使用lapply和split执行先前的滴答聚合 [英] performing previous tick aggregation using lapply and split
问题描述
过去3个月，我一直在努力解决此问题。请帮忙。
I am trying to solve this issue for past 3 months. Please help.
我有一个交易所的许多股票的报价数据（价格和交易量）。每张股票在硬盘上都有自己的 .rds 文件。我有兴趣清理它：
I have tick data (Price and Volume) for many stocks belonging to a single exchange. Each stock has its own .rds file on the hard disk. I am interested in cleaning it up:
-
通过取中位数合并多个相同的时间戳记
merge multiple same time stamps by taking median
子集数据仅用于交易时间
subset data for exchange hours only
在20分钟内通过以前的滴答汇总将其汇总
aggregate it over 20 minutes by previous tick aggregation
我知道
函数在高频包中聚合
function aggregatets in highfrequency package
可以执行上一个滴答聚合操作。但是，该函数仅获取一只股票的一日数据。
can perform the previous tick aggregation operation. However, the function takes one stock one day data only.
为了演示该问题，我将单个股票使用原始报价数据（命名为交易）。
To demonstrate the problem I am using raw tick data (named trade) for a single stock.
dput(head(trade,50))
structure(c(54.7, 54.7, 54.5, 54.5, 54.5, 54.6, 54.6, 54.65,
54.65, 54.6, 54.65, 54.65, 54.65, 54.65, 54.7, 54.7, 54.8, 54.8,
54.85, 54.85, 54.85, 54.85, 54.8, 54.8, 54.8, 54.8, 54.65, 54.65,
54.8, 54.8, 54.8, 54.8, 54.65, 54.65, 54.65, 54.75, 54.65, 54.7,
54.7, 54.7, 54.75, 54.75, 54.75, 54.75, 54.75, 54.7, 54.7, 54.7,
54.65, 54.65, 8, 542, 110, 600, 88, 200, 150, 100, 700, 250,
75, 100, 25, 200, 100, 600, 1546, 940, 100, 6250, 89, 6911, 89,
211, 100, 50, 1410, 1090, 913, 4737, 50, 300, 2486, 400, 25,
85, 250, 168, 50, 100, 40, 40, 60, 50, 40, 10, 91, 6072, 229,
1000), class = c("xts", "zoo"), .indexCLASS = c("POSIXct", "POSIXt"
), tclass = c("POSIXct", "POSIXt"), .indexTZ = "Asia/Calcutta", tzone = "Asia/Calcutta", index = structure(c(1459481853,
1459481853, 1459482302, 1459482302, 1459482305, 1459482306, 1459482306,
1459482307, 1459482307, 1459482308, 1459482312, 1459482314, 1459482314,
1459482315, 1459482317, 1459482317, 1459482318, 1459482318, 1459482319,
1459482319, 1459482320, 1459482320, 1459482322, 1459482322, 1459482330,
1459482330, 1459482331, 1459482331, 1459482336, 1459482336, 1459482337,
1459482337, 1459482338, 1459482338, 1459482339, 1459482340, 1459482344,
1459482348, 1459482351, 1459482351, 1459482356, 1459482357, 1459482357,
1459482361, 1459482362, 1459482364, 1459482367, 1459482367, 1459482369,
1459482369), tzone = "Asia/Calcutta", tclass = c("POSIXct", "POSIXt"
)), .Dim = c(50L, 2L), .Dimnames = list(NULL, c("value", "size"
)))
我使用下面的代码以20分钟为间隔执行以前的刻度汇总：
I use the following code to do previous tick aggregation to 20 minute intervals:
require(xts)
require(highfrequency)
trade<-xts(trade[,-1], order.by = trade[,1])
trade2<-do.call(rbind, lapply(split(trade,"days"), mergeTradesSameTimestamp))
colnames(trade)[c(1,2)]<-c("PRICE", "SIZE")
trade2<-trade2["T09:30:00/T15:30:00"]
trade2<-trade2[,1]
fundo=function(x) aggregatets(FUN = previoustick,on="minutes",k=20, dropna =F)
由于aggregates（）仅获取1天的数据，因此我将trade2拆分为几天并应用于天数
As aggregatets() only takes data for 1 day I am splitting trade2 into days and apply it on them
trade3<-do.call(rbind, lapply(split(trade2, "days"), fundo))
但是我得到函数 aggregatets 的错误：
But I get the error for function aggregatets:
trade3<-do.call(rbind, lapply(split(trade2, "days"), fundo))
Error in FUN != "previoustick" :
comparison (2) is possible only for atomic and list types
Called from: aggregatets(FUN = previoustick, on = "minutes", k = 20, dropna = F)
请提出如何解决此错误的建议。
Please suggest how to solve this error.
推荐答案
此代码基于您提供的有限数据。您的错误是由于没有通过对象传递给参数 ts 。 （同样在您的示例数据中，所有报价都没有在上午9:30之前发生，因此，为了重现此答案，我将其更改为8.30am。即 trade2< -trade2 [ T08：30：00 / T15 ：30：00] ）：
This code works, based on the limited data you provided. Your error was from not passing though an object to argument ts. (Also in your sample data, none of the ticks happened before 9:30am, so for reproducibility of this answer I changed it to 8.30am. i.e. trade2<-trade2["T08:30:00/T15:30:00"]):
trade <- structure(c(54.7, 54.7, 54.5, 54.5, 54.5, 54.6, 54.6, 54.65,
54.65, 54.6, 54.65, 54.65, 54.65, 54.65, 54.7, 54.7, 54.8, 54.8,
54.85, 54.85, 54.85, 54.85, 54.8, 54.8, 54.8, 54.8, 54.65, 54.65,
54.8, 54.8, 54.8, 54.8, 54.65, 54.65, 54.65, 54.75, 54.65, 54.7,
54.7, 54.7, 54.75, 54.75, 54.75, 54.75, 54.75, 54.7, 54.7, 54.7,
54.65, 54.65, 8, 542, 110, 600, 88, 200, 150, 100, 700, 250,
75, 100, 25, 200, 100, 600, 1546, 940, 100, 6250, 89, 6911, 89,
211, 100, 50, 1410, 1090, 913, 4737, 50, 300, 2486, 400, 25,
85, 250, 168, 50, 100, 40, 40, 60, 50, 40, 10, 91, 6072, 229,
1000), class = c("xts", "zoo"), .indexCLASS = c("POSIXct", "POSIXt"
), tclass = c("POSIXct", "POSIXt"), .indexTZ = "Asia/Calcutta", tzone = "Asia/Calcutta", index = structure(c(1459481853,
1459481853, 1459482302, 1459482302, 1459482305, 1459482306, 1459482306,
1459482307, 1459482307, 1459482308, 1459482312, 1459482314, 1459482314,
1459482315, 1459482317, 1459482317, 1459482318, 1459482318, 1459482319,
1459482319, 1459482320, 1459482320, 1459482322, 1459482322, 1459482330,
1459482330, 1459482331, 1459482331, 1459482336, 1459482336, 1459482337,
1459482337, 1459482338, 1459482338, 1459482339, 1459482340, 1459482344,
1459482348, 1459482351, 1459482351, 1459482356, 1459482357, 1459482357,
1459482361, 1459482362, 1459482364, 1459482367, 1459482367, 1459482369,
1459482369), tzone = "Asia/Calcutta", tclass = c("POSIXct", "POSIXt"
)), .Dim = c(50L, 2L), .Dimnames = list(NULL, c("value", "size"
)))
# mergeTradesSameTimestamp wants "PRICE" column, so rename now:
colnames(trade) <- c("PRICE", "SIZE")
trade2<-do.call(rbind, lapply(split(trade,"days"), mergeTradesSameTimestamp))
trade2<-trade2["T08:30:00/T15:30:00"]
# Your error was from not passing through x to argument ts:
fundo=function(x) aggregatets(ts = x, FUN = "previoustick",on="minutes",k=20, dropna =F)
trade3<-do.call(rbind, lapply(split(trade2, "days"), fundo))
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