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

bearwithme daneedwards1 at hotmail.com
Sat Jun 6 11:46:36 CEST 2015

Thanks Joshua, 

I'll give that a go.. 
what i ended up doing was this.

****loaded the bid, ask separately from csv****

#transform form into xts object
outask <- as.xts(read.zoo(BRN.06.15.Ask,
                          format='%Y%m%d %H%M%S'))
outbid <- as.xts(read.zoo(BRN.06.15.Bid,
                          format='%Y%m%d %H%M%S'))
calask <- as.xts(read.zoo(BRNS12.12.15.Ask,
                          format='%Y%m%d %H%M%S'))
calbid <- as.xts(read.zoo(BRNS12.12.15.Bid,
                          format='%Y%m%d %H%M%S'))


#merge the xts files into one
strat  <- merge.xts(outask, outbid, calask, calbid)

#rename columns
names(strat)[names(strat)=="V2"] <- "outask"
names(strat)[names(strat)=="V3"] <- "outaskvol"
names(strat)[names(strat)=="V2.1"] <- "outbid"
names(strat)[names(strat)=="V3.1"] <- "outbidVol"
names(strat)[names(strat)=="V2.2"] <- "calask"
names(strat)[names(strat)=="V3.2"] <- "calaskvol"
names(strat)[names(strat)=="V2.3"] <- "calbid"
names(strat)[names(strat)=="V3.3"] <- "calbidVol"

#fill down rows
strat  <- na.locf(strat)

#create strat ask and bid
strat$stratask  <-  strat$outask - (strat$calbid*3)
strat$stratbid  <-  strat$outbid - (strat$calask*3)

which gave me a xts object with everything i need.. i haven't got to back
testing yet but i will let you know how it go.. maybe your way is easier
I'll try that too.

*i havn't had any issues with unique fields yet.

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