Greetings! Pls forgive me if this is an old topic. I have searched through list archives extensively but I am just not sure if I am using quantstrat correctly with intraday data.
I've attached sample minute ohlc data. after loading it, an xts object
spy.test would be populated as shown below:
> nrow(spy.test)
[1] 1074
> head(spy.test)
spy.Open spy.High spy.Low spy.Close spy.Volume
2012-03-29 07:32:00 140.14 140.15 140.14 140.15 800
2012-03-29 07:33:00 140.15 140.15 140.14 140.14 2700
2012-03-29 07:36:00 140.16 140.16 140.12 140.12 5105
2012-03-29 07:40:00 140.17 140.17 140.17 140.17 200
2012-03-29 07:41:00 140.15 140.16 140.15 140.16 1798
2012-03-29 07:42:00 140.16 140.16 140.16 140.16 2052
> tail(spy.test)
spy.Open spy.High spy.Low spy.Close spy.Volume
2012-03-30 16:26:00 140.86 140.87 140.85 140.87 10900
2012-03-30 16:27:00 140.86 140.86 140.79 140.79 27770
2012-03-30 16:28:00 140.84 140.86 140.84 140.86 20400
2012-03-30 16:29:00 140.85 140.86 140.84 140.86 18500
2012-03-30 16:30:00 140.86 140.86 140.85 140.85 11035
2012-03-30 16:31:00 140.85 140.86 140.85 140.85 1100
Currently I use something similar to attached test.R to do intraday
work. in the code I liquidate everything before close so that I don't
need to worry about splits and dividends. Is what I am doing the
correct way of using quantstrat with intraday data?
Also if in future I will hold overnight positions, How would I make
sure dividends and splits are correctly adjusted for pnl and summary
statistics? would underlying blotter be smart enough to handle all the
housekeeping?
Thanks!
Jim.
spy.test.Rdata
Description: Binary data
test.R
Description: Binary data
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