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

[Gabor Grothendieck]

If you are referring to rolling statistics then see ?rollapply in the
zoo package
and note the by.column argument.

On Wed, Mar 5, 2008 at 10:29 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
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