.ethz.ch > Subject: Re: [R-SIG-Finance] AsOf join in R > > 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 trade. Is there any better way? Or I misunderstand anything > about the RTAQ's function? Thank you. > > Robert > > On Wed, Oct 5, 2011 at 1:59 AM, Roupell, Darko <darko.roup...@cba.com.au> > wrote: >> na.locf {zoo}, should do a job, also if you look in RTAQ they wrote a >> function that looks on previous tick and carries forward value in case its >> not available. >> >> __________________________________________________ >> Commonwealth Bank >> Darko Roupell >> Associate Quantitative Analyst >> Institutional Banking & Markets >> Equities Research >> Darling Park Tower 1 >> Level 23, 201 Sussex Street >> Sydney, NSW 200 >> P: +61 2 9117 1254 >> F: +61 2 9118 1000 >> M: +61 400 170 515 >> E: darko.roup...@cba.com.au >> Our vision is to be Australia's finest financial services organisation >> through excelling in customer service. >> >> Email Security >> This email is sent solely for informational purposes. Hoax emails, commonly >> referred to as phishing, can appear to be from the Commonwealth Bank and ask >> you to update or confirm details such as client numbers, passwords, personal >> identification questions, contact details or account numbers. The >> Commonwealth Bank will never send you an email asking you to confirm, update >> or reveal your confidential banking information. >> Important Information >> Produced by Global Markets Research, a business unit of Commonwealth Bank of >> Australia ABN 48 123 123 124 - AFSL 234945 (Commonwealth Bank). This >> publication is based on information available at the time of publishing. We >> believe that the information in this communication is correct and any >> opinions, conclusions or recommendations are reasonably held or made as at >> the time of its compilation, but no warranty is made as to accuracy, >> reliability or completeness. To the extent permitted by law, neither >> Commonwealth Bank nor any of its subsidiaries accept liability to any person >> for loss or damage arising from the use of this communication. This >> communication does not purport to be a complete statement or summary. >> The information provided has been prepared without considering your >> objectives, financial situation or needs, and before acting on the >> information, you should consider its appropriateness to your circumstances. >> No person should act on the basis of this report without considering and if >> necessary taking appropriate professional advice upon their own particular >> circumstances. >> Commonwealth Bank of Australia, as a provider of investment, borrowing and >> other financial services undertakes financial transactions with many >> corporate entities in Australia. This may include any corporate issuer >> referred to in this communication. Commonwealth Bank and its subsidiaries >> have effected or may effect transactions for their own account in any >> investments or related investments referred to herein. In the case of >> certain securities Commonwealth Bank is or may be the only market maker. >> >> -----Original Message----- >> From: r-sig-finance-boun...@r-project.org >> [mailto:r-sig-finance-boun...@r-project.org] On Behalf Of Robert A'gata >> Sent: Wednesday, 5 October 2011 2:41 PM >> To: r-help@r-project.org; r-sig-fina...@stat.math.ethz.ch >> Subject: [R-SIG-Finance] AsOf join in R >> >> Hi, >> >> I tried to google for any solution for asof join operator in R. But I >> couldn't find one. The asof join operator AsOf(A,B) merges 2 time >> series by looking for latest available value of B prior to each time >> point in A. For example, >> >> A <- xts(c(10,15,20,25), >> order.by=as.POSIXct(c("2011-09-01","2011-09-09","2011-09-10","2011-09-15")) >> >> B <- xts(c(1.1,1.5,1.3,1.7), >> order.by=as.POSIXct(c("2011-08-31","2011-09-09","2011-09-11","2011-09-12")) >> >> AsOf(A,B) should return >> >> A B >> 2011-09-01 10 1.1 >> 2011-09-09 15 1.1 # (because latest value B prior to >> 2011-09-09 is 1.1) >> 2011-09-10 20 1.5 >> 2011-09-15 25 1.7 >> >> How do I write the above AsOf function in R? The merge function does >> not do what I want because it will align points that have the same >> time stamp together while what I want is actually latest value prior >> to timestamp in A. Any example would be greatly appreciated. Thank >> you. >> >> Cheers, >> >> Robert >> >> _______________________________________________ >> r-sig-fina...@r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance >> -- Subscriber-posting only. 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Unless > specifically indicated, this email does not constitute formal advice or > commitment by the sender > or the Commonwealth Bank of Australia (ABN 48 123 123 124) or its > subsidiaries. > We can be contacted through our web site: commbank.com.au. > If you no longer wish to receive commercial electronic messages from us, > please reply to this > e-mail by typing Unsubscribe in the subject line. > ************************************************************** > > > > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
