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

Brian G. Peterson brian at braverock.com
Fri Jun 17 02:18:42 CEST 2011

On Thu, 2011-06-16 at 12:08 -0700, Noah Silverman wrote:
> Hi,
> I have some raw tick data. (Individual trades with 1 second resolution.)

1 second trade data is not raw tick data.  Just to be clear on

> I'd like to convert them to 5 minute bars - that is easy enough with the xts package.  

yes, to.period()

> 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.

use aggregate() or one of the apply functions on endpoints() using your
five minute endpoints, cbind that aggregation to your 5 minute bars.

then use align.time on the resulting object to line it up to the next
even minute.

> Any suggestions on an easy way to do this?
> Thanks!
> --
> Noah Silverman
> UCLA Department of Statistics
> 8117 Math Sciences Building
> Los Angeles, CA 90095
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Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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