[R-SIG-Finance] Mean of ticks within a bar??

Noah Silverman noahsilverman at ucla.edu
Tue Aug 2 19:11:19 CEST 2011


I'm looking at the functionality of XTS for converting a series of ticks to a bar  (1 minute, 5 minutes, 15 minutes, etc.)

Once feature that doesn't appear to be present is the mean of the values within a bar.  While the OHLC values are very useful, there is need for the mean across all the ticks within that bar.

Does anybody have any suggestions on how to accomplish this easily?


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

More information about the R-SIG-Finance mailing list