



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?

Thanks in advance						  Reply With Quote 		 	   		  
	[[alternative HTML version deleted]]

