行业分类滴答试验

Question

在撰写硕士论文时，我下载了交易数据：

  >head(Data1)
  PRICE PREVIOUS
1 100   99
2 98    100
3 100   98
4 100   100
5 100   100
6 101   100      

目标是添加一个列，该列指示交易是由买方(“购买”)还是卖方("sell")发起的。这些规则如下：

• 价格<先前的=>销售
• 价格>前一次=>购买
• 价格==以前的=>优先分类

它应该是这样的

      >head(Data1)
     PRICE PREVIOUS TICK
    1 100   99       Buy
    2 98    100      Sell
    3 100   98       Buy
    4 100   100      Buy
    5 100   100      Buy
    6 101   100      Buy

我编写了以下代码：

Data1$TICK <- ifelse(Data1$PRICE == Data1$PREVIOUS, yes = shift(Data1[ ,3]), no = ifelse(Data1$PRICE>Data1$PREVIOUS, yes= "Buy", no = "Sell"))

但是，当我试图执行代码时，会收到警告：

[.data.frame中的错误(Data1，，3)`：选定的未定义列

因此，我有两个问题：

1. 这段代码能传递我想要得到的结果吗？
2. 错误信息指的是什么？

Answer 1

这里有一个简单的使用基础的方法。

data1 <- data.frame(PRICE = c(100,98,100,100,100,101), PREVIOUS = c(99,100,98,100,100,100))

tk <- c("Sell", NA, "Buy")[sign(data1$PRICE-data1$PREVIOUS)+2]
for(i in 2:length(tk)) if (is.na(tk[i])) tk[i] <- tk[i-1]

data1$TICK <- tk
print(data1)

#   PRICE PREVIOUS TICK
# 1   100       99  Buy
# 2    98      100 Sell
# 3   100       98  Buy
# 4   100      100  Buy
# 5   100      100  Buy
# 6   101      100  Buy

如果你认为它更直观，你可以：

tk <- c("Sell", "Prior", "Buy")[sign(data1$PRICE-data1$PREVIOUS)+2]
for(i in 2:length(tk)) if (tk[i] == "Prior") tk[i] <- tk[i-1]

Answer 2

library(tidyverse)
dat%>%
  mutate(m = sign(PRICE-PREVIOUS),
         m=replace(m,m == 0,NA))%>%
  fill(m)%>%
  mutate(m = if_else(m==1,"Buy","Sale"))
  PRICE PREVIOUS    m
1   100       99  Buy
2    98      100 Sale
3   100       98  Buy
4   100      100  Buy
5   100      100  Buy
6   101      100  Buy