[R-sig-Finance] Convert tick data to OHLC

[kriskumar at earthlink.net]

There are atleast two ways to this use Wolfgang Breyman's HFfinance library.  This needs the timeSeries class and I am not sure if it can be done without further tinkering.  I think the fSeries class timeSeries is compatible ? Or simillar to the splus class. Or use Eric Zivot's splus hfanalysis code in R after some munging perhaps!


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-----Original Message-----
From: "Bret Shroyer" <bshroyer at rehbeinsolutions.com>
Date: Wed, 19 Jul 2006 15:06:32 
To:<r-sig-finance at stat.math.ethz.ch>
Subject: [R-sig-Finance] Convert tick data to OHLC

I have tick data that I'd like to convert to OHLC data at various
arbitrary timeframes - 1 minute, 5 minutes, one hour, etc.  I've
searched "R site search" and looked into RMetrics and the closest I
found was the not-yet-released fTickdata package.
 
I don't think it would be challenging to write this routine myself, but
I have to believe I'm not the first to attempt this, and the solution is
out there somewhere.  
 
Can anyone help point me in the right direction, or give me some better
search words?
 
Thanks,
 
Bret Shroyer

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