[R-SIG-Finance] help on creating 5 minutes bars

[R. Michael Weylandt]

On Mon, Sep 24, 2012 at 9:57 AM, Chris de Bleu <blue2bleu at yahoo.fr> wrote:
> I would like to convert a 1 minute xts data to 5 minutes bars using "to.minutes5".
>
>> library(xts)
>
>> N = 20
>> s = xts(1:N, order.by =  seq.POSIXt(ISOdate(2012, 9, 1), by = "min", length = N))
>> s
>                     [,1]
> 2012-09-01 12:00:00    1
> 2012-09-01 12:01:00    2
> 2012-09-01 12:02:00    3
> 2012-09-01 12:03:00    4
> 2012-09-01 12:04:00    5
> 2012-09-01 12:05:00    6
> 2012-09-01 12:06:00    7
> 2012-09-01 12:07:00    8
> 2012-09-01 12:08:00    9
> 2012-09-01 12:09:00   10
> 2012-09-01 12:10:00   11
> 2012-09-01 12:11:00   12
> 2012-09-01 12:12:00   13
> 2012-09-01 12:13:00   14
> 2012-09-01 12:14:00   15
> 2012-09-01 12:15:00   16
> 2012-09-01 12:16:00   17
> 2012-09-01 12:17:00   18
> 2012-09-01 12:18:00   19
> 2012-09-01 12:19:00   20
> Warning message:
> timezone of object (GMT) is different than current timezone ().
>> to.minutes5(s)
>                     s.Open s.High s.Low s.Close
> 2012-09-01 12:04:00      1      5     1       5
> 2012-09-01 12:09:00      6     10     6      10
> 2012-09-01 12:14:00     11     15    11      15
> 2012-09-01 12:19:00     16     20    16      20
> Warning message:
> timezone of object (GMT) is different than current timezone ().
>
>
> Why I haven't data at the 5 minutes with these timestamps?

Merely convention: to.period() goes to the _end_ of the unit being
aggregated rather than the beginning. This seems reasonable if you
consider a time stamp as when something can be known. (I.e., if you
marked periods as the beginning, use of  "Hi" and "Lo" would introduce
a small but non-negligible look ahead into the simulation)

Cheers,
Michael

>
> 2012-09-01 12:00:00
> 2012-09-01 12:05:00
> 2012-09-01 12:10:00
> 2012-09-01 12:15:00
>
>
> Thank you,
>         [[alternative HTML version deleted]]
>
>
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