getMultipleTicks(..., returnAs="xts") is broken

[eddelbuettel]

We rely on xts to merge the bid, ask, trade, ... vectors but the timestamps are not unique. So the merged xts is not valid.

[armstrtw]

can we do this on the c++ side. I have some code around for this type of thing.

[eddelbuettel]

Awesome sauce! Below is a recent snippet going straight to the c++ side. Also note the verbose switch I already had there :)

R> res <- Rblpapi:::getTicks_Impl(con,  "ES1 Index", c("TRADE", "BID", "ASK"), "2015-09-30 15:00:00", "2015-09-30 15:00:10", TRUE)
Sending Request: IntradayTickRequest = { security = "ES1 Index" eventTypes[] = { TRADE BID ASK } startDateTime = 2015-09-30 endDateTime = 2015-09-30 }
Processing Response
Response contains 46 items
Time        Type        Value       Size        Condition Code
9/30/2015 0:0       BID     1875.500000     30      
9/30/2015 0:0       BID     1875.500000     29      
9/30/2015 0:0       BID     1875.500000     30      
9/30/2015 0:0       BID     1875.500000     31      
9/30/2015 0:0       ASK     1875.750000     14      
9/30/2015 0:0       BID     1875.500000     32      
9/30/2015 0:0       BID     1875.500000     34      
9/30/2015 0:0       BID     1875.500000     32      

[armstrtw]

huh?

[eddelbuettel]

That is the data we get. I also split this into vectors which I then merge but that merge assumes unique timestamps.

Also in the example above timestamps miss the 'T' required: 2015-09-30T15:00:00, not '2015-09 30 15:00:00'.

[eddelbuettel]

So what were you thinking of @armstrtw ?

[armstrtw]

if you have something working, that's great. I haven't even looked at that function yet.

I don't know what you ended up doing on c++ side, but I historically have just used some stl stuff to merge and cbind.

[eddelbuettel]

If you re-read the tread, and look at the two (short) files involved, things should become clearer. And I did not say or mean to imply that I have something working. I demonstrated what get from Bbg: a mix of rows.

[armstrtw]

It's month end. I'll follow up on this tomorrow.

[joshuaulrich]

How about this:

# data for reproducible example
set.seed(21)
N <- 40
eventType <- c("BID","ASK","TRADE")
res <- data.frame(
  time=.POSIXct(rep(0:1,each=N/2), tz="UTC"),
  type=sample(eventType, N, TRUE, c(40,40,20)),
  value=runif(N, 21, 22), size=sample(N)*100)
# end

## Make timestamps unique
res$time <- make.index.unique(res$time, eps=1e-5)
## Subset into blocks for each event type, creating xts
rl <- lapply(eventType,
         function(s) {
             x <- subset(res, res$type==s)
             colnames(x)[3] <- tolower(s)
             colnames(x)[4] <- paste0(tolower(s), "sz")
             xts::xts(x[,3:4], order.by=x[,1])
         })
x <- do.call(merge, rl)
options(digits.secs=6)  # make unique index values visible

[eddelbuettel]

I thought about uniquefying the timestamps too. But I am afraid that we may have more than 1e5 at the same time stamps. Also, maybe we should trunc() the timestamp after the merge to not supply false timestamps.

[eddelbuettel]

The suggestion works -- I added two lines to make column unique as you suggested, and later trunc() the time back down. That should do it. More testing tomorrow.