[R-SIG-Finance] moving averages on specific interval and merge

[Jim Green]

the question is more of r-help on second thought. I'll post on r-help. sorry.

Jim.

On 10 May 2012 21:11, Jim Green <student.northwestern at gmail.com> wrote:
> Greetings!
>
> I am using quantstrat and xts to do some intraday work and come up
> with this problem. the xts object temp in the following example is
> attached as and rda file.
>
>> head(temp)
>                    A.Open A.High  A.Low A.Close A.Volume
> 2012-02-01 08:29:00  42.47  43.76 41.410   43.76     2071
> 2012-02-01 09:30:00  43.38  43.38 42.970   43.15    40300
> 2012-02-01 09:31:00  43.14  43.28 43.130   43.28    14990
> 2012-02-01 09:32:00  43.27  43.37 43.270   43.37     3300
> 2012-02-01 09:33:00  43.37  43.50 43.370   43.48     3056
> 2012-02-01 09:34:00  43.49  43.50 43.396   43.44    10968
>
>> tail(temp)
>                     A.Open  A.High   A.Low A.Close A.Volume
> 2012-03-27 16:07:00 45.6650 45.6650 45.6650 45.6650      170
> 2012-03-27 16:08:00 45.6710 45.6710 45.6710 45.6710      474
> 2012-03-27 16:10:00 45.9131 45.9131 45.9131 45.9131     1800
> 2012-03-27 16:13:00 45.6952 45.6952 45.6952 45.6952      300
> 2012-03-27 16:15:00 45.9368 45.9368 45.9368 45.9368      791
> 2012-03-27 16:21:00 45.7000 45.7000 45.7000 45.7000    22000
>
>
> I would like to calculate moving averages of minute volume for
> specific interval and merge with the original minute ohlc data.
>
> take 09:40:00 for example, calculate the average previous 10 days
> volume between 09:39:00 to 09:40:00 and merge with exiting data.
>
> ultimately I want to get an xts object with columns
>
> Open   High   Low   Close   Volume   Average.Volume.at.current.interval
> 2012-03-27 16:07:00 45.6650 45.6650 45.6650 45.6650      170   177
> 2012-03-27 16:08:00 45.6710 45.6710 45.6710 45.6710      474  500
> ...
> ...
> ..
> 2012-03-27 16:21:00 45.7000 45.7000 45.7000 45.7000    22000 1000
>
> any pointers are appreciated!
>
> Jim.