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

[Joshua Ulrich]

On Thu, Jun 16, 2011 at 2:08 PM, Noah Silverman <noahsilverman at ucla.edu> wrote:
> 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?
>
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)) )

> Thanks!
>
>
> --
> Noah Silverman
> UCLA Department of Statistics
> 8117 Math Sciences Building
> Los Angeles, CA 90095
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>

HTH,
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com