[R] Dividing tick-data into intervalls

[R. Michael Weylandt]

Are you the oswi who just asked a very similar question?

Regardless, as Josh said, the high-performance way to do this is to
use the specialty C code available through the xts package and the
to.period() functions, specifically to.minutes5

Michael

On Tue, May 8, 2012 at 8:48 AM, Milan Bouchet-Valat <nalimilan at club.fr> wrote:
> Le mardi 08 mai 2012 à 10:44 +0200, osvald wiklander a écrit :
>>
>>
>>
>> Hi everybody, I am sorry that I am kind of spamming this forum, but I
>> have searched for some input everywhere and cant really find a nice
>> solution for my problem.
>>
>> Data looks like:
>>
>>                                    price
>> 2011-11-01 08:00:00  0.000000000
>> 2011-11-01 08:00:00  0.000000000
>> 2011-11-01 08:02:00  0.000000000
>> 2011-11-01 08:03:00 -0.017033339
>> 2011-11-01 08:13:00  0.000690001
>> 2011-11-01 08:24:00  0.000658411
>> 2011-11-01 08:29:00  0.000000000
>> 2011-11-01 08:29:00  0.000000000
>> 2011-11-01 08:29:00  0.000000000
>> 2011-11-01 08:29:00  0.000000000
>> 2011-11-01 08:29:00  0.002166062
>> 2011-11-01 08:44:00  0.000000000
>> 2011-11-01 08:44:00  -0.002166062
>> 2011-11-01 08:44:00  0.004321374
>> 2011-11-01 10:36:00  0.010618976
>> 2011-11-01 15:59:00  0.002092990
>>
>> So the price column in fact shows the difference in the price of the
>> equity. It is about 100 days.
>>
>> I want to be able to convert this data to regurly spaced intervals,
>> like every fifth minute the previous tick is returned.
>>
>> So, for example I want that the new time serie should look like:
>>
>>                                    price
>> 2011-11-01 08:00:00  0.000000000
>> 2011-11-01 08:05:00 -0.017033339
>> 2011-11-01 08:10:00 -0.017033339
>> 2011-11-01 08:15:00  0.000690001
>> 2011-11-01 08:20:00  0.000000000
>> 2011-11-01 08:25:00  0.000658411
>> 2011-11-01 08:30:00  0.002166062
>>
>> And so on for the 100 days. And the I want to do this for ten minutes,
>> 30 minutes etc.
>>
>> Earlier I have tried with aggregatePrice() (in the RTAQ package)
>> combined with a for() loop. However this didnt work so well.
>>
>> I assume it exist some easy way to do this? However, as I said, I have
>> searched for a solution without any luck.
>>
>> So, what approach should I have? Have any of you done something like
>> this before?
> I think you should create a zoo object (from package zoo) from your
> data, and use aggregate() on it (see ?aggregate.zoo).
>
>
> My two cents
>
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