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‎binary-Q1Inter-HFT-RV2.Rmd

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@@ -3575,6 +3575,8 @@ mds_ets_MNN_intraday3_1min_1y <- rbind(mds_ets_MNN_intraday_1min_1y, mds_ets_MNN
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saveRDS(mds_ets_MNN_intraday3_1min_1y, paste0(.dtr, 'data/fx/USDJPY/mds_ets_MNN_intraday3_1min_1y.rds'))
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mds_ets_MNN_intraday3_1min_1y <- readRDS(paste0(.dtr, 'data/fx/USDJPY/mds_ets_MNN_intraday3_1min_1y.rds'))
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mds_ets_MNN_intraday3_1min_1y_cmp <- mds_ets_MNN_intraday3_1min_1y %>%
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#tidyr::unite(model, t_series:part) %>%
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tidyr::unite(model, t_series:fc_min) %>%

‎binary-Q1Inter-HFT-RV2.html

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‎intra_600.720.840.960.r

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#pth <- 'C:/Users/User/Documents/GitHub/binary.com-interview-question-data/data/fx/USDJPY/intraday'
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pth <- 'C:/Users/User/Desktop/intraday'
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pth <- 'C:/Users/User/Desktop/intraday_refill'
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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}')
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fls <- sort(fls)
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#ts_ets_MNN_960_1.p_504.2017-01-03
@@ -54,73 +54,152 @@ mds_ets_MNN_intraday2_1min <- ldply(1:length(fls), function(i) {
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saveRDS(mds_ets_MNN_intraday2_1min, paste0(.dtr, 'intra_600_720_840_960.rds'))
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### -------------------------------------------------
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require('data.table')
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mds_ets_MNN_intraday2_1min <- readRDS(paste0(.dtr, 'data/fx/USDJPY/mds_ets_MNN_intraday2_1min.rds')) %>% as.data.table
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mds_ets_MNN_intraday2_1min <- mds_ets_MNN_intraday2_1min[order(index)]
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require('dplyr')
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require('magrittr')
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mds_ets_MNN_intraday3_1min_1y <- readRDS(paste0(.dtr, 'data/fx/USDJPY/mds_ets_MNN_intraday3_1min_1y.rds'))
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mds_ets_MNN_intraday3_1min_1y %<>% as.data.table
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mds_ets_MNN_intraday3_1min_1y <- mds_ets_MNN_intraday3_1min_1y[order(index)]
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mds_ets_MNN_intraday3_1min_1y %>% unique
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llply(split(mds_ets_MNN_intraday3_1min_1y, mds_ets_MNN_intraday3_1min_1y$data_min), function(x) { as.data.table(x) })
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mds_ets_MNN_intraday3_1min_1y <- ldply(split(mds_ets_MNN_intraday3_1min_1y, mds_ets_MNN_intraday3_1min_1y$data_min), function(x) {
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unique(as.data.table(x), by = c('index')) }) %>% as.data.table
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#mds_ets_MNN_intraday3_1min_1y <- mds_ets_MNN_intraday3_1min_1y[date <= as_date('2017-01-01')]
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#saveRDS(mds_ets_MNN_intraday3_1min_1y, paste0(.dtr, 'data/fx/USDJPY/mds_ets_MNN_intraday3_1min_1y.rds'))
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llply(split(mds_ets_MNN_intraday2_1min, mds_ets_MNN_intraday2_1min$data_min), function(x) { as.data.table(x) })
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smmp <- dsmp[374401:748800]
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llply(split(mds_ets_MNN_intraday3_1min_1y, mds_ets_MNN_intraday3_1min_1y$data_min), function(x) {
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x <- as.data.table(x)
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y <- smmp$index[!unique(smmp$index) %in% unique(x$index)]
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#c(head(y), tail(y))
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length(y)
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})
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$`180`
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[1] 105
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$`240`
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[1] 105
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$`360`
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[1] 133
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$`480`
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[1] 125
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$`600`
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index t_series model sub_model data_min fc_min part date mk.price fc.price
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1: 2016-01-04 00:02:00 ts ets MNN 600 1 1 2016-01-04 120.2200 120.2104
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2: 2016-01-04 00:03:00 ts ets MNN 600 1 2 2016-01-04 120.2200 120.2200
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3: 2016-01-04 00:04:00 ts ets MNN 600 1 3 2016-01-04 120.2185 120.2200
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4: 2016-01-04 00:05:00 ts ets MNN 600 1 4 2016-01-04 120.2195 120.2185
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5: 2016-01-04 00:06:00 ts ets MNN 600 1 5 2016-01-04 120.2250 120.2195
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---
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44634: 2016-02-15 23:56:00 ts ets MNN 600 1 1436 2016-02-15 114.6015 114.5930
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44635: 2016-02-15 23:57:00 ts ets MNN 600 1 1437 2016-02-15 114.5940 114.6015
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44636: 2016-02-15 23:58:00 ts ets MNN 600 1 1438 2016-02-15 114.6050 114.5940
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44637: 2016-02-15 23:59:00 ts ets MNN 600 1 1439 2016-02-15 114.5950 114.6050
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44638: 2016-02-16 00:00:00 ts ets MNN 600 1 1440 2016-02-16 114.5960 114.5950
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[1] 13063
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$`720`
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index t_series model sub_model data_min fc_min part date mk.price fc.price
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1: 2016-01-04 00:02:00 ts ets MNN 720 1 1 2016-01-04 120.2200 120.2104
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2: 2016-01-04 00:03:00 ts ets MNN 720 1 2 2016-01-04 120.2200 120.2200
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3: 2016-01-04 00:04:00 ts ets MNN 720 1 3 2016-01-04 120.2185 120.2200
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4: 2016-01-04 00:05:00 ts ets MNN 720 1 4 2016-01-04 120.2195 120.2185
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5: 2016-01-04 00:06:00 ts ets MNN 720 1 5 2016-01-04 120.2250 120.2195
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---
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68128: 2016-04-04 21:49:00 ts ets MNN 720 1 1309 2016-04-04 111.2390 111.2450
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68129: 2016-04-04 21:50:00 ts ets MNN 720 1 1310 2016-04-04 111.2455 111.2390
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68130: 2016-04-04 21:51:00 ts ets MNN 720 1 1311 2016-04-04 111.2510 111.2455
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68131: 2016-04-04 21:52:00 ts ets MNN 720 1 1312 2016-04-04 111.2435 111.2510
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68132: 2016-04-04 21:53:00 ts ets MNN 720 1 1313 2016-04-04 111.2505 111.2435
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[1] 26876
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$`840`
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index t_series model sub_model data_min fc_min part date mk.price fc.price
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1: 2016-01-04 00:02:00 ts ets MNN 840 1 1 2016-01-04 120.2200 120.2104
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2: 2016-01-04 00:03:00 ts ets MNN 840 1 2 2016-01-04 120.2200 120.2200
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3: 2016-01-04 00:04:00 ts ets MNN 840 1 3 2016-01-04 120.2185 120.2200
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4: 2016-01-04 00:05:00 ts ets MNN 840 1 4 2016-01-04 120.2195 120.2185
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5: 2016-01-04 00:06:00 ts ets MNN 840 1 5 2016-01-04 120.2250 120.2195
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---
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45802: 2016-02-15 19:25:00 ts ets MNN 840 1 1164 2016-02-15 114.6500 114.6445
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45803: 2016-02-15 19:26:00 ts ets MNN 840 1 1165 2016-02-15 114.6515 114.6500
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45804: 2016-02-15 19:27:00 ts ets MNN 840 1 1166 2016-02-15 114.6575 114.6515
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45805: 2016-02-15 19:28:00 ts ets MNN 840 1 1167 2016-02-15 114.6675 114.6575
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45806: 2016-02-15 19:29:00 ts ets MNN 840 1 1168 2016-02-15 114.6675 114.6675
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[1] 53639
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$`960`
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index t_series model sub_model data_min fc_min part date mk.price fc.price
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1: 2016-01-04 00:02:00 ts ets MNN 960 1 1 2016-01-04 120.2200 120.2104
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2: 2016-01-04 00:03:00 ts ets MNN 960 1 2 2016-01-04 120.2200 120.2200
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3: 2016-01-04 00:04:00 ts ets MNN 960 1 3 2016-01-04 120.2185 120.2200
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4: 2016-01-04 00:05:00 ts ets MNN 960 1 4 2016-01-04 120.2195 120.2185
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5: 2016-01-04 00:06:00 ts ets MNN 960 1 5 2016-01-04 120.2250 120.2195
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---
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44634: 2016-02-15 23:57:00 ts ets MNN 960 1 1436 2016-02-15 114.5940 114.6015
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44635: 2016-02-15 23:58:00 ts ets MNN 960 1 1437 2016-02-15 114.6050 114.5940
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44636: 2016-02-15 23:59:00 ts ets MNN 960 1 1438 2016-02-15 114.5950 114.6050
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44637: 2016-02-15 23:59:00 ts ets MNN 960 1 1439 2016-02-15 114.5950 114.6050
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44638: 2016-02-16 00:01:00 ts ets MNN 960 1 1440 2016-02-16 114.6040 114.5960
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ldply(split(mds_ets_MNN_intraday2_1min_1y, mds_ets_MNN_intraday2_1min_1y$data_min), function(x) { unique(as.data.table(x), by = c('index')) }) %>% as.data.table
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[1] 51930
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refill <- llply(split(mds_ets_MNN_intraday3_1min_1y, mds_ets_MNN_intraday3_1min_1y$data_min), function(x) {
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x <- as.data.table(x)
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y <- smmp$index[!unique(smmp$index) %in% unique(x$index)]
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y
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})
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dte <- refill %>% llply(., function(x) unique(as_date(x)))
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#ts_ets_MNN_960_1.p_124.2016-12-28
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#ts_ets_MNN_840_1.p_473.2016-12-20
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#ts_ets_MNN_720_1.p_716.2016-15-05
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#ts_ets_MNN_600_1.p_791.2016-11-29
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#########################################################################
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# --------- eval=FALSE ---------
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source('function/intra_min.R')
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smmp <- dsmp[374401:748800]
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timeID <- unique(smmp$date)
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bse <- smmp[year == 2016]$date[1] #"2016-01-04" #1st trading date in 2nd year
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timeID %<>% .[. >= bse]
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#timeID %<>% .[. >= as_date('2016-12-12')]
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#timeID %<>% .[. <= as_date('2016-01-31')]
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timeID <- dte$`600`
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data_len <- 600
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hrz1 <- 1
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intr <- data_len/hrz1
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llply(ets.m, function(md) {
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intra_min(timeID = timeID, smmp, fl_pth = 'C:/Users/User/Desktop/intraday_refill',
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data_len = data_len, hrz1 = hrz1,
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.model = md, vb = FALSE)
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})
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#########################################################################
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# --------- eval=FALSE ---------
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source('function/intra_min.R')
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smmp <- dsmp[374401:748800]
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timeID <- unique(smmp$date)
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bse <- smmp[year == 2016]$date[1] #"2016-01-04" #1st trading date in 2nd year
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timeID %<>% .[. >= bse]
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#timeID %<>% .[. >= as_date('2016-12-12')]
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#timeID %<>% .[. <= as_date('2016-01-31')]
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timeID <- dte$`720`
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data_len <- 720
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hrz1 <- 1
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intr <- data_len/hrz1
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llply(ets.m, function(md) {
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intra_min(timeID = timeID, smmp, fl_pth = 'C:/Users/User/Desktop/intraday_refill',
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data_len = data_len, hrz1 = hrz1,
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.model = md, vb = FALSE)
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})
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#########################################################################
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# --------- eval=FALSE ---------
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source('function/intra_min.R')
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smmp <- dsmp[374401:748800]
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timeID <- unique(smmp$date)
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bse <- smmp[year == 2016]$date[1] #"2016-01-04" #1st trading date in 2nd year
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timeID %<>% .[. >= bse]
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#timeID %<>% .[. >= as_date('2016-12-12')]
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#timeID %<>% .[. <= as_date('2016-01-31')]
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timeID <- dte$`840`
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data_len <- 840
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hrz1 <- 1
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intr <- data_len/hrz1
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llply(ets.m, function(md) {
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intra_min(timeID = timeID, smmp, fl_pth = 'C:/Users/User/Desktop/intraday_refill',
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data_len = data_len, hrz1 = hrz1,
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.model = md, vb = FALSE)
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})
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#########################################################################
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# --------- eval=FALSE ---------
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source('function/intra_min.R')
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smmp <- dsmp[374401:748800]
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timeID <- unique(smmp$date)
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bse <- smmp[year == 2016]$date[1] #"2016-01-04" #1st trading date in 2nd year
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timeID %<>% .[. >= bse]
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#timeID %<>% .[. >= as_date('2016-12-12')]
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#timeID %<>% .[. <= as_date('2016-01-31')]
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timeID <- dte$`960`
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data_len <- 960
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hrz1 <- 1
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intr <- data_len/hrz1
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llply(ets.m, function(md) {
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intra_min(timeID = timeID, smmp, fl_pth = 'C:/Users/User/Desktop/intraday_refill',
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data_len = data_len, hrz1 = hrz1,
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.model = md, vb = FALSE)
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})
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‎rsconnect/documents/binary-Q1Inter-HFT-RV2.Rmd/beta.rstudioconnect.com/englianhu/binary-q1inter-hft-rv2.dcf

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when: 1618839369.33503
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‎rsconnect/documents/binary-Q1Inter-HFT-RV2.Rmd/rpubs.com/rpubs/Publish Document.dcf

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