[R-SIG-Finance] Align 5 minute bars

[Brian G. Peterson]

Your trade would have been *in* the bar.

typically, you'd use something of the type:

align.time(to.period(x,...)...) 

to first aggregate your trades into bars, and *then* align the bars.
This doesn't create any look-ahead bias.

  - Brian

On Thu, 2011-06-16 at 13:29 -0700, Noah Silverman wrote:
> 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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> 
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-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock