[R-SIG-Finance] Quantstrat for backtesting on tickdata (and creating a spread from tick)

bearwithme daneedwards1 at hotmail.com
Mon Jun 1 23:00:29 CEST 2015

Hi, could someone please point me in the right direction. It can be high
level and i can do the research (which have already done but i seem to be
going around in circles right now haha)

I have tick data for two instruments bid/vol & ask/vol.

Example data : Bid for BRN0615 (Brent june 2015)
20150421 175951;61.87;4
20150421 175955;61.87;3
20150421 175955;61.87;1

1) I would like create a spread between 2 instruments using this tick data.
(can fn_spreadbuilder do this?)

spread ask = BRN0615(ask) - (BRNS120615(bid) *3)
spread bid = BRN0615(bid) - (BRNS120615(ask) *3)

2) unfortunately in the tick data some of the date rows have duplicate time
stamps (i hope to get better data) is there a way of dealing with this
(without going to 1 second data).

3) once i have the spread, it will be in bid/ask format still, I know how to
access the columns in quanstrat using $columnname but what is the best way
to get it a certain format?

** my strategy will use the bid and ask of the resulting spread, when the
ask goes below a certain level i will long, when the bid goes above a
certain level i will go short (mean reversion). 


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