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NAMESPACE
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NAMESPACE
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useDynLib(RTAQ, .registration = TRUE);
#export(anova.trls, anovalist.trls, correlogram, expcov, gaucov, Kaver,
# Kenvl, Kfn, plot.trls, ppgetregion, ppinit, pplik, ppregion,
# predict.trls, prmat, Psim, semat, sphercov, SSI, Strauss,
# surf.gls, surf.ls, trls.influence, trmat, variogram)
export(
#cleaning
harModel,
autoSelectExchangeQuotes,
autoSelectExchangeTrades,
exchangeHoursOnly,
mergeQuotesSameTimestamp,
mergeTradesSameTimestamp,
noZeroPrices,
noZeroQuotes,
quotesCleanup,
rmLargeSpread,
rmNegativeSpread,
rmOutliers,
rmTradeOutliers,
salesCondition,
selectExchange,
tradesCleanup,
tradesCleanupFinal,
#Topic data manipulation
aggregatePrice,
aggregateQuotes,
aggregateTrades,
aggregatets,
matchTradesQuotes,
TAQLoad,
refreshTime,
#Topic datasets
#sample_5minprices,
#sample_5minprices_jumps,
#sample_qdata,
#sample_qdataraw,
#sample_tdata,
#sample_tdataraw,
#Topic liquidity
getTradeDirection,
tqLiquidity,
#Topic volatility
MedRV,
MinRV,
RBPCov,
RCov,
ROWCov,
thresholdCov,
TSCov,
RTSCov,
makePsd,
#misc
convert,
makeReturns,
#to be adjusted :
#liquidity :
#es, rs, value_trade, signed_value_trade,
#di_diff, di_div, pes, prs, price_impact, prop_price_impact,
#tspread, pts, p_return_sqr, p_return_abs, qs, pqs,
#logqs, logsize, qslope, logqslope, mq_return_sqr, mq_return_abs,
#rest :
spotVol,
sumN, #previously included...
previoustick, #idem
medianN #idem
#waverage, #new
#maxvol #new
)
S3method(print, harModel);
S3method(summary, harModel);
S3method(plot, harModel);