[R-SIG-Finance] Time interval logic

[Brian G. Peterson]

Pleaee follow the posting guide and provide a reproducible example, as
it is, you ask others to re-do work that you have already done, greatly
increasing the time to help you finish your project.


On Wed, 2011-11-09 at 21:48 +1100, Manoj wrote:

> Hello,
>     I am working on some tick-data and needed help computing the
> following statistics:

This is not tick data. it is one minute intraday observations.

>      Assume the dataset to be an xts object of Price and Volume as shown below:
> -------
> Time	Prc	Vol	CumVol	Vol-Threshold	Vol_Residual	Time_Elapsed
> 10:01	24.01	20	20			
> 10:02	24.05	200	220			
> 10:03	23.99	120	340	300	40	3
> 10:04	24.02	125	465			
> 10:05	24.01	99	564			
> 10:06	24.02	231	795	300	195	4
> 10:07	23.99	1000	1795	300	895	2

This does not appear to be an xts object, where the index would not be
called 'Time', would contain a date, and would not be labeled at all.

> -------
> 
>       From the above trade data - I am interested in finding out the
> time taken to complete a certain volume threshold. The column in
> question from above data is the "Time_Elapsed" column. I have used 300
> shares as volume threshold in above example. Once the threshold is
> reached, the excess volume for the currently processed trade is
> allocated to next group. In example above - it takes 3 minutes to
> complete 1st volume threshold (20+200+80) leaving behind a residual of
> 40 shares for next group. The second and third volume thresholds are
> completed in 4 minutes and 2 minutes in the example above.
> 
>       What's the optimal way of speeding up the logic above?