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joshuaulrich / parse_crsp_file.awk
Created December 12, 2020 15:41
Parse CRSP file into separate files by symbol
View parse_crsp_file.awk
#!/usr/bin/awk -f
# GNU Awk 3.1.8
#
# Tutorial:
# http://www.grymoire.com/Unix/Awk.html
#
BEGIN{ FS=","; OFS=","; filename="" }
{
if(NR==1) { # the first record/line is the header
header=substr($0,8) # store to write to each symbol file
@joshuaulrich
joshuaulrich / intraday-sp500.R
Last active January 28, 2022 02:05
Track the S&P 500 throughout the trading day
View intraday-sp500.R
require(quantmod)
do_chart <- function(symbol) {
quote <- getQuote(symbol)
quote$Close <- quote$Last
xts(OHLCV(quote), quote[,"Trade Time"],
pct_change = quote[,"% Change"])
}
filename <- "intraday-sp500.rds"
View update-daily-data-with-quote.R
update.realtime <-
function(ticker, history = NULL)
{
if (is.null(history)) {
history <- getSymbols(ticker, from = "2018-01-01", auto.assign = FALSE)
}
today <- getQuote(ticker, src = "yahoo")
now <- as.Date(today[,"Trade Time"])
cn <- c("Open", "High", "Low", "Last", "Volume", "Last")
live <- xts(today[, cn], now)
@joshuaulrich
joshuaulrich / squash-and-merge-cli.md
Created November 21, 2019 13:23 — forked from aortbals/squash-and-merge-cli.md
Squash and Merge on the Command line
View squash-and-merge-cli.md

With the introduction of GitHub's Squash and Merge feature, this has become less prevelant, however it's still useful in scenarios where GitHub's interface is unavailable.

Let's talk through two ways to do a squash and merge on the command line.

Take 1: Interactive Rebase

When to use it

  • When you have not merged master into your feature branch
  • There are no merge conflicts
@joshuaulrich
joshuaulrich / keybase.md
Created September 14, 2019 15:33
Because keybase told me to
View keybase.md

Keybase proof

I hereby claim:

  • I am joshuaulrich on github.
  • I am joshuaulrich (https://keybase.io/joshuaulrich) on keybase.
  • I have a public key ASDcjSYFiNY5lotsu7tcXthTsae6mRwUHF1G48R03YG-AQo

To claim this, I am signing this object:

@joshuaulrich
joshuaulrich / bcrypt-password.pl
Last active February 16, 2019 19:27 — forked from evandrix/gist:1076041
Check password against known hashed password and salt
View bcrypt-password.pl
#!/usr/bin/perl
# Usage: read -s PASSWORD && ./bcrypt-password.pl
use Crypt::Eksblowfish::Bcrypt;
# Read password and salt from environment variables
$password = $ENV{PASSWORD};
$salt = "lfVQ/T2N3dhFVvvPro2Hfu"
$encrypted = encrypt_password($password, $salt);
# Extract bcrypt version, cost, salt, and hashed password
@joshuaulrich
joshuaulrich / bench.R
Last active March 29, 2018 14:50 — forked from jimhester/bench.R
getOption benchmark
View bench.R
getOptionOld <- function(x, default = NULL) {
if(missing(default) || x %in% names(options()))
.Internal(getOption(x))
else
default
}
getOptionNew <- function(x, default = NULL) {
ans <- .Internal(getOption(x))
if(is.null(ans)) default else ans
@joshuaulrich
joshuaulrich / do_gc.c
Created January 28, 2018 15:48
Force an R garbage collection from C
View do_gc.c
void do_gc(SEXP env) {
SEXP s, t;
PROTECT(s = t = allocList(1));
SET_TYPEOF(s, LANGSXP);
SETCAR(t, install("gc")); t = CDR(t);
PrintValue(eval(s, env));
UNPROTECT(1);
}
@joshuaulrich
joshuaulrich / 10y-oscillator.R
Last active August 27, 2017 15:15 — forked from mbusigin/10y-oscillator.R
Generate chart with 10y yield oscillator (10y yield minus 260d moving average), +/- 1 stdev dashed lines
View 10y-oscillator.R
recplot <- function(var, rec.ind, maintitle = "", ylab = "", ylim = NULL)
{
# Give each recession a separate number, so we can split data by recession
# and calculate the necessary values to pass to addPolygon() for shading
r <- rle(as.integer(rec.ind))
r$values[r$values > 0] <- seq_len(sum(r$values))
rec <- xts(inverse.rle(r), index(rec.ind))
# Merge variable and recession data, as a left-join so we do not have
# observations that only exist in the recession indicator data
@joshuaulrich
joshuaulrich / detect_outliers.c
Created August 4, 2017 14:07
Detect outliers in 'real-time' using Richard Olsen's method in "High Frequency Finance"
View detect_outliers.c
/*
* Copyright (C) 2017 Joshua M. Ulrich
*
* This program is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 2 of the License, or
* (at your option) any later version.
*
* This program is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of