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ssh352/VPIN

Forked from ProbablePattern/VPIN
Created August 20, 2019 07:56
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  1. Stephen created this gist May 15, 2014.
    44 changes: 44 additions & 0 deletions VPIN
    View file
    Original file line number Diff line number Diff line change
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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)
    ###############################################################################