[R-SIG-Finance] Simple TWAP Algorithm in R, Part II

[Gabor Grothendieck]

chop(x) below is the same as head(x, -1)

On 7/11/07, Brahm, David <David.Brahm at geodecapital.com> wrote:
> The [-1] in your tapply formula is what associates each spread with the
> PRIOR time difference.  If you want to associate it with the NEXT time
> difference, just chop off the last element instead of the first.
>
> This function may be handy:
> chop <- function(x) rev(rev(x)[-1])
>
> Then:
> twp <- tapply( diff(pricedata$time), chop(pricedata$spread), sum )
>
> -- David Brahm (brahm at alum.mit.edu)
>
>
>
> -----Original Message-----
> From: r-sig-finance-bounces at stat.math.ethz.ch
> [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Rory
> Winston
> Sent: Wednesday, July 11, 2007 7:25 AM
> To: r-sig-finance at stat.math.ethz.ch
> Subject: [R-SIG-Finance] Simple TWAP Algorithm in R, Part II
>
> Hi all
>
> I recently posted a question regarding a simple time-averaged
> calculation in
> R. I have an input data file which is a historical list of prices and
> their
> time:
>
> Time                  Bid        Ask
> 1183480907.042 1.36150 1.36160
> 1183480919.045 1.36150 1.36170
> 1183480923.044 1.36150 1.36160
> ....
>
> After some data conversion and spread calculations, I use R to calculate
> a
> time-weighted average (based on a clever tapply() command graciously
> supplied by Patrick Burns):
>
> twp <- tapply( diff(pricedata$time), pricedata$spread[-1], sum )
>
> I can then calculate the time-weighted average by dividing twp by
> sum(diff(pricedata$time)).
>
> When I compared my numbers with someone else who had done the
> calculations,
> it became apparent that I need to make a slight modification to the
> tapply()
> command : the current logic basically computes a running sum as spreads
> [S_n] += T_{n} - T_{n-1}, whereas the correct calculation is spreads
> [S_{n-1}] += T_{n} - T_{n-1}. In other words, I need to tell tapply()
> somehow to offset the spread vector by one. I have fiddled around with
> various permutations of tapply() trying to get it to do this, but with
> no
> success so far. I guess I could rebase the vector of spreads before
> calculating, but this seems like an unecessary hassle. Does anyone out
> there
> know how I can get tapply() (or a similar command) to do what I want?
>
> Thanks
> Rory
>
>        [[alternative HTML version deleted]]
>
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