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

[R. Michael Weylandt]

On Mon, Sep 24, 2012 at 1:00 PM, Chris de Bleu <blue2bleu at yahoo.fr> wrote:
>
> Ok, let set N = 21, so the last timestamp is "2012-09-01 12:20:00"
>
>> N = 21
>>  s = xts(cbind(1:N, 1:N, 1:N, 1:N), order.by =  seq.POSIXt(ISOdate(2012, 9, 1), by = "min", length = N))
>> colnames(s) = c("Open", "High", "Low", "Close")
>> s
>                     Open High Low Close
> 2012-09-01 12:00:00    1    1   1     1
> 2012-09-01 12:01:00    2    2   2     2
> 2012-09-01 12:02:00    3    3   3     3
> 2012-09-01 12:03:00    4    4   4     4
> 2012-09-01 12:04:00    5    5   5     5
> 2012-09-01 12:05:00    6    6   6     6
> 2012-09-01 12:06:00    7    7   7     7
> 2012-09-01 12:07:00    8    8   8     8
> 2012-09-01 12:08:00    9    9   9     9
> 2012-09-01 12:09:00   10   10  10    10
> 2012-09-01 12:10:00   11   11  11    11
> 2012-09-01 12:11:00   12   12  12    12
> 2012-09-01 12:12:00   13   13  13    13
> 2012-09-01 12:13:00   14   14  14    14
> 2012-09-01 12:14:00   15   15  15    15
> 2012-09-01 12:15:00   16   16  16    16
> 2012-09-01 12:16:00   17   17  17    17
> 2012-09-01 12:17:00   18   18  18    18
> 2012-09-01 12:18:00   19   19  19    19
> 2012-09-01 12:19:00   20   20  20    20
> 2012-09-01 12:20:00   21   21  21    21
>
>> 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
> 2012-09-01 12:20:00     21     21    21      21
>
>> align.time(to.minutes5(s), 5*60)
>                               s.Open s.High s.Low s.Close
> 2012-09-01 12:05:00      1      5     1       5
> 2012-09-01 12:10:00      6     10     6      10
> 2012-09-01 12:15:00     11     15    11      15
> 2012-09-01 12:20:00     16     20    16      20
> 2012-09-01 12:25:00     21     21    21      21
>
> We remark also that there is a lag in the values.
>

Is there a question in this? It's consistent with your earlier
example: aligning with the end of the grouped period.

Michael

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