WaveletComp: FXtrade.transactions – R documentation

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FXtrade.transactions

Series of FX trade transactions

Description

USD/euro FX (foreign exchange) trade: number of worldwide transactions recorded per 5-minute intervals in July 2010. The data set contains four full weekly cycles (plus three days at the beginning of July 2010), a weekly cycle lasting from Sunday, 21:00, to Friday, 20:55. The number of transactions between Friday, 21:00, and Sunday, 20:55, is 0 or close to 0. For these intervals, variable "active" is FALSE, otherwise TRUE.

Derived from data delivered by Morning Star.

Usage

data("FXtrade.transactions")

Format

A data frame of two columns:

date	:	date and GMT time (resolution: 5 minutes),
		format: `"%Y-%m-%d %H:%M:%S"`
		(equivalently, `"%F %T"`)
transactions	:	number of transactions in the 5-minute interval
		starting with the time indicated
active	:	trade activity indicator

Source

Morning Star, http://www.morningstar.com/

Examples

data(FXtrade.transactions)
plot(as.POSIXct(FXtrade.transactions$date, format = "%F %T", tz = "GMT"),
     FXtrade.transactions$transactions, 
     type = "l",
     xlab = "day", ylab = "transactions in 5-minute intervals")

WaveletComp

Computational Wavelet Analysis

v1.1

GPL-2

Authors

Angi Roesch <angi@angi-stat.com> and Harald Schmidbauer <harald@hs-stat.com>

Initial release

2018-03-18