[R-SIG-Finance] [R-sig-finance] Aggregating tick by tick timeSeries [NC]

[Jeff Ryan]

Anass,

I suspect you will have to write it yourself - as I haven't seen a
general implementation of that myself.  If you go that route it would
be great if you could share your efforts with the list.

Jeff

On Wed, Mar 5, 2008 at 9:29 AM,  <anass.mouhsine at sgcib.com> wrote:
> Thank you Jeff,
>
>
>  my aim was to calculate standard statistics + volume weighted prices and
>  spreads.
>
>
>  I will try out the xts package, but I am wondering if it can aggregate
>  Multivariate timeSeries (e.g, (spread, volume) or (price,volume)).
>
>
>  thanks again
>
>
>  |------------------------------
>  |            jeff.a.ryan at gmail
>  |            .com
>  |
>  |            03/05/2008 16:21
>  |
>
>
>                                                                         To
>                                                Anass
>                                                MOUHSINE/fr/socgen at socgen
>                                                                         cc
>                                                r-sig-finance at stat.math.eth
>                                                z.ch
>                                                                    Subject
>                                                Re: [R-SIG-Finance]
>                                                [R-sig-finance] Aggregating
>                                                tick by tick timeSeries
>                                                [C1]
>
>
>
>
>
>
>
>
>
>
>  Anass,
>
>  If you want the mean/sd/etc for each hour ?aggregate from zoo will do
>  the job very well. To get there from timeSeries you can use the new
>  'xts' package:
>
>  myTS [a timeSeries object]
>
>  as.xts(myTS) [ now an 'xts' object - which inherits from zoo]
>
>  --or--
>
>  as.zoo(myTS)
>
>  you can even put it back to a timeSeries with little information loss
>  if you use xts via 'reclass' (changing the series outside of xts
>  functions currently isn't perfect - but it is good)
>
>  If you want to just aggregate the data into OHLC per time period -
>  to.period in xts is fast and flexible:
>
>  to.period(myTS,'minutes',15)
>  to.period(myTS,'hours')
>  to.monthly(myTS)
>
>  All these work by converting and reconverting to an 'xts' class
>  internally - so most any (including timeSeries) class will just work
>  with the function.  In addition it is all compiled code - so it works
>  well.
>
>  One caveat - you'll need to get the most recent xts from
>  http://r-forge.r-project.org/projects/xts - as there was a minor bug
>  in the transition of 'to.period' code from quantmod to xts.
>
>  Jeff
>
>  On Wed, Mar 5, 2008 at 8:21 AM,  <anass.mouhsine at sgcib.com> wrote:
>  >
>  >  Hi guys,
>  >
>  >
>  >  I have a timeSeries object like this one
>  >                         V10
>  >  2005-04-08 17:31:41 0.01
>  >  2005-04-08 17:31:57 0.02
>  >  2005-04-08 17:32:00 0.02
>  >  2005-04-08 17:32:57 0.02
>  >  2005-04-08 17:38:34 0.02
>  >  2005-04-08 17:38:49 0.01
>  >
>  >  and I would like to aggregate the timeSeries in hours or minutes in
>  order
>  >  to apply whatever function on the aggregated data (e.g mean, standard
>  dev,
>  >  etc...)
>  >  I have seen some aggreagation functions like aggregate in the fSeries
>  >  package but it aggregates only monthly or quaterly.
>  >  I am sure some of you guys were faced to this kind of issue.
>  >
>  >  Could anyone give me some hints on how to solve my problem?
>  >
>  >  thanks in advance
>  >
>  >  Anass
>  >
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-- 
There's a way to do it better - find it.
Thomas A. Edison