[R-SIG-Finance] Aggregating tick-by-tick data to seconds

[Jeff Ryan]

?period.sum

HTH 
Jeff

Jeffrey Ryan    |    Founder    |    jeffrey.ryan at lemnica.com

www.lemnica.com

On Sep 15, 2012, at 10:57 AM, Costas Vorlow <costas.vorlow at gmail.com> wrote:

> Hello,
> 
> I have the following data (xts) (last two columns refer to up and down
> volumes).
> 
>> head(test,20)
>                      [,1] [,2] [,3]
> 2012-09-12 16:30:00 144.39  300    0
> 2012-09-12 16:30:00 144.39  500    0
> 2012-09-12 16:30:00 144.39  300    0
> 2012-09-12 16:30:00 144.39  400    0
> 2012-09-12 16:30:00 144.39  300    0
> 2012-09-12 16:30:00 144.39  300    0
> 2012-09-12 16:30:00 144.39  100    0
> 2012-09-12 16:30:00 144.39  900    0
> 2012-09-12 16:30:00 144.39  200    0
> 2012-09-12 16:30:00 144.39  103    0
> 2012-09-12 16:30:00 144.39  197    0
> 2012-09-12 16:30:00 144.39  200    0
> 2012-09-12 16:30:00 144.39  500    0
> 2012-09-12 16:30:00 144.39  400    0
> 2012-09-12 16:30:00 144.39  100    0
> 2012-09-12 16:30:00 144.39  500    0
> 2012-09-12 16:30:00 144.39  300    0
> 2012-09-12 16:30:00 144.39  200    0
> 2012-09-12 16:30:00 144.39  103    0
> 2012-09-12 16:30:00 144.38    0  100
> 
> 
> I can use the to.period to aggregate the above data to seconds
> 
>                    test.Open test.High test.Low test.Close
> 2012-09-12 16:30:00    144.39    144.47   144.37     144.38
> 2012-09-12 16:31:00    144.39    144.40   144.33     144.37
> 2012-09-12 16:32:00    144.37    144.45   144.37     144.45
> 2012-09-12 16:33:00    144.45    144.47   144.42     144.47
> 
> 
> but I am not sure how to do this for the volume columns. I would need to
> retrieve the volume sums per second.
> 
> Is this functionality built into the xts package? Is there any other
> function that could be used to do something like that?
> 
> Thanks & best regards,
> Costas
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