Initial commit


Former-commit-id: 277f9521fce01e2defe4f23ebb944d3cebc0f7bd
First commit

Signed-off-by: Oleg Komarov <o.komarov11@imperial.ac.uk>

Former-commit-id: 52653d6d667a506ccb049fd5ada95da68378cd85
Merge branch 'master' of https://github.com/okomarov/HFbetas


Former-commit-id: ea438bd33f5d652a80e4a4bf6708b47b310b60da
Ignore subdirectory in ./data/

Signed-off-by: Oleg Komarov <o.komarov11@imperial.ac.uk>

Former-commit-id: ac2ce809c087a54574fbc2736196b29cd6f2e765
First commit

Signed-off-by: Oleg Komarov <o.komarov11@imperial.ac.uk>

Former-commit-id: ef26f82cd2dc2a817b2f5d173c1a4de8ee0a135e
Merge branch 'master' of https://github.com/okomarov/HFbetas


Former-commit-id: be9debef9a220064a2c97e04bab95b202b7904a2
Compared SPX series from Tickwrite to SP500 from CRSP.

SPX tickwrite (autoroll, mostactive, noadj):
OUTPUT_CONTRACT=-1
SESSIONS=DAY
COLLECTION_TYPE=COLLECTION_TYPE.FUTURES
EXTRACT_TYPE=COLLECTOR_SUBTYPE_FUT_TRADES
REQUESTED_DATA=78|SP[20130316]
START_DATE=12/31/1992
END_DATE=03/16/2013
COMPRESSION_TYPE=ZIP
DESTINATION_DIRECTORY=C\:\\Users\\ok1011\\Documents
INCLUDE_HEADER_ROW=true
DATE_FORMAT=yyMMdd
TIME_FORMAT=HHmmssSSS
ROLL_METHOD=AUTO_ROLL

Signed-off-by: Oleg Komarov <o.komarov11@imperial.ac.uk>

Former-commit-id: 9b8e30d0963aaaf646f8ce322dcd6a52f7dff139
Merge branch 'master' of https://github.com/okomarov/HFbetas


Former-commit-id: 3c4b75f0f707965a4919f373ad9ab429409bec3c
Save snap of changes for today

Signed-off-by: Oleg Komarov <o.komarov11@imperial.ac.uk>

Former-commit-id: 0ded146a35ae68b54f567ec627eb139fbe8d053c
Save snap of changes for today

Signed-off-by: Oleg Komarov <o.komarov11@imperial.ac.uk>

Former-commit-id: d4989692dc1b252a6ca45ee1e33c88bc4263ccb8
Filter on price test, with error

Signed-off-by: Oleg Komarov <o.komarov11@imperial.ac.uk>

Former-commit-id: 8bd73e0eb938175ff8ad6ba9091578b3c3ed063d
Filter on price test, with error

Signed-off-by: Oleg Komarov <o.komarov11@imperial.ac.uk>

Former-commit-id: 34afe999ca8aec96c61f5b12a4aa844393b8a03d
Test prices 5th versus 95th percentile intraday.

Signed-off-by: Oleg Komarov <o.komarov11@imperial.ac.uk>

Former-commit-id: 9660b0c32fea46d71597832543e6d56a2dadfd71
Test prices 5th versus 95th percentile intraday.

Signed-off-by: Oleg Komarov <o.komarov11@imperial.ac.uk>

Former-commit-id: c0771d4fe4d283a0d62143fd8dd1250592c1a884
Test prices 5th versus 95th percentile intraday.
Added binary files (.mat) exclusions.

Signed-off-by: Oleg Komarov <o.komarov11@imperial.ac.uk>

Former-commit-id: 68cce1e2a9e764efa301af2bcfa617974c6731b4
Test prices 5th versus 95th percentile intraday.
Added binary files (.mat) exclusions.

Signed-off-by: Oleg Komarov <o.komarov11@imperial.ac.uk>

Former-commit-id: 630ec055d38db2c8cd0ca144078eb3b09e3795e4
Tuning bad price detection; added datamst2dataset convertion in importCSV

Signed-off-by: Oleg Komarov <o.komarov11@imperial.ac.uk>

Former-commit-id: 76f0c5b7277cee10857353b360c43979ab6d7f50
Tuning bad price detection; added datamst2dataset convertion in importCSV

Signed-off-by: Oleg Komarov <o.komarov11@imperial.ac.uk>

Former-commit-id: f7f32d6156c433491f145d9f9bb08f3710c222ac
Reorganized directory; Added utility files


Former-commit-id: 64f92041952ab6f03249cd00c903ff02e880619a
Reorganized directory; Added utility files


Former-commit-id: 1272fb4c643e89edf864189d9b192961b92c2d78