fix warnings, notes, and tests

R/globals.R

@@ -2,5 +2,5 @@
 ## a small price we pay for using data.table NSE with unquoted variables
 utils::globalVariables(
   c("count", "datetime", "msg_type", "timestamp", "exchange", "file_size",
-    "last_modified", ".", "size", "time")
+    "last_modified", ".", "size", "time", "stock", "stock_locate")
 )

R/read_functions.R

@@ -41,7 +41,7 @@
 #' @param max_timestamp an 64 bit integer vector (see also \code{\link[bit64]{as.integer64}})
 #'  of maxium timestamp (inclusive).
 #'  Note: min and max timestamp must be supplied with the same length or left empty.
-#'  @param filter_stock a character vector, specifying a filter for stocks.
+#' @param filter_stock a character vector, specifying a filter for stocks.
 #'  Note that this a shorthand for the \code{filter_stock_locate} argument, as it
 #'  tries to find the stock_locate based on the \code{stock_directory} argument,
 #'  if this is not found, it will try to extract the stock directory from the file,
@@ -196,7 +196,7 @@ read_ITCH <- function(file, type, skip = 0, n_max = -1,
         length(min_timestamp) == 0 | length(max_timestamp) == 0))
     stop("min_timestamp and max_timestamp has to have the same length or have to be not specified!")
 
-  if (!quiet && length(min_timestamp) > 0 | length(max_timestamp) > 0) {
+  if (!quiet && (length(min_timestamp) > 0 | length(max_timestamp) > 0)) {
     txt <- "[Filter]     timestamp: "
     if (length(max_timestamp) == 0) {
       txt <- paste0(txt, ">= ", min_timestamp)

README.Rmd

@@ -175,12 +175,12 @@ od <- read_orders(
   max_timestamp = 55800000000000, # end at 15:30:00.000000
   filter_stock_locate = 1,        # take only stock with code 1
   filter_stock = "CHAR",          # but also take stock CHAR
-  stock_directory = sdir          # provide the stock_directory to match stock names to locate_codes
+  stock_directory = sdir          # provide the stock_directory to match stock names to stock_locates
 )
 
 od[, .(n = .N), by = msg_type]
 range(od$timestamp)
-od[, .(n = .N), by = .(locate_code, stock)]
+od[, .(n = .N), by = .(stock_locate, stock)]
 ```
 
 If you are interested in writing `ITCH_50` files or gaining a better understanding of the internal data structures, have a look at the `debug` folder and its contents.

README.md

@@ -69,7 +69,7 @@ orders <- read_orders(file)
 #> [Counting]   5,000 messages found
 #> [Loading]    .
 #> [Converting] to data.table
-#> [Done]       in 0.09 secs
+#> [Done]       in 0.08 secs
 str(orders)
 #> Classes 'data.table' and 'data.frame':   5000 obs. of  13 variables:
 #>  $ msg_type       : chr  "A" "A" "F" "A" ...

inst/tinytest/test_read_functions.R

@@ -20,7 +20,7 @@ file_raw <- file_raw[length(file_raw)]
 expect_true(file.exists(file))
 expect_true(file.info(file)[["size"]] == 465048)
 expect_true(file.exists(gzfile))
-expect_true(file.info(gzfile)[["size"]] == 159966)
+expect_true(file.info(gzfile)[["size"]] == 159965)
 
 #### Count messages
 ct <- count_messages(file, quiet = TRUE)

simulate_dataset.R

@@ -20,7 +20,7 @@ Rcpp::sourceCpp("debug/debug_tools.cpp")
 # take 3 most traded stocks in orders, trades
 file <- "20191230.BX_ITCH_50"
 
-loc_code <- download_locate_code("BX", "2019-12-30", quiet = TRUE)
+loc_code <- read_stock_directory(file, add_meta = FALSE, quiet = TRUE)
 trades   <- read_trades(file, add_meta = FALSE, quiet = TRUE)
 orders   <- read_orders(file, add_meta = FALSE, quiet = TRUE)
 mods     <- read_modifications(file, add_meta = FALSE, quiet = TRUE)
@@ -34,19 +34,19 @@ orders[, .(n = .N), by = stock][order(-n)][1:3]
 trades[, .(n = .N), by = stock][order(-n)][1:3]
 merge(
   mods[, .(n = .N), by = stock_locate][order(-n)][1:3],
-  loc_code, by = "locate_code", all.x = TRUE
+  loc_code[, .(stock_locate, stock)], by = "stock_locate", all.x = TRUE
 )
 
 # take the following stocks as a base
 stock_select <- c("TSLA" = "ALC", "NIO" = "BOB", "BABA" = "CHAR")
 
 loc_codes <- loc_code[
-  ticker %chin% names(stock_select)
+  stock %chin% names(stock_select)
 ][, 
-  .(stock_old = ticker, 
+  .(stock_old = stock, 
     old_loc_code = stock_locate,
-    stock = stock_select[ticker])
-][order(stock), locate_code := 1:.N][]
+    stock = stock_select[stock])
+][order(stock)][, stock_locate := 1:.N][]
 
 # removes price outliers outside of a given sigma range...
 remove_price_outliers <- function(dt, sigma = 3) {