我正在尝试测试日内交易到临时VWAP的恢复。我已经编译了一个(希望)可复制的示例，以显示我所做的事情。目前，我使用rollapply，但是这会基于观察将VWAP计算应用于滚动窗口。理想情况下，我想使用滚动时间窗口，例如10分钟。
我的示例(基于刻度数据):
library(quantmod)
library(xts)
#Create xts object from tick data frame
my.xts <- xts(my.frame[,-1], order.by=my.frame[,1])
my.xts <- my.xts["T10:00/T10:30"]
> my.xts
PRICE QUANTITY
2011-08-31 10:00:14 28724 538
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2011-08-31 10:02:02 28700 3379
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2011-08-31 10:03:26 28709 1000
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2011-08-31 10:07:47 28676 1167
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2011-08-31 10:27:42 28699 1000
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2011-08-31 10:28:15 28698 500
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2011-08-31 10:30:34 28700 1000
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#####################################
# Create VWAP data #
#####################################
func.vwap <- function(my.data)
{
vwap <- sum(my.data[,1]*my.data[,2])/sum(my.data[,2])
}
my.DayVWAP <- func.vwap(my.xts)
my.test <- rollapply(my.xts,20,func.vwap, by.column=FALSE)
根据James的建议添加了
by.column = FALSE来修复rollapply中的错误。如果我没有提供足够的信息，请告诉我。
提前致谢
埃德
最佳答案
将参数by.column=FALSE添加到您的rollapply语句中:
my.test <- rollapply(my.xts,20,func.vwap,by.column=FALSE)