[R-SIG-Finance] general zoo tutorial available?

[Gabor Grothendieck]

On Wed, Dec 23, 2009 at 7:50 PM, Stephen J. Barr <stephenjbarr at gmail.com> wrote:
> Hello,
>
> I am working on a dataset of some intraday data. I haven't used R for this
> too much, so I have a few general questions.
>
> 1) What is the best way to structure the data? The CSV is from WRDS, ordered
> by symbol and then by datetime. Should I dump this into 1 zoo object, or
> have one zoo object per symbol?

read.zoo can read such files creating a multivariate time series.
Note the aggregate argument.

>
> 2) The questions I would initially like to look at are:
> for a given [minute, 2 minute interval, hour, etc], what was the total
> volume, average volume, average price, etc. What is a good reference for
> learning how to do these kinds of things?

See the aggregation examples in the zoo-quickref vignette (and the
other two vignettes).

The xts package may also be of interest.

>
> 3) What is the best way to plot these time series?
>

See ?plot.zoo and and ?xyplot.zoo

The quantmod package may also be of interest.

> Thanks,
> -stephen
>
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