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OldOrderbookPrepareDataDT.R
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OldOrderbookPrepareDataDT.R
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###############################################################################
################## SEPARATE TICK AND BID_ASK SMARTCOM LOG READER###############
library(data.table)
options(digits.secs=3)
fname<-"f:/TRADE/Data/research/SI/"
setwd(fname)
fileList<-dir()
fileList[grepl("Ticks",fileList)]
fileList[grepl("BidAsk",fileList)]
tickDT<-rbindlist(lapply(fileList[grepl("Ticks",fileList)],
FUN=fread,
sep=",",
header=FALSE,
stringsAsFactors=FALSE))
bidaskDT<-rbindlist(lapply(fileList[grepl("BidAsk",fileList)],
FUN=fread,
sep=",",
header=FALSE,
stringsAsFactors=FALSE))
bidaskHeader<-c("datetime",
"Symbol",
"brokerDateTime",
"Row",
"NRows",
"Bid",
"BidSize",
"Ask",
"AskSize")
tickHeader<-c("datetime",
"Symbol",
"brokerDateTime",
"price",
"volume",
"buysell")
setnames(tickDT,tickHeader)
setnames(bidaskDT,bidaskHeader)
dtFormat<-"%d-%m-%Y %H:%M:%OS"
tickDT[,"datetime":=as.POSIXct(strptime(datetime,dtFormat))]
bidaskDT[,"datetime":=as.POSIXct(strptime(datetime,dtFormat))]
dtFormat<-"%m/%d/%Y %H:%M:%OS"
tickDT[,"brokerDateTime":=as.POSIXct(strptime(brokerDateTime,dtFormat))]
bidaskDT[,"brokerDateTime":=as.POSIXct(strptime(brokerDateTime,dtFormat))]
#bidaskDT<-bidaskDT[Row==0,]
bidaskHeader<-c("datetime",
paste("bidprice", 0:max(bidaskDT$Row), sep=""),
paste("bidvolume", 0:max(bidaskDT$Row), sep=""),
paste("askprice", 0:max(bidaskDT$Row), sep=""),
paste("askvolume", 0:max(bidaskDT$Row), sep=""))
bidaskDT<-dcast.data.table(bidaskDT,datetime~Row, fun= min,value.var=c("Bid","BidSize","Ask", "AskSize"))
setnames(bidaskDT,bidaskHeader)
setkey(tickDT, datetime)
setkey(bidaskDT, datetime)
tbaDT<-bidaskDT[tickDT,roll=T]
for (j in 1:ncol(tbaDT)) set(tbaDT, which(is.infinite(tbaDT[[j]])), j, NA)
tbaDT<-tbaDT[complete.cases(tbaDT),]
for (j in 1:ncol(tickDT)) set(tickDT, which(is.infinite(tickDT[[j]])), j, NA)
tickDT<-tickDT[complete.cases(tickDT),]
for (j in 1:ncol(bidaskDT)) set(bidaskDT, which(is.infinite(bidaskDT[[j]])), j, NA)
bidaskDT<-bidaskDT[complete.cases(bidaskDT),]
df<-tbaDT[,.SD,.SDcols=c(tickHeader, bidaskHeader[-1])]
save(df,bidaskDT, tickDT, file=paste(tbaDT$Symbol[1], as.Date(tbaDT$datetime[1]),".RData", sep=""))
#rm(tbaDT, bidaskDT, tickDT)
library(ggplot2)
ggplot(data=df[datetime>=as.POSIXct("2015-12-21 10:15:05") & datetime<=as.POSIXct("2015-12-21 10:20:05")])+
geom_point(aes(datetime,price), colour="darkgrey")+
geom_point(aes(datetime,askprice0), colour="lightcoral", alpha=I(0.5))+
geom_point(aes(datetime,bidprice0), colour="mediumaquamarine",alpha=I(0.5))
###################################################################################
###################### PLAZA DATA FROM zxweed (combined tick + bid/ask) #####################################
library(data.table)
options(digits.secs=3)
setwd("~/repos/Data/research/RI/")
fileList<-dir()
makeData<-function(fname) {
#<-"SBRF-3.16_04.01.2016.csv"
tbaDT<-fread(fname,sep=";",stringsAsFactors=FALSE)
colnames(tbaDT)<-tolower(colnames(tbaDT))
dtFormat<-"%d.%m.%Y %H:%M:%OS"
tbaDT[,"datetime":=as.POSIXct(strptime(datetime,dtFormat))]
setnames(tbaDT,"sign", "buysell")
df<-tbaDT
save(df, file=paste("RTS-3.16", as.Date(tbaDT$datetime[1]),".RData", sep=""))
}
lapply(fileList, FUN=makeData)
###################################################################################
###################### PLAZA DATA FROM zxweed (separate tick and bid/ask) #####################################
library(data.table)
options(digits.secs=3)
setwd("~/repos/Data/research/SBRF/")
symb<-"SBRF-3.16"
fileList<-dir()
fileList<-fileList[grepl("snap",fileList)]
fileList<-gsub(".snap","",fileList)
makeData<-function(fname,symb){
obDT<-fread(paste(fname,".snap",sep=""), sep=";", stringsAsFactors = FALSE)
setnames(obDT,c("datetime","bidprice0","askprice0","bidvolume0","bidvolume1","bidvolume2","askvolume0","askvolume1","askvolume2"))
dtFormat<-"%d.%m.%y %H:%M:%OS"
obDT[,datetime:=as.POSIXct(strptime(datetime,dtFormat))]
tickDT<-fread(paste(fname,".tick",sep=""), sep="auto", stringsAsFactors = FALSE, header=FALSE)
tickDT<-tickDT[,.(V2,V4,V5)]
setnames(tickDT,c("datetime", "price", "volume"))
tickDT[,price:=gsub("Price=","",price)]
tickDT[,price:=as.numeric(gsub(" ","",price))]
tickDT[,volume:=gsub("Volume=","",volume)]
tickDT[,volume:=as.numeric(gsub(" ","",volume))]
tickDT[,buysell:=ifelse(volume>0,"buy", "sell")]
tickDT[,volume:=abs(volume)]
dtFormat<-"%d.%m.%Y %H:%M:%OS"
tickDT[,datetime:=as.POSIXct(strptime(datetime,dtFormat))]
save(tickDT,obDT, file=paste(symb, as.Date(tickDT$datetime[1]),".RData", sep=""))
}
lapply(fileList, FUN=function(x) makeData(x,symb))
###################### PLAZA DATA FROM FULL ORDERLOG (MY CLASSES) #####################################
library(data.table)
options(digits.secs=3)
setwd("~/repos/Data/research/BR/")
symb<-"BR-3.16"
fileList<-dir()
makeBidAskData<-function(fname)
{
print(paste(Sys.time(),"Start procesing bid/ask data from",fname))
obDT<-fread(fname, sep=",", stringsAsFactors = FALSE)
obDT[,`:=`(V2,NULL),]
obDT[,`:=`(V9,NULL),]
setnames(obDT,c("datetime","bidprice0","bidvolume0",
"bidprice1","bidvolume1",
"bidprice2","bidvolume2",
"askprice0","askvolume0",
"askprice1","askvolume1",
"askprice2","askvolume2"))
dtFormat<-"%Y-%m-%d %H:%M:%OS"
obDT[,datetime:=as.POSIXct(strptime(datetime,dtFormat))]
# Filter
#' if best bid and best ask were not changed.
#' if price=0
obDT<-obDT[askprice0>0 &bidprice0>0 & askprice1>0 & bidprice1>0 & askprice2>0 & bidprice2>0]
obDT<-obDT[askprice0>bidprice0]
print(paste(Sys.time(),"Found",obDT[,.N]," bidasks within ",obDT[1,datetime],"-",obDT[.N,datetime]))
#obDT<-obDT[shift(askprice0)!=askprice0 | shift(bidprice0)!=bidprice0]
obDT<-obDT[askprice0>bidprice0]
}
makeTickData<-function(fname)
{
print(paste(Sys.time(),"Start procesing tick data from",fname))
tickDT<-fread(fname, sep=",", stringsAsFactors = FALSE)
dtFormat<-"%Y-%m-%d %H:%M:%OS"
if(ncol(tickDT)==4)
setnames(tickDT,c("datetime", "price", "volume","buysell"))
if(ncol(tickDT)==5)
setnames(tickDT,c("datetime", "price", "volume","buysell","dealid"))
tickDT[,buysell:=ifelse(buysell==TRUE,"buy","sell")]
print(paste(Sys.time(),"Found",tickDT[,.N]," ticks within ",tickDT[1,datetime],"-",tickDT[.N,datetime]))
tickDT[,datetime:=as.POSIXct(strptime(datetime,dtFormat))]
}
obDT<-rbindlist(lapply(grep("bid",fileList,value=T),FUN=makeBidAskData))
obDT<-obDT[datetime>=as.POSIXct(paste(as.Date(obDT$datetime[1])+1,"10:00:00.000"))]
setkey(obDT,datetime)
tickDT<-rbindlist(lapply(grep("tick",fileList,value=T),FUN=makeTickData))
tickDT<-tickDT[datetime>=as.POSIXct(paste(as.Date(tickDT$datetime[1])+1,"10:00:00.000"))]
setkey(tickDT,datetime)
save(tickDT,obDT, file=paste(symb, as.Date(tickDT$datetime[1]),".RData", sep=""))
print(paste(Sys.time(),"Total found",obDT[,.N]," bidasks within ",obDT[1,datetime],"-",obDT[.N,datetime]))
print(paste(Sys.time(),"Total found",tickDT[,.N]," ticks within ",tickDT[1,datetime],"-",tickDT[.N,datetime]))