[R-SIG-Finance] Quantmod and Tick Data

[Daniel Cegielka]

jatin patni pisze:
> I am new to this field(Quantitative high frequency finance) and really would
> like some guidance from senior people. Please guide me to some good
> tutorials for handling dataframes and the xts package. I need to import data
> (time series, tick data) for my backtesting. The problem with tick data is:-
> 1)It has multiple symbols, so when I'm importing the data from a file into a
> dataframe, I have to again extract data into other dataframes with unique
> symbols(since my backtesting strategies will work on one symbol at a time,
> and for general charting purposes)
> 2)It does not have a date field, just the timestamp (hh:mm:ss), so I need to
> add the date field from the filename and convert it to a suitable format
> compatible with Quantmod/xts before starting to use the data for
> backtesting.
> 3)It is large, around 500MB per day(all symbols), so I need to split the
> file into 50000 rows per call into the dataframe. It may be a good idea to
> store it in a binary format of R.
>   

jatin patni pisze:
> I am new to this field(Quantitative high frequency finance) and really would
> like some guidance from senior people. Please guide me to some good
> tutorials for handling dataframes and the xts package. I need to import data
> (time series, tick data) for my backtesting. The problem with tick data is:-
> 1)It has multiple symbols, so when I'm importing the data from a file into a
> dataframe, I have to again extract data into other dataframes with unique
> symbols(since my backtesting strategies will work on one symbol at a time,
> and for general charting purposes)
> 2)It does not have a date field, just the timestamp (hh:mm:ss), so I need to
> add the date field from the filename and convert it to a suitable format
> compatible with Quantmod/xts before starting to use the data for
> backtesting.
> 3)It is large, around 500MB per day(all symbols), so I need to split the
> file into 50000 rows per call into the dataframe. It may be a good idea to
> store it in a binary format of R.
>   


http://www.quantmod.com/whatsnext/

    * (...)
    * More high frequency testing - possibly tick data
    * More getSymbols methods
          o (...)
          o hdf5

and hdf5:

http://cran.r-project.org/web/packages/hdf5/index.html

daniel

> Since I'm a beginner with R, I'm having some stupid troubles handling
> dataframes, for eg. adding date into the columns of timestamps and
> converting it to a compatible format for quantmod/xts
>
> Please also guide me to some backtesting links(tutorials) or packages(like
> quantmod), preferably open source, for backtesting and even for implementing
> my own trading platform(for eg. Marketcetera)
>
> Thanks
>
> Regards
> Jatin
>
>   





> Since I'm a beginner with R, I'm having some stupid troubles handling
> dataframes, for eg. adding date into the columns of timestamps and
> converting it to a compatible format for quantmod/xts
>
> Please also guide me to some backtesting links(tutorials) or packages(like
> quantmod), preferably open source, for backtesting and even for implementing
> my own trading platform(for eg. Marketcetera)
>
> Thanks
>
> Regards
> Jatin
>
>