[R-SIG-Finance] quantmod and intraday time periods

[Brian G. Peterson]

Tom H wrote:
> On Thu, 2009-05-07 at 22:54 -0500, Joshua Ulrich wrote:
>   
>> Tom,
>>
>> It would really help if you were more specific about which of the 150+
>> functions in quantmod do not seem to support intraday data.
>>     
>
> Ah, apologies for being vague and also a newbie.
>
> I guess my point was that I don't seem to be able to specify a time
> period, so the open, high, low etc, have to be of a default time period
> - which I am probably wrong in guessing is a day.
>   
Tom,

Per the posting guide and Josh's request, could you provide a little 
example code on what you're trying to do that you can't figure out how 
to make work with intraday data?  Your follow up post was not much less 
vague. 

In general, most/all things in quantmod should work for intraday regular 
time series data and even tick data.  quantmod sits on top of xts and 
the to.period functionality in xts, so irregular tick data would 
typically be turned into some regular series (15 sec, 1 min, 10 min, 
etc.) OHLC data using to.period. Then you could apply anything else you 
needed from quantmod.

If you provide some example code of what you're trying to do, someone 
here can probably sort it out pretty quickly.

Regards,

     - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock