私はトレード ティック データベースを使用して、市場のミクロ構造を調査しています。以下のコード例は、特定の取引日のものです。
xts オブジェクトのインデックスの日を特定し、それを使用して以下のコードを 1 日ごとにループするには、どのようなアプローチが推奨されますか?
my.xts <- xts(my.frame1[,-1], order.by=my.frame1[,1])
my.val <- my.xts[,1]*my.xts[,2]
my.cumvol <- cumsum(my.xts[,2])
my.cumval <- cumsum(my.val[,1])
my.vwap <- my.cumval/my.cumvol
my.ratio <- (my.xts[,1]/my.vwap - 1)*10000
op <- par(mfrow=c(1,2))
plot(my.ratio)
plot(my.xts[,1])
lines(my.vwap)
par(op)
my.xts の例:
PRICE QUANTITY
2013-06-05 10:00:08 2772 1250
2013-06-05 10:00:08 2772 1204
2013-06-05 10:00:11 2772 1773
2013-06-05 10:00:11 2772 62
2013-06-05 10:00:11 2773 1250
2013-06-05 10:00:11 2773 1250
2013-06-05 10:00:14 2773 1250
2013-06-05 10:00:14 2773 1250
2013-06-05 10:00:14 2772 1217
2013-06-05 10:00:33 2773 1811
2013-06-05 10:00:33 2773 1250
2013-06-05 10:00:42 2773 1610
2013-06-05 10:00:42 2773 1420
2013-06-05 10:00:42 2773 190
2013-06-05 10:01:17 2773 1357
2013-06-05 10:01:17 2773 1800
2013-06-05 10:01:17 2773 1495
2013-06-05 10:01:17 2773 283
2013-06-05 10:02:07 2775 246
2013-06-05 10:02:07 2775 171
2013-06-05 10:02:07 2775 1233
2013-06-05 10:02:14 2775 1500
2013-06-05 10:02:33 2773 700
2013-06-05 10:02:40 2773 3034
2013-06-05 10:02:40 2773 750
2013-06-05 10:02:40 2773 1498
2013-06-05 10:02:58 2773 515
2013-06-05 10:02:58 2773 11985
2013-06-05 10:03:02 2773 1665
2013-06-05 10:03:03 2772 1360
2013-06-05 10:03:03 2771 1140
2013-06-05 10:03:08 2775 3325
2013-06-05 10:03:34 2772 1500
2013-06-05 10:03:34 2772 1360
2013-06-05 10:03:34 2772 1220
2013-06-05 10:03:34 2772 3323
2013-06-05 10:03:42 2772 327
2013-06-05 10:04:13 2775 3339
2013-06-05 10:04:39 2773 7730
2013-06-05 10:04:48 2775 1554
2013-06-05 10:05:15 2774 3561
2013-06-05 10:05:15 2774 1439
2013-06-05 10:05:16 2773 577
2013-06-05 10:05:16 2773 2225
2013-06-05 10:05:16 2773 1083
2013-06-05 10:05:16 2773 1900
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2013-06-05 10:05:16 2773 102
2013-06-05 10:05:16 2773 1338
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2013-06-05 10:05:16 2773 2270
2013-06-05 10:05:26 2773 2775
2013-06-05 10:05:36 2772 9000
2013-06-05 10:05:36 2772 1000
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2013-06-05 10:05:44 2773 464
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2013-06-05 10:05:44 2773 1925
2013-06-05 10:05:44 2773 2438
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2013-06-05 10:05:44 2773 2185
2013-06-05 10:05:44 2773 1639
2013-06-05 10:05:44 2773 2330
2013-06-05 10:05:44 2773 2113
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2013-06-05 10:05:45 2773 2320
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2013-06-05 10:05:45 2773 1665
2013-06-05 10:05:45 2773 609
2013-06-05 10:05:45 2773 2226
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2013-06-05 10:05:45 2773 405
2013-06-05 10:05:45 2773 1022
2013-06-05 10:05:45 2773 174
2013-06-05 10:05:45 2773 1608
2013-06-05 10:05:45 2773 228
2013-06-05 10:05:45 2773 2020
2013-06-05 10:05:45 2773 1885
2013-06-05 10:05:45 2773 1524
2013-06-05 10:05:45 2773 2262
2013-06-05 10:05:45 2773 1618
2013-06-05 10:05:45 2773 2060
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2013-06-05 10:05:46 2773 1309
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2013-06-05 10:05:46 2773 2393
2013-06-05 10:05:46 2773 1977
2013-06-05 10:05:46 2773 1897
2013-06-05 10:05:46 2773 204
2013-06-05 10:05:46 2773 890
2013-06-05 10:05:46 2773 1738
2013-06-05 10:05:46 2773 1998
2013-06-05 10:05:46 2773 1684
2013-06-05 10:05:46 2773 1069
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2013-06-05 10:05:47 2773 1300
2013-06-05 10:05:47 2773 1300
2013-06-05 10:05:47 2773 1605
2013-06-05 10:05:47 2773 937
2013-06-05 10:05:47 2775 2802
2013-06-05 10:05:47 2773 2063
2013-06-05 10:05:47 2773 2095
2013-06-05 10:05:47 2773 283
2013-06-05 10:05:47 2773 366
2013-06-05 10:05:47 2773 1940
2013-06-05 10:05:52 2775 2011
2013-06-05 10:05:52 2775 1135
2013-06-05 10:06:01 2775 3184
2013-06-05 10:06:02 2775 3184
2013-06-05 10:06:02 2775 1911
2013-06-05 10:06:02 2775 3184
2013-06-05 10:06:02 2775 3184
2013-06-05 10:06:05 2779 703
2013-06-05 10:06:05 2779 1109
2013-06-05 10:06:05 2779 2802
2013-06-05 10:06:05 2779 1212
2013-06-05 10:06:05 2778 740
2013-06-05 10:06:05 2777 1346
2013-06-05 10:06:05 2778 260
2013-06-05 10:06:06 2779 1591
2013-06-05 10:06:06 2780 51
2013-06-05 10:06:07 2779 3006
2013-06-05 10:06:18 2779 3188
2013-06-05 10:06:18 2779 3188
2013-06-05 10:06:18 2779 564
2013-06-05 10:06:18 2779 2624
2013-06-05 10:06:19 2779 2207
2013-06-05 10:06:21 2776 1136
2013-06-05 10:06:21 2776 1300
2013-06-05 10:06:21 2776 1300
2013-06-05 10:06:21 2776 1800
2013-06-05 10:06:21 2776 16
2013-06-05 10:06:30 2780 3051
2013-06-05 10:06:30 2780 3179
2013-06-05 10:06:30 2779 229
2013-06-05 10:06:30 2780 2950
2013-06-05 10:06:41 2780 3171
2013-06-05 10:06:41 2780 2598
2013-06-05 10:06:41 2780 573
2013-06-05 10:06:41 2780 859
2013-06-05 10:06:49 2780 4768
2013-06-05 10:06:49 2780 2338
2013-06-05 10:06:49 2780 2856
2013-06-05 10:06:49 2780 38
2013-06-05 10:06:52 2782 292
2013-06-05 10:06:52 2781 2932
2013-06-05 10:07:34 2782 209
2013-06-05 10:07:34 2782 3255
2013-06-05 10:07:42 2780 1435
2013-06-05 10:07:42 2780 1285
2013-06-05 10:07:42 2780 400
2013-06-05 10:07:42 2780 637
2013-06-05 10:07:42 2780 1547
2013-06-05 10:07:42 2780 263
2013-06-05 10:07:42 2780 5200
2013-06-05 10:07:42 2780 5200
2013-06-05 10:07:42 2782 4475
2013-06-05 10:07:42 2780 2663
2013-06-05 10:07:42 2780 438
2013-06-05 10:07:42 2780 5200
2013-06-05 10:07:42 2781 1900
2013-06-05 10:07:42 2780 510
2013-06-05 10:07:42 2780 910
2013-06-05 10:07:42 2782 2646
2013-06-05 10:07:42 2780 1445
2013-06-05 10:07:42 2780 4290
2013-06-05 10:07:42 2780 3477
2013-06-05 10:07:42 2780 4800
2013-06-05 10:07:43 2780 3200
2013-06-05 10:07:43 2780 3877
2013-06-05 10:07:43 2780 1323
2013-06-05 10:07:54 2782 2373
2013-06-05 10:07:59 2782 3249
2013-06-05 10:08:03 2780 2077
2013-06-05 10:08:03 2780 10000
2013-06-05 10:08:03 2780 1903
2013-06-05 10:08:03 2780 1226
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2013-06-05 10:08:03 2780 7359
2013-06-05 10:08:03 2780 2923
2013-06-05 10:08:03 2780 10000
2013-06-05 10:08:03 2780 564
2013-06-05 10:08:04 2780 1488
2013-06-05 10:08:11 2780 200
2013-06-05 10:08:11 2780 223
2013-06-05 10:08:11 2780 4713
2013-06-05 10:08:13 2778 1453
2013-06-05 10:08:13 2780 1500
2013-06-05 10:08:13 2780 1594
2013-06-05 10:08:13 2780 8837
2013-06-05 10:08:13 2780 1599
2013-06-05 10:08:13 2780 3186
2013-06-05 10:08:13 2780 10000
2013-06-05 10:08:13 2780 10000
2013-06-05 10:08:13 2780 2763
2013-06-05 10:08:13 2780 1163
2013-06-05 10:08:13 2780 1900
2013-06-05 10:08:14 2782 2924
2013-06-05 10:08:23 2782 3183
2013-06-05 10:08:24 2782 1572
2013-06-05 10:08:24 2780 1211
2013-06-05 10:08:24 2782 1372
2013-06-05 10:08:24 2782 239
2013-06-05 10:08:24 2782 2581
2013-06-05 10:08:24 2782 3183
2013-06-05 10:08:25 2780 5596
2013-06-05 10:08:25 2780 1845
2013-06-05 10:08:25 2780 1307
2013-06-05 10:08:25 2780 1500
2013-06-05 10:08:25 2780 6604
2013-06-05 10:08:25 2780 10000
2013-06-05 10:08:25 2780 1300
2013-06-05 10:08:37 2782 597
2013-06-05 10:08:37 2782 3180
2013-06-05 10:08:39 2780 2028
2013-06-05 10:08:39 2780 3005
2013-06-05 10:08:39 2780 251
2013-06-05 10:08:39 2780 1430
2013-06-05 10:08:39 2780 244
2013-06-05 10:08:39 2780 673
2013-06-05 10:08:39 2781 1300
2013-06-05 10:08:39 2780 1500
2013-06-05 10:08:39 2780 10000
2013-06-05 10:08:39 2780 947
2013-06-05 10:08:39 2781 1500
2013-06-05 10:08:39 2780 10000
2013-06-05 10:08:42 2782 886
2013-06-05 10:08:46 2782 717
2013-06-05 10:08:46 2784 283
2013-06-05 10:08:50 2780 1889
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2013-06-05 10:08:50 2780 1650
2013-06-05 10:08:50 2780 1300
2013-06-05 10:08:50 2780 1549
2013-06-05 10:08:50 2780 1758
2013-06-05 10:08:50 2780 2274
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2013-06-05 10:08:50 2780 1500
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2013-06-05 10:08:51 2780 2386
2013-06-05 10:08:51 2780 2337
2013-06-05 10:08:51 2780 2042
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2013-06-05 10:08:51 2780 1569
2013-06-05 10:08:51 2780 2008
2013-06-05 10:08:51 2780 777
2013-06-05 10:08:51 2780 1792
2013-06-05 10:08:51 2780 1815
2013-06-05 10:08:51 2780 933
2013-06-05 10:08:51 2780 1684
2013-06-05 10:08:51 2780 2255
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2013-06-05 10:08:56 2784 1000
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2013-06-05 10:08:57 2783 3173
2013-06-05 10:08:57 2783 3173
2013-06-05 10:08:57 2783 3173
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2013-06-05 10:09:09 2780 2412
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2013-06-05 10:09:09 2780 3186
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2013-06-05 10:09:10 2780 1523
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2013-06-05 10:09:19 2783 3174
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2013-06-05 10:09:21 2780 2238
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2013-06-05 10:09:22 2780 1620
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2013-06-05 10:09:22 2780 2018
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2013-06-05 10:09:22 2780 2142
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2013-06-05 10:09:22 2780 1515
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2013-06-05 10:09:35 2783 1010
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2013-06-05 10:09:49 2783 3117
2013-06-05 10:09:49 2783 1926
2013-06-05 10:09:49 2783 74
2013-06-05 10:10:01 2783 1512
2013-06-05 10:10:01 2783 2687
2013-06-05 10:10:16 2783 3145
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2013-06-06 10:00:40 2733 353
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2013-06-06 10:03:22 2735 200
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2013-06-06 10:05:08 2740 5000
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2013-06-06 10:05:08 2740 3056
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