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

[Noah Silverman]

Nice,

Thanks!

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

On Jun 16, 2011, at 5:18 PM, Brian G. Peterson wrote:

> 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
> terminology.
> 
>> 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
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>