[R-SIG-Finance] moving averages on specific interval and merge

[G See]

Hi Jim,

We prefer if you share with us what you tried and what you've done to
attempt to solve the problem yourself.  Anyway here's one way to
start.

library(quantmod) # for the Vo function as well as xts and zoo
load("~/Downloads/a.rda")
CalcMinuteVolume <- function(x) {
    # This function will calculate the average of the volume for a given minute
    #of every day
    mvolm <- aggregate(Vo(x), format(index(x), "%H:%M"), mean)
    xts(coredata(mvolm), as.POSIXct(paste(as.Date(end(x)), index(mvolm)),
        format="%Y-%m-%d %H:%M"))
}
dtemp <- to.daily(temp)
index(dtemp) <- as.Date(index(dtemp)) # in case you have an old version of xts
# make strings to use to subset the data by 10 day periods
subsets <- rollapplyr(index(dtemp), 10, function(x)
                        paste0(first(x), "/", last(x)))
out <- lapply(subsets, function(ss) {
    CalcMinuteVolume(temp[ss])
})
names(out) <- index(dtemp)[-c(1:9)] # days 1:9 were burned to calculate 1st mean
# Now you have a list of days. e.g.
out[["2012-02-15"]]
# Now merge
temp$Average.Volume.at.current.interval <- do.call(rbind, out)
temp
########################################

Things to consider:
- You almost certainly want to throw a lag in there.
- You have a different number of rows for different days.

Also, see ?agrregate.zoo or ?tapply, ?rollapply, ?period.apply, and ?do.call

HTH,
Garrett


On Thu, May 10, 2012 at 8:11 PM, Jim Green
<student.northwestern at gmail.com> wrote:
> Greetings!
>
> I am using quantstrat and xts to do some intraday work and come up
> with this problem. the xts object temp in the following example is
> attached as and rda file.
>
>> head(temp)
>                    A.Open A.High  A.Low A.Close A.Volume
> 2012-02-01 08:29:00  42.47  43.76 41.410   43.76     2071
> 2012-02-01 09:30:00  43.38  43.38 42.970   43.15    40300
> 2012-02-01 09:31:00  43.14  43.28 43.130   43.28    14990
> 2012-02-01 09:32:00  43.27  43.37 43.270   43.37     3300
> 2012-02-01 09:33:00  43.37  43.50 43.370   43.48     3056
> 2012-02-01 09:34:00  43.49  43.50 43.396   43.44    10968
>
>> tail(temp)
>                     A.Open  A.High   A.Low A.Close A.Volume
> 2012-03-27 16:07:00 45.6650 45.6650 45.6650 45.6650      170
> 2012-03-27 16:08:00 45.6710 45.6710 45.6710 45.6710      474
> 2012-03-27 16:10:00 45.9131 45.9131 45.9131 45.9131     1800
> 2012-03-27 16:13:00 45.6952 45.6952 45.6952 45.6952      300
> 2012-03-27 16:15:00 45.9368 45.9368 45.9368 45.9368      791
> 2012-03-27 16:21:00 45.7000 45.7000 45.7000 45.7000    22000
>
>
> I would like to calculate moving averages of minute volume for
> specific interval and merge with the original minute ohlc data.
>
> take 09:40:00 for example, calculate the average previous 10 days
> volume between 09:39:00 to 09:40:00 and merge with exiting data.
>
> ultimately I want to get an xts object with columns
>
> Open   High   Low   Close   Volume   Average.Volume.at.current.interval
> 2012-03-27 16:07:00 45.6650 45.6650 45.6650 45.6650      170   177
> 2012-03-27 16:08:00 45.6710 45.6710 45.6710 45.6710      474  500
> ...
> ...
> ..
> 2012-03-27 16:21:00 45.7000 45.7000 45.7000 45.7000    22000 1000
>
> any pointers are appreciated!
>
> Jim.
>
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