TRUE/FALSE. If file already exists in savedir, should it be
overwritten?
Details
From tick data with columns: “Price”, “Volume”,
“Bid.Price”, “Bid.Size”, “Ask.Price”, “Ask.Size”,
to data of one second frequency with columns “Bid.Price”,
“Bid.Size”, “Ask.Price”, “Ask.Size”,
“Trade.Price”, and “Volume”
The primary purpose of these functions is to reduce the amount of data on
disk so that it will take less time to load the data into memory.
If there are no trades or bid/ask price updates in a given second, we will
not make a row for that timestamp. If there were no trades, but the bid or
ask price changed, then we _will_ have a row but the Volume and Trade.Price
will be NA.
If there are multiple trades in the same second, Volume will be the sum of
the volume, but only the last trade price in that second will be printed.
Similarly, if there is a trade, and then later in the same second, there is
a bid/ask update, the last Bid/Ask Price/Size will be used.
alltick2sec is used to convert the data of several files from tick to
one second frequency data.
Value
to_secBATV returns an xts object of one second frequency.
alltick2sec returns a list of files that were converted.
Note
to_secBATV is used by the TRTH_BackFill.R script in the
inst/parser directory of the FinancialInstrument package. These functions
are specific to to data created by that script and are not intended for
more general use.