[R-SIG-Finance] [R-sig-finance] Extracting OHLC from trade price series

[Yuri Volchik]

Hi to all members,

I presume my question is to Jeff mostly concerning to.minutes:
I have a xts object with tick data:

mm<-xts(dd[,2:4],new.timestamps)

                             BO   Price        Quantity
2007-01-02 08:13:52 O  18.50000000   5     
2007-01-02 08:15:02 B  18.29999924   3     
2007-01-02 08:15:02 B  18.29999924  10     
2007-01-02 08:46:31 B  18.00000000  10     
2007-01-02 09:01:43 B  17.85000038   1     
2007-01-02 09:04:48 B  17.85000038   9     
2007-01-02 09:19:58 B  17.85000038   1     
2007-01-02 09:38:19 B  17.85000038   1     
2007-01-02 09:54:08 B  17.70000076   5     
2007-01-02 10:07:25 O  17.79999924   5 
...


and trying to convert to 5 min data using 
xx<-to.minutes(mm[,2],5,'minutes')

                    minutes.Open minutes.High minutes.Low minutes.Close
2007-01-02 08:13:52  18.50000000  18.50000000 18.50000000   18.50000000
2007-01-02 08:15:02  18.29999924  18.29999924 18.29999924   18.29999924
2007-01-02 08:46:31  18.00000000  18.00000000 18.00000000   18.00000000
2007-01-02 09:01:43  17.85000038  17.85000038 17.85000038   17.85000038
2007-01-02 09:04:48  17.85000038  17.85000038 17.85000038   17.85000038
2007-01-02 09:19:58  17.85000038  17.85000038 17.85000038   17.85000038
2007-01-02 09:38:19  17.85000038  17.85000038 17.85000038   17.85000038
2007-01-02 09:54:08  17.70000076  17.70000076 17.70000076   17.70000076
2007-01-02 10:07:28  17.79999924  17.79999924 17.79999924   17.79999924
2007-01-02 10:17:22  17.79999924  17.79999924 17.79999924   17.79999924
....

The question is this output correct, is there a way to convert tick data to
a somewhat 'nice' representation with equally spaced time intervals and
using specific method of interpolation for missing data (or just leaving
them as NA). I created such code in R, but i think it is quite slow. 

Thanks




Jeff Ryan wrote:
> 
> Hi,
> 
> The package 'xts' (the function in question previously part of
> 'quantmod') has a nice and fast aggregation function that allows you
> to create OHLC from any univariate series, or from an existing OHLC
> series - called 'to.period'.
> 
> library(quantmod)
> getSymbols("QQQQ")
> 
> to.monthly(QQQQ)  # yields a monthly series from daily data
> 
> The code works equally well for anything from minute bars on up.  It
> should work below that, though I can't promise anything as I haven't
> really tested that recently.  Other functions in the group are
> to.minutes, to.hourly, to to.daily... you get the idea.
> 
> to.period is the function you want to look at.  It calls Fortran - so
> it is very fast on all but gigantic data sets - and then nothing is :)
> 
> 
> 

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