[R-SIG-Finance] Volume stats and 5 minute bars
josh.m.ulrich at gmail.com
Thu Jun 16 22:08:22 CEST 2011
On Thu, Jun 16, 2011 at 2:08 PM, Noah Silverman <noahsilverman at ucla.edu> wrote:
> 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?
Look at the source for apply.daily and write an analogous
apply.minutely function (with an arg to specify the number of
minutes). Or just use period.apply:
R> period.apply(x, endpoints(x, "minutes", 5), function(y) c(mean(y), sd(y)) )
> Noah Silverman
> UCLA Department of Statistics
> 8117 Math Sciences Building
> Los Angeles, CA 90095
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Joshua Ulrich | FOSS Trading: www.fosstrading.com
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