[R-SIG-Finance] How do I bin data into 5 min bins and compute the medians in the bins?

[G See]

Michael comtech,

You might also consider reading one of the 2 e-mails that Brian sent
you on-list in the last month that say to look at
?strftime

For example ... the second example on that page
format(Sys.time(), "%H:%M:%OS3")


On Thu, Jan 19, 2012 at 1:01 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com> wrote:
> You should lead with what you have tried, it lets everyone have a
> better idea of what you are looking for.
>
> That said, the .082225 is perfectly acceptable to xts, though
> precision-wise you are near the limit of floating point precision on
> many platforms.  The previous post in this thread is on target to what
> you want.
>
> Take a good look at ?endpoints and to a lesser extend ?period.apply.
>
> HTH
> Jeff
>
> On Thu, Jan 19, 2012 at 12:54 PM, Michael <comtech.usa at gmail.com> wrote:
>> I have also searched "crazily"... and read into both "xts" and "zoo"... but
>> couldn't find a solution...
>>
>> My questions are:
>>
>> 1. How to handle the ".082225" part in "xts" and "zoo"?
>>
>> 2. The "xts/zoo" interval arithmatic only handles OHLC of an interval, not
>> median of an interval, right?
>>
>> Thanks a lot!
>>
>> On Thu, Jan 19, 2012 at 12:51 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com>wrote:
>>
>>> Use a time series class.  This has all been solved thousands of times
>>> before in private and on the lists.
>>>
>>> Jeff
>>>
>>> On Thu, Jan 19, 2012 at 12:43 PM, Michael <comtech.usa at gmail.com> wrote:
>>> > Hi all,
>>> >
>>> > I have data in the following format:
>>> >
>>> > How do I bucket the data into 5 min bins and then compute the median of
>>> > quotes in the bins?
>>> >
>>> > Currently the "DateTimeStamps" are "factors" in the data frame and I
>>> > ordered the rows according to these DateTimeStamps
>>> >
>>> > Thanks a lot!
>>> >
>>> > Bid           Offer      DateTimeStamps
>>> >
>>> > 46.00       46.10     2006-06-16 12:12:00.082225
>>> >
>>> >        [[alternative HTML version deleted]]
>>> >
>>> > _______________________________________________
>>> > R-SIG-Finance at r-project.org mailing list
>>> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> > -- Subscriber-posting only. If you want to post, subscribe first.
>>> > -- Also note that this is not the r-help list where general R questions
>>> should go.
>>>
>>>
>>>
>>> --
>>> Jeffrey Ryan
>>> jeffrey.ryan at lemnica.com
>>>
>>> www.lemnica.com
>>> www.esotericR.com <http://www.esotericr.com/>
>>>
>>
>>        [[alternative HTML version deleted]]
>>
>> _______________________________________________
>> R-SIG-Finance at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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>
>
>
> --
> Jeffrey Ryan
> jeffrey.ryan at lemnica.com
>
> www.lemnica.com
> www.esotericR.com
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.