[R-SIG-Finance] Volume stats and 5 minute bars

Noah Silverman noahsilverman at ucla.edu
Thu Jun 16 21:08:34 CEST 2011


I have some raw tick data. (Individual trades with 1 second resolution.)

I'd like to convert them to 5 minute bars - that is easy enough with the xts package.  

However, I'd also like to generate some other summary statistics for each 5 minute bar.  total volume, tick count, up ticks, down ticks, etc.

Any suggestions on an easy way to do this?


Noah Silverman
UCLA Department of Statistics
8117 Math Sciences Building
Los Angeles, CA 90095

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