- 유사한 데이터를 만들어 봅시다
- 특정시간 뽑아내기
- 필요한 틱커만 뽑아내기 (a,b,c)
- 티커로 스플릿 후 리스트 만들기
- 각 티커별 추가 변수 생성
- 특정 시간(e.g. 90초) 에 맞춰 OHLC-V 만들기
- 특정 시간(e.g. 60초)에 맞춰 Aggreagte 하기
- OHLCV랑 Agg 합치기
- 특정시각 (9시 1분 30초) 데이터만 뽑아내기
- 특정변수(e.g. CUMSIZE) 데이터만 뽑아내기
- 뽑아낸 변수 데이터 Time Varying 순위 매기기
- CO-MOVEMENT 질문: 첫 1분 동안 000 조건을 만족한 종목들은 지수와 유사하게 움직였을까?
Note: 키움 데이터 클리닝 예제입니다. 실제 데이터와 유사한 toy example로 간단하게 보여주고자 합니다. 전체코드는 Github에 올려져 있습니다.
유사한 데이터를 만들어 봅시다
## DT PRICE SIZE SYMBOL
## 1 2021-02-10 08:59:30 24.7 804 a
## 2 2021-02-10 08:59:30 25.1 1057 b
## 3 2021-02-10 08:59:30 24.6 1035 c
## 4 2021-02-10 08:59:30 25.8 1186 d
## 5 2021-02-10 08:59:30 25.2 500 e
## 6 2021-02-10 08:59:35 24.6 525 a
## 7 2021-02-10 08:59:35 25.2 302 b
## 8 2021-02-10 08:59:35 25.4 472 c
## 9 2021-02-10 08:59:35 25.3 248 d
## 10 2021-02-10 08:59:35 24.8 1259 e
## 11 2021-02-10 08:59:40 25.8 351 a
## 12 2021-02-10 08:59:40 25.2 863 b
## 13 2021-02-10 08:59:40 24.7 479 c
## 14 2021-02-10 08:59:40 23.9 1188 d
## 15 2021-02-10 08:59:40 25.6 269 e
## 16 2021-02-10 08:59:45 25.0 80 a
## 17 2021-02-10 08:59:45 25.0 123 b
## 18 2021-02-10 08:59:45 25.5 99 c
## 19 2021-02-10 08:59:45 25.4 835 d
## 20 2021-02-10 08:59:45 25.3 1858 e
## 21 2021-02-10 08:59:50 25.5 498 a
## 22 2021-02-10 08:59:50 25.4 1270 b
## 23 2021-02-10 08:59:50 25.0 937 c
## 24 2021-02-10 08:59:50 24.0 533 d
## 25 2021-02-10 08:59:50 25.3 1617 e
## [ reached 'max' / getOption("max.print") -- omitted 9975 rows ]특정시간 뽑아내기
- 예를들어, 장오픈 이후 1분
## PRICE SIZE
## 2021-02-10 09:00:00 25.7 178
## 2021-02-10 09:00:00 24.9 208
## 2021-02-10 09:00:00 25.2 803
## 2021-02-10 09:00:00 25.0 1595
## 2021-02-10 09:00:00 24.3 1600
## 2021-02-10 09:00:05 24.8 499
## 2021-02-10 09:00:05 24.8 368
## 2021-02-10 09:00:05 25.0 411
## 2021-02-10 09:00:05 25.6 927
## 2021-02-10 09:00:05 25.4 865
## 2021-02-10 09:00:10 24.9 722
## 2021-02-10 09:00:10 24.9 271
## 2021-02-10 09:00:10 25.3 314
## 2021-02-10 09:00:10 25.3 756
## 2021-02-10 09:00:10 24.7 189
## 2021-02-10 09:00:15 24.6 377
## 2021-02-10 09:00:15 25.2 408
## 2021-02-10 09:00:15 25.4 266
## 2021-02-10 09:00:15 24.9 86
## 2021-02-10 09:00:15 25.4 199
## 2021-02-10 09:00:20 25.2 561
## 2021-02-10 09:00:20 24.7 447
## 2021-02-10 09:00:20 25.2 268
## 2021-02-10 09:00:20 24.4 314
## 2021-02-10 09:00:20 25.7 611
## 2021-02-10 09:00:25 26.0 116
## 2021-02-10 09:00:25 24.8 804
## 2021-02-10 09:00:25 24.5 201
## 2021-02-10 09:00:25 25.3 339
## 2021-02-10 09:00:25 24.9 338
## 2021-02-10 09:00:30 26.2 709
## 2021-02-10 09:00:30 25.0 523
## 2021-02-10 09:00:30 25.3 354
## 2021-02-10 09:00:30 25.0 778
## 2021-02-10 09:00:30 24.6 797
## 2021-02-10 09:00:35 25.1 905
## 2021-02-10 09:00:35 24.1 961
## 2021-02-10 09:00:35 25.7 257
## 2021-02-10 09:00:35 25.1 411
## 2021-02-10 09:00:35 26.1 395
## 2021-02-10 09:00:40 25.2 1082
## 2021-02-10 09:00:40 24.6 52
## 2021-02-10 09:00:40 25.3 1255
## 2021-02-10 09:00:40 24.5 22
## 2021-02-10 09:00:40 24.4 1112
## 2021-02-10 09:00:45 25.1 358
## 2021-02-10 09:00:45 24.8 1933
## 2021-02-10 09:00:45 25.0 113
## 2021-02-10 09:00:45 25.0 832
## 2021-02-10 09:00:45 24.7 982
## [ reached getOption("max.print") -- omitted 15 rows ]필요한 틱커만 뽑아내기 (a,b,c)
- 실례로, 스팩과 우선주, ETN 티커는 빼고싶은 경우가 있습니다.
## DT PRICE SIZE SYMBOL
## 1 2021-02-10 08:59:30 24.7 804 a
## 2 2021-02-10 08:59:30 25.1 1057 b
## 3 2021-02-10 08:59:30 24.6 1035 c
## 4 2021-02-10 08:59:30 25.8 1186 d
## 5 2021-02-10 08:59:35 24.6 525 a
## 6 2021-02-10 08:59:35 25.2 302 b
## 7 2021-02-10 08:59:35 25.4 472 c
## 8 2021-02-10 08:59:35 25.3 248 d
## 9 2021-02-10 08:59:40 25.8 351 a
## 10 2021-02-10 08:59:40 25.2 863 b
## 11 2021-02-10 08:59:40 24.7 479 c
## 12 2021-02-10 08:59:40 23.9 1188 d
## 13 2021-02-10 08:59:45 25.0 80 a
## 14 2021-02-10 08:59:45 25.0 123 b
## 15 2021-02-10 08:59:45 25.5 99 c
## 16 2021-02-10 08:59:45 25.4 835 d
## 17 2021-02-10 08:59:50 25.5 498 a
## 18 2021-02-10 08:59:50 25.4 1270 b
## 19 2021-02-10 08:59:50 25.0 937 c
## 20 2021-02-10 08:59:50 24.0 533 d
## 21 2021-02-10 08:59:55 25.0 317 a
## 22 2021-02-10 08:59:55 24.9 420 b
## 23 2021-02-10 08:59:55 24.3 181 c
## 24 2021-02-10 08:59:55 24.8 802 d
## 25 2021-02-10 09:00:00 25.7 178 a
## [ reached 'max' / getOption("max.print") -- omitted 7975 rows ]티커로 스플릿 후 리스트 만들기
## $a
## DT PRICE SIZE SYMBOL
## 1 2021-02-10 08:59:30 24.7 804 a
## 5 2021-02-10 08:59:35 24.6 525 a
## 9 2021-02-10 08:59:40 25.8 351 a
## 13 2021-02-10 08:59:45 25.0 80 a
## 17 2021-02-10 08:59:50 25.5 498 a
## 21 2021-02-10 08:59:55 25.0 317 a
## 25 2021-02-10 09:00:00 25.7 178 a
## 29 2021-02-10 09:00:05 24.8 499 a
## 33 2021-02-10 09:00:10 24.9 722 a
## 37 2021-02-10 09:00:15 24.6 377 a
## 41 2021-02-10 09:00:20 25.2 561 a
## 45 2021-02-10 09:00:25 26.0 116 a
## 49 2021-02-10 09:00:30 26.2 709 a
## 53 2021-02-10 09:00:35 25.1 905 a
## 57 2021-02-10 09:00:40 25.2 1082 a
## 61 2021-02-10 09:00:45 25.1 358 a
## 65 2021-02-10 09:00:50 24.7 1041 a
## 69 2021-02-10 09:00:55 25.2 1044 a
## 73 2021-02-10 09:01:00 24.7 1036 a
## 77 2021-02-10 09:01:05 25.3 209 a
## 81 2021-02-10 09:01:10 24.7 505 a
## 85 2021-02-10 09:01:15 25.9 570 a
## 89 2021-02-10 09:01:20 24.7 1431 a
## 93 2021-02-10 09:01:25 24.8 739 a
## 97 2021-02-10 09:01:30 24.7 305 a
## [ reached 'max' / getOption("max.print") -- omitted 1975 rows ]
##
## $b
## DT PRICE SIZE SYMBOL
## 2 2021-02-10 08:59:30 25.1 1057 b
## 6 2021-02-10 08:59:35 25.2 302 b
## 10 2021-02-10 08:59:40 25.2 863 b
## 14 2021-02-10 08:59:45 25.0 123 b
## 18 2021-02-10 08:59:50 25.4 1270 b
## 22 2021-02-10 08:59:55 24.9 420 b
## 26 2021-02-10 09:00:00 24.9 208 b
## 30 2021-02-10 09:00:05 24.8 368 b
## 34 2021-02-10 09:00:10 24.9 271 b
## 38 2021-02-10 09:00:15 25.2 408 b
## 42 2021-02-10 09:00:20 24.7 447 b
## 46 2021-02-10 09:00:25 24.8 804 b
## 50 2021-02-10 09:00:30 25.0 523 b
## 54 2021-02-10 09:00:35 24.1 961 b
## 58 2021-02-10 09:00:40 24.6 52 b
## 62 2021-02-10 09:00:45 24.8 1933 b
## 66 2021-02-10 09:00:50 24.9 56 b
## 70 2021-02-10 09:00:55 25.5 1267 b
## 74 2021-02-10 09:01:00 25.6 187 b
## 78 2021-02-10 09:01:05 24.4 311 b
## 82 2021-02-10 09:01:10 25.0 1295 b
## 86 2021-02-10 09:01:15 25.4 489 b
## 90 2021-02-10 09:01:20 24.8 396 b
## 94 2021-02-10 09:01:25 24.8 2079 b
## 98 2021-02-10 09:01:30 25.7 645 b
## [ reached 'max' / getOption("max.print") -- omitted 1975 rows ]
##
## $c
## DT PRICE SIZE SYMBOL
## 3 2021-02-10 08:59:30 24.6 1035 c
## 7 2021-02-10 08:59:35 25.4 472 c
## 11 2021-02-10 08:59:40 24.7 479 c
## 15 2021-02-10 08:59:45 25.5 99 c
## 19 2021-02-10 08:59:50 25.0 937 c
## 23 2021-02-10 08:59:55 24.3 181 c
## 27 2021-02-10 09:00:00 25.2 803 c
## 31 2021-02-10 09:00:05 25.0 411 c
## 35 2021-02-10 09:00:10 25.3 314 c
## 39 2021-02-10 09:00:15 25.4 266 c
## 43 2021-02-10 09:00:20 25.2 268 c
## 47 2021-02-10 09:00:25 24.5 201 c
## 51 2021-02-10 09:00:30 25.3 354 c
## 55 2021-02-10 09:00:35 25.7 257 c
## 59 2021-02-10 09:00:40 25.3 1255 c
## 63 2021-02-10 09:00:45 25.0 113 c
## 67 2021-02-10 09:00:50 25.6 176 c
## 71 2021-02-10 09:00:55 24.8 746 c
## 75 2021-02-10 09:01:00 25.6 16 c
## 79 2021-02-10 09:01:05 24.7 105 c
## 83 2021-02-10 09:01:10 24.5 153 c
## 87 2021-02-10 09:01:15 25.5 251 c
## 91 2021-02-10 09:01:20 25.7 475 c
## 95 2021-02-10 09:01:25 24.9 377 c
## 99 2021-02-10 09:01:30 24.9 1164 c
## [ reached 'max' / getOption("max.print") -- omitted 1975 rows ]
##
## $d
## DT PRICE SIZE SYMBOL
## 4 2021-02-10 08:59:30 25.8 1186 d
## 8 2021-02-10 08:59:35 25.3 248 d
## 12 2021-02-10 08:59:40 23.9 1188 d
## 16 2021-02-10 08:59:45 25.4 835 d
## 20 2021-02-10 08:59:50 24.0 533 d
## 24 2021-02-10 08:59:55 24.8 802 d
## 28 2021-02-10 09:00:00 25.0 1595 d
## 32 2021-02-10 09:00:05 25.6 927 d
## 36 2021-02-10 09:00:10 25.3 756 d
## 40 2021-02-10 09:00:15 24.9 86 d
## 44 2021-02-10 09:00:20 24.4 314 d
## 48 2021-02-10 09:00:25 25.3 339 d
## 52 2021-02-10 09:00:30 25.0 778 d
## 56 2021-02-10 09:00:35 25.1 411 d
## 60 2021-02-10 09:00:40 24.5 22 d
## 64 2021-02-10 09:00:45 25.0 832 d
## 68 2021-02-10 09:00:50 24.2 911 d
## 72 2021-02-10 09:00:55 25.2 215 d
## 76 2021-02-10 09:01:00 25.4 1122 d
## 80 2021-02-10 09:01:05 24.4 1096 d
## 84 2021-02-10 09:01:10 25.1 312 d
## 88 2021-02-10 09:01:15 25.2 261 d
## 92 2021-02-10 09:01:20 24.7 1789 d
## 96 2021-02-10 09:01:25 25.2 2289 d
## 100 2021-02-10 09:01:30 24.9 935 d
## [ reached 'max' / getOption("max.print") -- omitted 1975 rows ]각 티커별 추가 변수 생성
- Return
- Cumsum
- 실제로는 아주 많은 추가 변수 생성!
## $a
## DT PRICE SIZE SYMBOL RETURN CUM_SIZE
## 1 2021-02-10 08:59:30 24.7 804 a NA 804
## 2 2021-02-10 08:59:35 24.6 525 a 0.00 1329
## 3 2021-02-10 08:59:40 25.8 351 a 0.05 1680
## 4 2021-02-10 08:59:45 25.0 80 a -0.03 1760
## 5 2021-02-10 08:59:50 25.5 498 a 0.02 2258
## 6 2021-02-10 08:59:55 25.0 317 a -0.02 2575
## 7 2021-02-10 09:00:00 25.7 178 a 0.03 2753
## 8 2021-02-10 09:00:05 24.8 499 a -0.04 3252
## 9 2021-02-10 09:00:10 24.9 722 a 0.00 3974
## 10 2021-02-10 09:00:15 24.6 377 a -0.01 4351
## 11 2021-02-10 09:00:20 25.2 561 a 0.02 4912
## 12 2021-02-10 09:00:25 26.0 116 a 0.03 5028
## 13 2021-02-10 09:00:30 26.2 709 a 0.01 5737
## 14 2021-02-10 09:00:35 25.1 905 a -0.04 6642
## 15 2021-02-10 09:00:40 25.2 1082 a 0.00 7724
## 16 2021-02-10 09:00:45 25.1 358 a 0.00 8082
## [ reached 'max' / getOption("max.print") -- omitted 1984 rows ]
##
## $b
## DT PRICE SIZE SYMBOL RETURN CUM_SIZE
## 1 2021-02-10 08:59:30 25.1 1057 b NA 1057
## 2 2021-02-10 08:59:35 25.2 302 b 0.00 1359
## 3 2021-02-10 08:59:40 25.2 863 b 0.00 2222
## 4 2021-02-10 08:59:45 25.0 123 b -0.01 2345
## 5 2021-02-10 08:59:50 25.4 1270 b 0.02 3615
## 6 2021-02-10 08:59:55 24.9 420 b -0.02 4035
## 7 2021-02-10 09:00:00 24.9 208 b 0.00 4243
## 8 2021-02-10 09:00:05 24.8 368 b 0.00 4611
## 9 2021-02-10 09:00:10 24.9 271 b 0.00 4882
## 10 2021-02-10 09:00:15 25.2 408 b 0.01 5290
## 11 2021-02-10 09:00:20 24.7 447 b -0.02 5737
## 12 2021-02-10 09:00:25 24.8 804 b 0.00 6541
## 13 2021-02-10 09:00:30 25.0 523 b 0.01 7064
## 14 2021-02-10 09:00:35 24.1 961 b -0.04 8025
## 15 2021-02-10 09:00:40 24.6 52 b 0.02 8077
## 16 2021-02-10 09:00:45 24.8 1933 b 0.01 10010
## [ reached 'max' / getOption("max.print") -- omitted 1984 rows ]
##
## $c
## DT PRICE SIZE SYMBOL RETURN CUM_SIZE
## 1 2021-02-10 08:59:30 24.6 1035 c NA 1035
## 2 2021-02-10 08:59:35 25.4 472 c 0.03 1507
## 3 2021-02-10 08:59:40 24.7 479 c -0.03 1986
## 4 2021-02-10 08:59:45 25.5 99 c 0.03 2085
## 5 2021-02-10 08:59:50 25.0 937 c -0.02 3022
## 6 2021-02-10 08:59:55 24.3 181 c -0.03 3203
## 7 2021-02-10 09:00:00 25.2 803 c 0.04 4006
## 8 2021-02-10 09:00:05 25.0 411 c -0.01 4417
## 9 2021-02-10 09:00:10 25.3 314 c 0.01 4731
## 10 2021-02-10 09:00:15 25.4 266 c 0.00 4997
## 11 2021-02-10 09:00:20 25.2 268 c -0.01 5265
## 12 2021-02-10 09:00:25 24.5 201 c -0.03 5466
## 13 2021-02-10 09:00:30 25.3 354 c 0.03 5820
## 14 2021-02-10 09:00:35 25.7 257 c 0.02 6077
## 15 2021-02-10 09:00:40 25.3 1255 c -0.02 7332
## 16 2021-02-10 09:00:45 25.0 113 c -0.01 7445
## [ reached 'max' / getOption("max.print") -- omitted 1984 rows ]
##
## $d
## DT PRICE SIZE SYMBOL RETURN CUM_SIZE
## 1 2021-02-10 08:59:30 25.8 1186 d NA 1186
## 2 2021-02-10 08:59:35 25.3 248 d -0.02 1434
## 3 2021-02-10 08:59:40 23.9 1188 d -0.06 2622
## 4 2021-02-10 08:59:45 25.4 835 d 0.06 3457
## 5 2021-02-10 08:59:50 24.0 533 d -0.06 3990
## 6 2021-02-10 08:59:55 24.8 802 d 0.03 4792
## 7 2021-02-10 09:00:00 25.0 1595 d 0.01 6387
## 8 2021-02-10 09:00:05 25.6 927 d 0.02 7314
## 9 2021-02-10 09:00:10 25.3 756 d -0.01 8070
## 10 2021-02-10 09:00:15 24.9 86 d -0.02 8156
## 11 2021-02-10 09:00:20 24.4 314 d -0.02 8470
## 12 2021-02-10 09:00:25 25.3 339 d 0.04 8809
## 13 2021-02-10 09:00:30 25.0 778 d -0.01 9587
## 14 2021-02-10 09:00:35 25.1 411 d 0.00 9998
## 15 2021-02-10 09:00:40 24.5 22 d -0.02 10020
## 16 2021-02-10 09:00:45 25.0 832 d 0.02 10852
## [ reached 'max' / getOption("max.print") -- omitted 1984 rows ]특정 시간(e.g. 90초) 에 맞춰 OHLC-V 만들기
## $a
## DT SYMBOL OPEN HIGH LOW CLOSE VOLUME
## 1: 2021-02-10 09:00:00 a 24.7 25.8 24.6 25.0 2575
## 2: 2021-02-10 09:01:00 a 25.7 26.2 24.6 25.2 7592
## 3: 2021-02-10 09:02:00 a 24.7 25.9 24.0 24.6 7035
## 4: 2021-02-10 09:03:00 a 25.2 26.2 24.4 26.2 9750
## 5: 2021-02-10 09:04:00 a 24.9 25.9 24.0 25.1 9643
## ---
## 164: 2021-02-10 11:43:00 a 27.4 28.3 24.4 27.0 4823
## 165: 2021-02-10 11:44:00 a 26.5 27.2 25.2 27.1 4834
## 166: 2021-02-10 11:45:00 a 25.9 27.5 24.5 25.4 3708
## 167: 2021-02-10 11:46:00 a 25.9 26.8 24.7 26.2 2995
## 168: 2021-02-10 11:47:00 a 27.0 27.0 27.0 27.0 425
##
## $b
## DT SYMBOL OPEN HIGH LOW CLOSE VOLUME
## 1: 2021-02-10 09:00:00 b 25.1 25.4 24.9 24.9 4035
## 2: 2021-02-10 09:01:00 b 24.9 25.5 24.1 25.5 7298
## 3: 2021-02-10 09:02:00 b 25.6 26.0 24.4 26.0 10203
## 4: 2021-02-10 09:03:00 b 25.0 25.8 24.9 25.3 10281
## 5: 2021-02-10 09:04:00 b 25.2 25.5 23.6 24.8 9771
## ---
## 164: 2021-02-10 11:43:00 b 25.0 27.6 22.8 27.6 6301
## 165: 2021-02-10 11:44:00 b 25.6 27.9 24.9 26.2 6954
## 166: 2021-02-10 11:45:00 b 26.5 28.3 24.5 25.5 5377
## 167: 2021-02-10 11:46:00 b 27.0 27.0 24.1 25.9 4820
## 168: 2021-02-10 11:47:00 b 26.0 26.4 26.0 26.4 640
##
## $c
## DT SYMBOL OPEN HIGH LOW CLOSE VOLUME
## 1: 2021-02-10 09:00:00 c 24.6 25.5 24.3 24.3 3203
## 2: 2021-02-10 09:01:00 c 25.2 25.7 24.5 24.8 5164
## 3: 2021-02-10 09:02:00 c 25.6 25.7 24.2 25.0 5397
## 4: 2021-02-10 09:03:00 c 24.8 26.0 24.3 25.3 9360
## 5: 2021-02-10 09:04:00 c 24.8 25.3 24.2 24.4 11798
## ---
## 164: 2021-02-10 11:43:00 c 25.5 27.4 24.4 25.9 3796
## 165: 2021-02-10 11:44:00 c 23.9 27.9 23.9 26.5 4669
## 166: 2021-02-10 11:45:00 c 25.8 27.1 24.6 26.6 3722
## 167: 2021-02-10 11:46:00 c 25.9 27.5 24.2 25.0 6649
## 168: 2021-02-10 11:47:00 c 25.5 26.5 25.5 26.5 269
##
## $d
## DT SYMBOL OPEN HIGH LOW CLOSE VOLUME
## 1: 2021-02-10 09:00:00 d 25.8 25.8 23.9 24.8 4792
## 2: 2021-02-10 09:01:00 d 25.0 25.6 24.2 25.2 7186
## 3: 2021-02-10 09:02:00 d 25.4 25.4 24.2 24.4 11386
## 4: 2021-02-10 09:03:00 d 24.5 25.5 24.3 25.0 6603
## 5: 2021-02-10 09:04:00 d 24.3 25.5 24.3 24.8 5754
## ---
## 164: 2021-02-10 11:43:00 d 27.1 27.4 23.7 25.0 5292
## 165: 2021-02-10 11:44:00 d 25.4 28.1 24.2 25.5 5210
## 166: 2021-02-10 11:45:00 d 25.5 27.5 24.2 27.5 5409
## 167: 2021-02-10 11:46:00 d 26.0 27.7 25.0 25.0 3888
## 168: 2021-02-10 11:47:00 d 26.0 26.9 26.0 26.9 1042특정 시간(e.g. 60초)에 맞춰 Aggreagte 하기
## $a
## PRICE SIZE RETURN CUM_SIZE
## 2021-02-10 08:59:00 24.7 804 NA 804
## 2021-02-10 09:00:00 25.7 178 0.03 2753
## 2021-02-10 09:01:00 24.7 1036 -0.02 11203
## 2021-02-10 09:02:00 25.2 1894 0.02 19096
## 2021-02-10 09:03:00 24.9 2347 -0.05 29299
## 2021-02-10 09:04:00 24.9 1479 -0.01 38074
## 2021-02-10 09:05:00 24.8 1318 -0.02 50177
## 2021-02-10 09:06:00 25.7 990 0.03 60325
## 2021-02-10 09:07:00 25.5 2127 0.09 74214
## 2021-02-10 09:08:00 23.7 2959 -0.08 96439
## 2021-02-10 09:09:00 24.5 202 -0.04 113258
## 2021-02-10 09:10:00 24.4 1589 0.00 130272
## 2021-02-10 09:11:00 25.5 2578 0.03 146698
## 2021-02-10 09:12:00 24.3 2010 0.00 169807
## 2021-02-10 09:13:00 25.2 4726 0.01 191094
## 2021-02-10 09:14:00 25.9 2375 0.01 213379
## 2021-02-10 09:15:00 25.4 2391 0.04 242385
## 2021-02-10 09:16:00 24.8 4998 -0.01 266521
## 2021-02-10 09:17:00 25.0 2062 -0.02 291544
## 2021-02-10 09:18:00 25.0 1098 -0.01 317701
## 2021-02-10 09:19:00 24.8 4024 0.02 349159
## 2021-02-10 09:20:00 24.9 1285 -0.01 368912
## 2021-02-10 09:21:00 25.6 623 0.03 381319
## 2021-02-10 09:22:00 24.2 170 -0.05 394076
## 2021-02-10 09:23:00 25.5 356 0.04 404279
## [ reached getOption("max.print") -- omitted 143 rows ]
##
## $b
## PRICE SIZE RETURN CUM_SIZE
## 2021-02-10 08:59:00 25.1 1057 NA 1057
## 2021-02-10 09:00:00 24.9 208 0.00 4243
## 2021-02-10 09:01:00 25.6 187 0.00 11520
## 2021-02-10 09:02:00 25.0 510 -0.04 22046
## 2021-02-10 09:03:00 25.2 279 0.00 32096
## 2021-02-10 09:04:00 25.2 833 0.02 42421
## 2021-02-10 09:05:00 24.2 909 -0.02 49380
## 2021-02-10 09:06:00 25.3 1450 0.06 58576
## 2021-02-10 09:07:00 24.7 3334 0.02 78809
## 2021-02-10 09:08:00 24.5 2205 0.01 93411
## 2021-02-10 09:09:00 25.4 2348 0.02 112692
## 2021-02-10 09:10:00 24.7 1064 -0.03 130752
## 2021-02-10 09:11:00 25.0 78 0.01 144698
## 2021-02-10 09:12:00 24.6 1763 -0.04 160840
## 2021-02-10 09:13:00 25.4 195 0.02 182910
## 2021-02-10 09:14:00 25.2 1015 0.01 203789
## 2021-02-10 09:15:00 25.5 1032 0.04 226962
## 2021-02-10 09:16:00 24.7 2248 0.00 257290
## 2021-02-10 09:17:00 25.1 677 -0.01 288022
## 2021-02-10 09:18:00 25.4 1366 0.04 318782
## 2021-02-10 09:19:00 24.7 978 -0.03 351140
## 2021-02-10 09:20:00 25.4 2039 0.03 377258
## 2021-02-10 09:21:00 25.0 414 0.00 384669
## 2021-02-10 09:22:00 25.4 1151 0.04 392737
## 2021-02-10 09:23:00 25.1 563 0.00 399504
## [ reached getOption("max.print") -- omitted 143 rows ]
##
## $c
## PRICE SIZE RETURN CUM_SIZE
## 2021-02-10 08:59:00 24.6 1035 NA 1035
## 2021-02-10 09:00:00 25.2 803 0.04 4006
## 2021-02-10 09:01:00 25.6 16 0.03 8383
## 2021-02-10 09:02:00 24.8 778 -0.01 14542
## 2021-02-10 09:03:00 24.8 2771 -0.02 25895
## 2021-02-10 09:04:00 24.6 1072 0.01 35994
## 2021-02-10 09:05:00 24.8 238 -0.01 45551
## 2021-02-10 09:06:00 25.5 446 0.01 57146
## 2021-02-10 09:07:00 24.6 1393 -0.01 74476
## 2021-02-10 09:08:00 24.5 2400 -0.02 94674
## 2021-02-10 09:09:00 25.4 1119 0.02 111750
## 2021-02-10 09:10:00 24.6 130 -0.01 125319
## 2021-02-10 09:11:00 24.0 961 -0.06 137938
## 2021-02-10 09:12:00 24.4 1173 -0.01 159068
## 2021-02-10 09:13:00 25.3 4293 -0.01 178741
## 2021-02-10 09:14:00 24.7 2543 0.02 209177
## 2021-02-10 09:15:00 24.9 3494 0.00 231152
## 2021-02-10 09:16:00 25.3 3312 0.01 255988
## 2021-02-10 09:17:00 24.5 1102 -0.02 282345
## 2021-02-10 09:18:00 25.2 5961 0.03 315542
## 2021-02-10 09:19:00 25.2 433 0.02 343622
## 2021-02-10 09:20:00 25.2 143 0.01 359705
## 2021-02-10 09:21:00 25.2 1255 -0.02 370520
## 2021-02-10 09:22:00 25.0 994 0.02 380886
## 2021-02-10 09:23:00 24.8 1050 0.02 389862
## [ reached getOption("max.print") -- omitted 143 rows ]
##
## $d
## PRICE SIZE RETURN CUM_SIZE
## 2021-02-10 08:59:00 25.8 1186 NA 1186
## 2021-02-10 09:00:00 25.0 1595 0.01 6387
## 2021-02-10 09:01:00 25.4 1122 0.01 13100
## 2021-02-10 09:02:00 24.5 736 0.00 24100
## 2021-02-10 09:03:00 24.3 154 -0.03 30121
## 2021-02-10 09:04:00 26.3 1640 0.06 37361
## 2021-02-10 09:05:00 25.7 1134 0.04 46682
## 2021-02-10 09:06:00 25.2 679 0.05 57228
## 2021-02-10 09:07:00 24.2 4460 -0.04 74221
## 2021-02-10 09:08:00 25.0 904 -0.02 96125
## 2021-02-10 09:09:00 24.8 132 0.00 106695
## 2021-02-10 09:10:00 25.0 949 0.01 128332
## 2021-02-10 09:11:00 24.6 654 -0.05 145331
## 2021-02-10 09:12:00 25.3 457 -0.02 161871
## 2021-02-10 09:13:00 23.8 1924 -0.06 182647
## 2021-02-10 09:14:00 24.8 1145 -0.01 207248
## 2021-02-10 09:15:00 23.8 1670 -0.07 236469
## 2021-02-10 09:16:00 25.5 5254 0.00 281434
## 2021-02-10 09:17:00 26.2 3032 0.04 313128
## 2021-02-10 09:18:00 25.3 4186 0.01 348439
## 2021-02-10 09:19:00 25.8 1823 0.06 377842
## 2021-02-10 09:20:00 24.7 265 -0.06 389858
## 2021-02-10 09:21:00 25.6 394 0.00 401116
## 2021-02-10 09:22:00 25.3 947 0.01 413790
## 2021-02-10 09:23:00 25.3 1892 0.05 422121
## [ reached getOption("max.print") -- omitted 143 rows ]OHLCV랑 Agg 합치기
## $a
## PRICE SIZE RETURN CUM_SIZE OPEN HIGH LOW CLOSE VOLUME
## 2021-02-10 08:59:00 24.7 804 NA 804 NA NA NA NA NA
## 2021-02-10 09:00:00 25.7 178 0.03 2753 24.7 25.8 24.6 25.0 2575
## 2021-02-10 09:01:00 24.7 1036 -0.02 11203 25.7 26.2 24.6 25.2 7592
## 2021-02-10 09:02:00 25.2 1894 0.02 19096 24.7 25.9 24.0 24.6 7035
## 2021-02-10 09:03:00 24.9 2347 -0.05 29299 25.2 26.2 24.4 26.2 9750
## 2021-02-10 09:04:00 24.9 1479 -0.01 38074 24.9 25.9 24.0 25.1 9643
## 2021-02-10 09:05:00 24.8 1318 -0.02 50177 24.9 25.8 24.5 25.2 12264
## 2021-02-10 09:06:00 25.7 990 0.03 60325 24.8 25.7 23.7 25.0 10476
## 2021-02-10 09:07:00 25.5 2127 0.09 74214 25.7 25.8 23.5 23.5 12752
## 2021-02-10 09:08:00 23.7 2959 -0.08 96439 25.5 26.2 24.3 25.8 21393
## 2021-02-10 09:09:00 24.5 202 -0.04 113258 23.7 25.5 23.7 25.5 19576
## [ reached getOption("max.print") -- omitted 158 rows ]
##
## $b
## PRICE SIZE RETURN CUM_SIZE OPEN HIGH LOW CLOSE VOLUME
## 2021-02-10 08:59:00 25.1 1057 NA 1057 NA NA NA NA NA
## 2021-02-10 09:00:00 24.9 208 0.00 4243 25.1 25.4 24.9 24.9 4035
## 2021-02-10 09:01:00 25.6 187 0.00 11520 24.9 25.5 24.1 25.5 7298
## 2021-02-10 09:02:00 25.0 510 -0.04 22046 25.6 26.0 24.4 26.0 10203
## 2021-02-10 09:03:00 25.2 279 0.00 32096 25.0 25.8 24.9 25.3 10281
## 2021-02-10 09:04:00 25.2 833 0.02 42421 25.2 25.5 23.6 24.8 9771
## 2021-02-10 09:05:00 24.2 909 -0.02 49380 25.2 25.7 23.9 24.8 6883
## 2021-02-10 09:06:00 25.3 1450 0.06 58576 24.2 25.7 23.9 23.9 8655
## 2021-02-10 09:07:00 24.7 3334 0.02 78809 25.3 25.9 24.2 24.3 18349
## 2021-02-10 09:08:00 24.5 2205 0.01 93411 24.7 26.1 24.2 24.3 15731
## 2021-02-10 09:09:00 25.4 2348 0.02 112692 24.5 25.6 23.8 24.9 19138
## [ reached getOption("max.print") -- omitted 158 rows ]
##
## $c
## PRICE SIZE RETURN CUM_SIZE OPEN HIGH LOW CLOSE VOLUME
## 2021-02-10 08:59:00 24.6 1035 NA 1035 NA NA NA NA NA
## 2021-02-10 09:00:00 25.2 803 0.04 4006 24.6 25.5 24.3 24.3 3203
## 2021-02-10 09:01:00 25.6 16 0.03 8383 25.2 25.7 24.5 24.8 5164
## 2021-02-10 09:02:00 24.8 778 -0.01 14542 25.6 25.7 24.2 25.0 5397
## 2021-02-10 09:03:00 24.8 2771 -0.02 25895 24.8 26.0 24.3 25.3 9360
## 2021-02-10 09:04:00 24.6 1072 0.01 35994 24.8 25.3 24.2 24.4 11798
## 2021-02-10 09:05:00 24.8 238 -0.01 45551 24.6 26.0 24.6 25.1 10391
## 2021-02-10 09:06:00 25.5 446 0.01 57146 24.8 25.3 24.5 25.2 11387
## 2021-02-10 09:07:00 24.6 1393 -0.01 74476 25.5 25.6 24.2 24.8 16383
## 2021-02-10 09:08:00 24.5 2400 -0.02 94674 24.6 25.6 24.0 24.9 19191
## 2021-02-10 09:09:00 25.4 1119 0.02 111750 24.5 25.6 24.4 24.9 18357
## [ reached getOption("max.print") -- omitted 158 rows ]
##
## $d
## PRICE SIZE RETURN CUM_SIZE OPEN HIGH LOW CLOSE VOLUME
## 2021-02-10 08:59:00 25.8 1186 NA 1186 NA NA NA NA NA
## 2021-02-10 09:00:00 25.0 1595 0.01 6387 25.8 25.8 23.9 24.8 4792
## 2021-02-10 09:01:00 25.4 1122 0.01 13100 25.0 25.6 24.2 25.2 7186
## 2021-02-10 09:02:00 24.5 736 0.00 24100 25.4 25.4 24.2 24.4 11386
## 2021-02-10 09:03:00 24.3 154 -0.03 30121 24.5 25.5 24.3 25.0 6603
## 2021-02-10 09:04:00 26.3 1640 0.06 37361 24.3 25.5 24.3 24.8 5754
## 2021-02-10 09:05:00 25.7 1134 0.04 46682 26.3 26.3 24.1 24.6 9827
## 2021-02-10 09:06:00 25.2 679 0.05 57228 25.7 25.7 24.0 24.0 11001
## 2021-02-10 09:07:00 24.2 4460 -0.04 74221 25.2 25.7 24.1 25.1 13212
## 2021-02-10 09:08:00 25.0 904 -0.02 96125 24.2 25.7 24.0 25.6 25460
## 2021-02-10 09:09:00 24.8 132 0.00 106695 25.0 25.3 23.9 24.7 11342
## [ reached getOption("max.print") -- omitted 158 rows ]특정시각 (9시 1분 30초) 데이터만 뽑아내기
## # A tibble: 4 x 10
## SYMBOL PRICE SIZE RETURN CUM_SIZE OPEN HIGH LOW CLOSE VOLUME
## <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 a 25.2 1894 0.02 19096 24.7 25.9 24 24.6 7035
## 2 b 25 510 -0.04 22046 25.6 26 24.4 26 10203
## 3 c 24.8 778 -0.01 14542 25.6 25.7 24.2 25 5397
## 4 d 24.5 736 0 24100 25.4 25.4 24.2 24.4 11386특정변수(e.g. CUMSIZE) 데이터만 뽑아내기
## a_CUMSIZE b_CUMSIZE c_CUMSIZE d_CUMSIZE
## 2021-02-10 08:59:00 804 1057 1035 1186
## 2021-02-10 09:00:00 2753 4243 4006 6387
## 2021-02-10 09:01:00 11203 11520 8383 13100
## 2021-02-10 09:02:00 19096 22046 14542 24100
## 2021-02-10 09:03:00 29299 32096 25895 30121
## 2021-02-10 09:04:00 38074 42421 35994 37361
## 2021-02-10 09:05:00 50177 49380 45551 46682
## 2021-02-10 09:06:00 60325 58576 57146 57228
## 2021-02-10 09:07:00 74214 78809 74476 74221
## 2021-02-10 09:08:00 96439 93411 94674 96125
## 2021-02-10 09:09:00 113258 112692 111750 106695
## 2021-02-10 09:10:00 130272 130752 125319 128332
## 2021-02-10 09:11:00 146698 144698 137938 145331
## 2021-02-10 09:12:00 169807 160840 159068 161871
## 2021-02-10 09:13:00 191094 182910 178741 182647
## 2021-02-10 09:14:00 213379 203789 209177 207248
## 2021-02-10 09:15:00 242385 226962 231152 236469
## 2021-02-10 09:16:00 266521 257290 255988 281434
## 2021-02-10 09:17:00 291544 288022 282345 313128
## 2021-02-10 09:18:00 317701 318782 315542 348439
## 2021-02-10 09:19:00 349159 351140 343622 377842
## 2021-02-10 09:20:00 368912 377258 359705 389858
## 2021-02-10 09:21:00 381319 384669 370520 401116
## 2021-02-10 09:22:00 394076 392737 380886 413790
## 2021-02-10 09:23:00 404279 399504 389862 422121
## [ reached getOption("max.print") -- omitted 144 rows ]뽑아낸 변수 데이터 Time Varying 순위 매기기
## a_CUMSIZE b_CUMSIZE c_CUMSIZE d_CUMSIZE
## 2021-02-10 08:59:00 4 2 3 1
## 2021-02-10 09:00:00 4 2 3 1
## 2021-02-10 09:01:00 3 2 4 1
## 2021-02-10 09:02:00 3 2 4 1
## 2021-02-10 09:03:00 3 1 4 2
## 2021-02-10 09:04:00 2 1 4 3
## 2021-02-10 09:05:00 1 2 4 3
## 2021-02-10 09:06:00 1 2 4 3
## 2021-02-10 09:07:00 4 1 2 3
## 2021-02-10 09:08:00 1 4 3 2
## 2021-02-10 09:09:00 1 2 3 4
## 2021-02-10 09:10:00 2 1 4 3
## 2021-02-10 09:11:00 1 3 4 2
## 2021-02-10 09:12:00 1 3 4 2
## 2021-02-10 09:13:00 1 2 4 3
## 2021-02-10 09:14:00 1 4 2 3
## 2021-02-10 09:15:00 1 4 3 2
## 2021-02-10 09:16:00 2 3 4 1
## 2021-02-10 09:17:00 2 3 4 1
## 2021-02-10 09:18:00 3 2 4 1
## 2021-02-10 09:19:00 3 2 4 1
## 2021-02-10 09:20:00 3 2 4 1
## 2021-02-10 09:21:00 3 2 4 1
## 2021-02-10 09:22:00 2 3 4 1
## 2021-02-10 09:23:00 2 3 4 1
## [ reached getOption("max.print") -- omitted 144 rows ]CO-MOVEMENT 질문: 첫 1분 동안 000 조건을 만족한 종목들은 지수와 유사하게 움직였을까?
Short-term changes are better interpreted from returns correlations, whilst valuations of long-term evolution may be improved using prices. So we choose return with rolling correlation for 10 minute window
Rolling (e.g. 10min) Pearson Corr
## # A tibble: 3 x 2
## term a_return
## <chr> <dbl>
## 1 b_return 0.091
## 2 c_return 0.08
## 3 d_return 0.03