[R-SIG-Finance] Align 5 minute bars

[Noah Silverman]

Jeff,

If I understand the documentation correctly, align.time just shifts the time stamps of the existing bars.  That sounds dangerous as the individual ticks aren't moving.

For example, if a bar is currently set at:   18:39.46
We have a transaction at 18:39:48
As it stands, that transaction is in the *next* bar that would start at 18:39.47
If I use align.time, it will shift the bar to 18:40 BUT since we already have the OHLC summary, what happens to that transaction?


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

On Jun 16, 2011, at 12:40 PM, Jeff Ryan wrote:

> Look at align.time. Bars are stamped to the last obs in the period in to.period. 
> 
> HTH
> Jeff
> 
> Jeffrey Ryan    |    Founder    |    jeffrey.ryan at lemnica.com
> 
> www.lemnica.com
> 
> On Jun 16, 2011, at 2:25 PM, Noah Silverman <noahsilverman at ucla.edu> wrote:
> 
>> And another question...
>> 
>> When I use the xts function to.minutes5(), I get a nice OHLC summary, BUT the time stamps are "messy".  Since my first and/or last ticks are not exactly on the minute, every 5 minute bar is now on some mid-minute frequency. 
>> 
>> Example:
>> 
>> to.minutes5(ds, indexAt="endof")
>>                   ds.Open ds.High ds.Low ds.Close ds.Volume
>> 2007-01-01 18:34:44  882.50  883.75 880.50   880.50        83
>> 2007-01-01 18:39:46  880.75  881.00 880.00   880.50        18
>> 2007-01-01 18:44:52  880.25  880.25 879.50   880.00        25
>> 2007-01-01 18:49:03  880.25  881.75 880.25   881.50        83
>> 2007-01-01 18:52:11  881.50  881.50 881.50   881.50         9
>> 
>> 
>> 
>> Ideally, I'd love to have my bars aligned with round minute numbers.  i.e.
>> 18:30
>> 18:35
>> 18:40
>> etc...
>> 
>> Any suggestions?
>> 
>> --
>> Noah Silverman
>> UCLA Department of Statistics
>> 8117 Math Sciences Building
>> Los Angeles, CA 90095
>> 
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