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

[Noah Silverman]

Hi,

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?

Thanks!


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