> data_tm1
# A tibble: 1,151,978 x 15
index BidOpen BidHigh BidLow BidClose AskOpen AskHigh AskLow AskClose year week
<dttm> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
1 2014-12-29 00:01:00 120. 120. 120. 120. 120. 120. 120. 120. 2015 53
2 2014-12-29 00:02:00 120. 120. 120. 120. 120. 120. 120. 120. 2015 53
3 2014-12-29 00:03:00 120. 120. 120. 120. 120. 120. 120. 120. 2015 53
4 2014-12-29 00:04:00 120. 120. 120. 120. 120. 120. 120. 120. 2015 53
5 2014-12-29 00:05:00 120. 120. 120. 120. 120. 120. 120. 120. 2015 53
6 2014-12-29 00:06:00 120. 120. 120. 120. 120. 120. 120. 120. 2015 53
7 2014-12-29 00:07:00 120. 120. 120. 120. 120. 120. 120. 120. 2015 53
8 2014-12-29 00:08:00 120. 120. 120. 120. 120. 120. 120. 120. 2015 53
9 2014-12-29 00:09:00 120. 120. 120. 120. 120. 120. 120. 120. 2015 53
10 2014-12-29 00:10:00 120. 120. 120. 120. 120. 120. 120. 120. 2015 53
# ... with 1,151,968 more rows, and 4 more variables: bias.open <dbl>, bias.high <dbl>,
# bias.low <dbl>, bias.close <dbl>
> data_tm1_NA <- data_tm1 %>%
+ dplyr::select(BidOpen, BidHigh, BidLow, BidClose,
+ AskOpen, AskHigh, AskLow, AskClose) %>%
+ prodNA(noNA = 0.01) %>%
+ cbind(data_tm1[1], .) %>% tbl_df
>
> data_tm1_1_tidyr <- data_tm1_NA %>%
+ fill(BidOpen, BidHigh, BidLow, BidClose,
+ AskOpen, AskHigh, AskLow, AskClose) %>% #default direction down
+ fill(BidOpen, BidHigh, BidLow, BidClose,
+ AskOpen, AskHigh, AskLow, AskClose, .direction = 'up')
>
> data_tm1_1_tidyr %>% anyNA
[1] FALSE
>
> data_tm1_1_tidyr %<>% mutate(
+ bias.open = if_else(AskOpen>AskHigh|AskOpen<AskLow, 1, 0),
+ bias.high = if_else(AskHigh<AskOpen|AskHigh<AskLow|AskHigh<AskClose, 1, 0),
+ bias.low = if_else(AskLow>AskOpen|AskLow>AskHigh|AskLow>AskClose, 1, 0),
+ bias.close = if_else(AskClose>AskHigh|AskClose<AskLow, 1, 0))
>
> data_tm1_1_tidyr %>%
+ dplyr::filter(bias.open==1|bias.high==1|bias.low==1|bias.close==1)
>
> data_tm1_1_tidyr %<>%
+ summarise(
+ AskOpen = mean((AskOpen - data_m1$AskOpen)^2),
+ AskHigh = mean((AskHigh - data_m1$AskHigh)^2),
+ AskLow = mean((AskLow - data_m1$AskLow)^2),
+ AskClose = mean((AskClose - data_m1$AskClose)^2),
+ Mean.HLC = (AskHigh + AskLow + AskClose)/3,
+ Mean.OHLC = (AskOpen + AskHigh + AskLow + AskClose)/4,
+ bias.open = sum(bias.open)/length(bias.open),
+ bias.high = sum(bias.high)/length(bias.high),
+ bias.low = sum(bias.low)/length(bias.low),
+ bias.close = sum(bias.close)/length(bias.close)) %>% tbl_df
>
> data_tm1_1_tidyr %>%
+ kable(caption = 'MSE') %>%
+ kable_styling(bootstrap_options = c('striped', 'hover', 'condensed', 'responsive')) %>%
+ scroll_box(width = '100%')#, height = '400px')
> data_m1_NA <- data_m1 %>% prodNA(noNA = 0.1)
> data_m1_10_impTS <- llply(algo, function(x) {
+ data_m1_NA %>%
+ dplyr::select(starts_with('Ask'), starts_with('Bid')) %>%
+ map(na.seadec, algorithm = x) %>% as.tibble
+ })
Error in optim(init[mask], getLike, method = "L-BFGS-B", lower = rep(0, :
L-BFGS-B needs finite values of 'fn'