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VPIN calculation using bulk-volume classification
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| #### VPIN calculation ######################################################### | |
| #install.packages('fasttime',repos='http://www.rforge.net/') | |
| require(data.table); require(fasttime); require(plyr) | |
| # Assuming TAQ data is arranged in 1 year stock csv files | |
| stock=fread('/TAQ_data.csv'); stock=stock[,1:3,with=FALSE] | |
| setnames(stock,colnames(stock),c('DateTime','Price','Volume')); | |
| stock[,DateTime:=paste(paste(substr(DateTime,1,4),substr(DateTime,5,6), | |
| substr(DateTime,7,8),sep='-'),substr(DateTime,10,17))] | |
| setkey(stock,DateTime); | |
| stock=as.xts(stock[,2:3,with=FALSE],unique=FALSE, | |
| order.by=fastPOSIXct(stock[,DateTime],tz='GMT')) | |
| # Now we have an xts data frame called 'stock' with a DateTime index and... | |
| # two columns: Price and Volume | |
| # Vbucket=Number of volume buckets in an average volume day (Vbucket=50) | |
| VPIN=function(stock,Vbucket) { | |
| stock$dP1=diff(stock[,'Price'],lag=1,diff=1,na.pad=TRUE) | |
| ends=endpoints(stock,'minutes') | |
| timeDF=period.apply(stock[,'dP1'],INDEX=ends,FUN=sum) | |
| timeDF$Volume=period.apply(stock[,'Volume'],INDEX=ends,FUN=sum) | |
| Vbar=mean(period.apply(timeDF[,'Volume'],INDEX=endpoints(timeDF,'days'), | |
| FUN=sum))/Vbucket | |
| timeDF$Vfrac=timeDF[,'Volume']/Vbar | |
| timeDF$CumVfrac=cumsum(timeDF[,'Vfrac']) | |
| timeDF$Next=(timeDF[,'CumVfrac']-floor(timeDF[,'CumVfrac']))/timeDF[,'Vfrac'] | |
| timeDF[timeDF[,'Next']<1,'Next']=0 | |
| timeDF$Previous=lag(timeDF[,'dP1'])*lag(timeDF[,'Next']) | |
| timeDF$dP2=(1-timeDF[,'Next'])*timeDF[,'dP1'] + timeDF[,'Previous'] | |
| timeDF$Vtick=floor(timeDF[,'CumVfrac']) | |
| timeDF[,'Vtick']=timeDF[,'Vtick']-diff(timeDF[,'Vtick']); timeDF[1,'Vtick']=0 | |
| timeDF=as.data.frame(timeDF); timeDF[,'DateTime']=row.names(timeDF) | |
| timeDF=ddply(as.data.frame(timeDF),.(Vtick),last) | |
| timeDF=as.xts(timeDF[,c('Volume','dP2','Vtick')], | |
| order.by=fastPOSIXct(timeDF$DateTime,tz='GMT')) | |
| timeDF[1,'dP2']=0 | |
| timeDF$sigma=rollapply(timeDF[,'dP2'],Vbucket,sd,fill=NA) | |
| timeDF$sigma=na.fill(timeDF$sigma,"extend") | |
| timeDF$Vbuy=Vbar*pnorm(timeDF[,'dP2']/timeDF[,'sigma']) | |
| timeDF$Vsell=Vbar-timeDF[,'Vbuy'] | |
| timeDF$OI=abs(timeDF[,'Vsell']-timeDF[,'Vbuy']) | |
| timeDF$VPIN=rollapply(timeDF[,'OI'],Vbucket,sum)/(Vbar*Vbucket) | |
| timeDF=timeDF[,c('VPIN')]; return(timeDF) | |
| } | |
| out=VPIN(stock,50) | |
| ############################################################################### |
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