Intraday return for SEC filings

intraday_return_SEC_filings.R

## For each SEC filing stock return in the interval [time - before, time + after] is measured

# Set constants
before <- 0
after <- 7200

# load Grokit Nanex library 
library(gtNanex)

# Load dataset with 8-K filings (symbol and timestamp)s
events <- Load(SECFilings)
# Load trades data
trades <- Load(nanex_trades)[Type == "Equity"]

# Create time and date variable from timestamp
events <- Generate(events, Date = Date(Time), Seconds = base::Time(Time)$as_seconds(), .overwrite = TRUE)

# Join on symbol-day
trades <- Join(trades, c(Symbol, Date), events, c(Symbol, Date))

# Compute difference between filing timestamp and trading timestamp
trades <- Generate(trades, difference = Seconds - MsOfDay %/% 1000)
# Keep trades in event window 
trades <- trades[.(-before) <= difference && difference <= .(after)]

# Construct variables for each event
info <- GroupBy(trades, c(ID, Time),
                NumTrades = Count(),
                SumVolume = Sum(Size),
                SumRevenue = Sum(Size * Price),
                OrderBy(LastTime = dsc(MsOfDay), inputs = c(LastPrice = Price, LastSize = Size), limit = 1),
                OrderBy(FirstTime = asc(MsOfDay), inputs = c(FirstPrice = Price, FirstSize = Size), limit = 1))

# Export
WriteCSV(info, "/data/SEC_filing_return.csv");