# Chad R. Bhatti
# 12.13.2010
# data_read.R

# Read in data from BS-ACD paper 


##########################################################################
# Description of data
##########################################################################
#> source("data_read.R")
#> mydata[1,]
#        DATE  TIME  X  vol total_valu ave_price hour half open
#1 2002-01-02 35420 13 1000      48620     48.62    9    9    1
#>

# DATE = date
# TIME = time from midnight in seconds
# X = duration between trades in seconds
# total_valu = total value of trade (shares * price)
# ave_price = average price
# hour = trading hour
# half = h.1 for first half hour and h.2 for second half hour for
#        hours 10-15
# open = 0/1 opening trade of that trading day
#
#
# Note: total_valu is computed from compressed trades, ie multiple
# trades occurring at the same time are aggregated in volume, total value
# and used to compute an average price at that point in time
##########################################################################


library(foreign)

data.path <- "~/Research/BSACD/Data/";
mydata <- read.dbf(paste(data.path,"gm_trades.dbf",sep=""));