update

Author: englianhu

binary-Q1Inter-HFT-RV2.Rmd

@@ -3563,7 +3563,7 @@ From the table above, `N` is the sample data size, `3.5 years` dataset is more a
 
 ```{r, eval = FALSE}
 ## Get all intraday files.
-fls <- list.files(paste0(.dtr, 'data/fx/USDJPY/intraday/'), pattern = '^ts_ets_MNN_480_1.p_[0-9]{0,}.[0-9]{4}|^ts_ets_MNN_360_1.p_[0-9]{0,}.[0-9]{4}|^ts_ets_MNN_240_1.p_[0-9]{0,}.[0-9]{4}|^ts_ets_MNN_180_1.p_[0-9]{0,}.[0-9]{4}') %>% 
+fls <- list.files(paste0(.dtr, 'data/fx/USDJPY/intraday/'), pattern = '^ts_ets_MNN_1080_1.p_[0-9]{0,}.[0-9]{4}|^ts_ets_MNN_1200_1.p_[0-9]{0,}.[0-9]{4}|^ts_ets_MNN_480_1.p_[0-9]{0,}.[0-9]{4}|^ts_ets_MNN_360_1.p_[0-9]{0,}.[0-9]{4}|^ts_ets_MNN_240_1.p_[0-9]{0,}.[0-9]{4}|^ts_ets_MNN_180_1.p_[0-9]{0,}.[0-9]{4}') %>% 
   sort
 
 fls_pth <- paste0(.dtr, 'data/fx/USDJPY/intraday/', fls)

ets_MNN_MNZ_intraday.R

@@ -64,31 +64,30 @@ source('function/intra_min.R')
 timeID <- unique(dsmp$date)
 bse <- dsmp[year == 2016]$date[1] #"2016-01-04" #1st trading date in 2nd year
 timeID %<>% .[. >= bse]
-timeID %<>% .[. >= as_date('2016-12-12')]
-#timeID %<>% .[. <= as_date('2016-01-31')]
-timeID %<>% .[. >= as_date('2016-12-31')]
+timeID %<>% .[. >= as_date('2016-01-04')]
+timeID %<>% .[. <= as_date('2016-12-31')]
 data_len <- 1080
 hrz1 <- 1
 intr <- data_len/hrz1
 
 llply(ets.m, function(md) {
-  intra_min(timeID = timeID, dsmp, fl_pth = 'C:/Users/User/Desktop/intraday', 
+  intra_min(timeID = timeID, dsmp, fl_pth = 'C:/Users/User/Desktop/intraday_18_20', 
 		    data_len = data_len, hrz1 = hrz1, 
             .model = md, vb = FALSE)
   })
-#ts_ets_MNN_1080_1.p_504.2016-01-04
-#ts_ets_MNN_1200_1.p_473.2016-01-04
+#ts_ets_MNN_1080_1.p_504.2016-12-12
+#ts_ets_MNN_1200_1.p_473.2016-12-12
 
 # --------- eval=FALSE ---------
 source('function/intra_1440.R')
 
 timeID <- unique(dsmp$date)
 bse <- dsmp[year == 2016]$date[1] #"2016-01-04" #1st trading date in 2nd year
 timeID %<>% .[. >= bse]
-timeID %<>% .[1:5]
-#timeID %<>% .[. >= as_date('2016-01-04')]
+#timeID %<>% .[1:5]
+timeID %<>% .[. >= as_date('2016-01-04')]
 data_len <- 1440
-hrz1 <- 480
+hrz1 <- 720
 intr <- data_len/hrz1
 
 llply(ets.m, function(md) {

intra_600.720.840.960.r

@@ -1,6 +1,6 @@
 #pth <- 'C:/Users/User/Documents/GitHub/binary.com-interview-question-data/data/fx/USDJPY/intraday'
-pth <- 'C:/Users/User/Desktop/intraday_refill'
-fls <- list.files(pth, pattern = '^ts_ets_MNN_960_1.p_[0-9]{0,}.[0-9]{4}|^ts_ets_MNN_840_1.p_[0-9]{0,}.[0-9]{4}|^ts_ets_MNN_720_1.p_[0-9]{0,}.[0-9]{4}|^ts_ets_MNN_600_1.p_[0-9]{0,}.[0-9]{4}')
+pth <- 'C:/Users/User/Desktop/intraday_18_20'
+fls <- list.files(pth, pattern = '^ts_ets_MNN_1080_1.p_[0-9]{0,}.[0-9]{4}|^ts_ets_MNN_1200_1.p_[0-9]{0,}.[0-9]{4}')
 fls <- sort(fls)
 #ts_ets_MNN_960_1.p_504.2017-01-03
 #ts_ets_MNN_840_1.p_473.2017-01-03
@@ -51,7 +51,7 @@ mds_ets_MNN_intraday2_1min <- ldply(1:length(fls), function(i) {
 ## http://brooksandrew.github.io/simpleblog/articles/advanced-data-table/
 ## https://atrebas.github.io/post/2019-03-03-datatable-dplyr/
 
-saveRDS(mds_ets_MNN_intraday2_1min, paste0(.dtr, 'intra_600_720_840_960.rds'))
+saveRDS(mds_ets_MNN_intraday2_1min, paste0(.dtr, 'intra_1080_1200.rds'))
 
 
 ### -------------------------------------------------
@@ -67,7 +67,7 @@ mds_ets_MNN_intraday3_1min_1y %>% unique
 
 llply(split(mds_ets_MNN_intraday3_1min_1y, mds_ets_MNN_intraday3_1min_1y$data_min), function(x) { as.data.table(x) })
 
-mds_ets_MNN_intraday3_1min_1y <- ldply(split(mds_ets_MNN_intraday3_1min_1y, mds_ets_MNN_intraday3_1min_1y$data_min), function(x) { 
+mds_ets_MNN_intraday3_1min_1y2 <- ldply(split(mds_ets_MNN_intraday3_1min_1y, mds_ets_MNN_intraday3_1min_1y$data_min), function(x) { 
    unique(as.data.table(x), by = c('index')) }) %>% as.data.table
 #mds_ets_MNN_intraday3_1min_1y <- mds_ets_MNN_intraday3_1min_1y[date <= as_date('2017-01-01')]
 #saveRDS(mds_ets_MNN_intraday3_1min_1y, paste0(.dtr, 'data/fx/USDJPY/mds_ets_MNN_intraday3_1min_1y.rds'))