quantitative-finance

问题 This question is related to : Python pandas, how to only plot a DataFrame that actually have the datapoint and leave the gap out I'd like to know the easiest way to produce non-consecutive DateTimeIndex at intra-day resolution, that only maintains samples between certain [stock exchange] times e.g. 08:00-16:30, and has only given weekdays e.g. Mon-Fri. A bonus would be to be allow provision of a calendar of valid dates. At the day range, it's easy to do with pandas.bdate_range() for Mon-Fri.

问题 I wrote similar question before, but I need something different what I got from previous question. I have a html data which is written below (part of the data where I need). I already got rcpNo value, but eleId is changed from 1 to 33, offset, length don't have any regular pattern. Three of the data is consist of numbers, sometime different digit. I need to read rcpNO , eleId , offset , length and dtd . (dtd is fixed as 'dart3.xsd' but I try this only one html so there is possibility

问题 This question already has answers here : Closed 7 years ago . Possible Duplicate: Cannot install R-forge package using install.packages Has anyone gotten the latest version of TTR from R-forge working on R 2.13? I can't install it on either my mac or my PC, even if I try compiling from the source. /edit: here's the exact error I'm getting, when I try to install from the R command line. install.packages("TTR", repos="http://R-Forge.R-project.org") Warning message: In getDependencies(pkgs,

问题 I have Tweets from various times a day about companies, and I want to group them all by day. I have already done this. However, I want to sort them not from 00:00 until 23:59, but instead from 16:00 until 15:59 (because of the NYSE open hours). Tweets (Negative, Neutral and Positive is for the sentiment): Company,Datetime_UTC,Negative,Neutral,Positive,Volume AXP,2013-06-01 16:00:00+00:00,0,2,0,2 AXP,2013-06-01 17:00:00+00:00,0,2,0,2 AXP,2013-06-02 05:00:00+00:00,0,1,0,1 AXP,2013-06-02 16:00

问题 There are 3 RSI indicators, each having its own period. I want to tie all 3 to one Bollinger Band. Tell me how to do this better? for(i=limit; i>=0; i--) { ma=iMAOnArray(RSI,0,bb_period,0,0,i); // midle stdev=iStdDevOnArray(RSI,0,bb_period,0,0,i); // dev BBUP[i]=ma+bb_dev*stdev; // up BBDOWN[i]=ma-bb_dev*stdev; // down Buff4[i]=0; Buff5[i]=0; } if(limit<Bars-1) limit++; for(i=limit; i>0; i--) { if(PrevSignal >= 0) { if( RSI[i] < BBDOWN[i] && RSI[i+1] < BBUP[i+1] && RSI2[i] < BBDOWN[i] && RSI2

问题 This question already has answers here : How to convert data frame into time series? (5 answers) Closed 9 months ago . I have a time series data of the format Time Ask Bid Trade Ask_Size Bid_Size Trade_Size 2016-11-01 09:00:12 NA 901 NA NA 100 NA 2016-11-01 09:00:21 NA NA 950 NA NA 5 2016-11-01 09:00:21 NA 950 NA NA 5 NA 2016-11-01 09:00:21 905 NA NA 10 NA NA 2016-11-01 09:00:24 NA 921 NA NA 500 NA 2016-11-01 09:00:28 NA 879 NA NA 2 NA The structure of the dataframe is str(df) 'data.frame':

问题 I am currently trying to write my first loop for lagged regressions on 30 variables. Variables are labeled as rx1, rx2.... rx3, and the data frame is called my_num_data. I have created a loop that looks like this: z <- zoo(my_num_data) for (i in 1:30) {dyn$lm(my_num_data$rx[i] ~ lag(my_num_data$rx[i], 1) + lag(my_num_data$rx[i], 2)) } But I received an error message: Error in model.frame.default(formula = dyn(my_num_data$rx[i] ~ lag(my_num_data$rx[i], : invalid type (NULL) for variable 'my

问题 I have a data set containing bid and ask quotes for 3 days and a stock. Following is the portion of the dataset. I have also given a link to the sample data set to illustrate the pecularity of the matter. > dput(head(q,30)) structure(list(Date = structure(c(1471424400, 1471424400, 1471424400, 1471424401, 1471424401, 1471424406, 1471424407, 1471424415, 1471424417, 1471424514, 1471424527, 1471424567, 1471424576, 1471424606, 1471424607, 1471424621, 1471424621, 1471424621, 1471424641, 1471424642,

问题 I have a pandas dataframe with~3900 rows and 6 columns compiled from Google Finance . One of these columns defines a time in unix format, specifically defining a time during the trading day for a market. In this case the DJIA from 930A EST to 4P EST. However, only the cell for the beginning of each day (930A) has the complete unix time stamp (prefixed with an 'a') and the others are the minutes after the first time of the day. Here is an example of the raw data: Date Close High Low Open

问题 Does anyone know if and how you can get the trade volume from the One Click Trade panel on the current chart? I'm putting together some quick trade scripts and would be great to pull the current trade volume or lot size from the one click panel. Thanks in advance 回答1: IMHO no The recent 24 months of Metatrader 4 ( re-inventing ) product updates have brought a few teasing elements ( One-Click-Trading[TM] ( OCT ), or Depth-Of-Market ( DOM ), New-MQL4 ( nMQL4 ) ). The bad news, nevertheless, is