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

Spencer Graves spencer.graves at pdf.com
Mon Jul 24 00:32:36 CEST 2006

	  The only "open, high, low, close" functions I found were 
plotOHLC{tseries} and ohlcPlot{fMultivar}.  I too would be surprised if 
you were the first to attempt this.  However, if anyone has contributed 
any such thing to CRAN, it is sufficiently well hidden that neither of 
us could find it.

	  If I had a need for such right now, I likely would write my own 

	  Sorry I couldn't be more helpful.
	  Spencer Graves

Bret Shroyer wrote:
> 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
> 	[[alternative HTML version deleted]]
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