[R-SIG-Finance] subset section of trading day from RBloomberg bar download

[Tim Meggs]

Hi R finance people,

I have downloaded some 15-min price Bar data across a number of days from
Bloomberg for the March13 FTSE futures. 

library(Rbbg)
conn <- blpConnect()
ftse <- "Z H3 Index"
ftse_Bars <- bar(conn, ftse, "TRADE", "2013-01-04 07:00:00.000", "2013-02-01
20:00:00.000", "15")
ftse_Bars<-as.xts(ftse_Bars)
blpDisconnect(conn)

The data looks like this:

                                           time   open   high    low  close
numEvents volume
2013-01-10T01:00:00.000 2013-01-10T01:00:00.000 6050.5 6050.5 6047.0 6048.0       
12     12
2013-01-10T01:15:00.000 2013-01-10T01:15:00.000 6046.5 6047.5 6046.5 6047.5        
2      2
2013-01-10T01:30:00.000 2013-01-10T01:30:00.000 6046.5 6046.5 6044.5 6045.0       
12     21
2013-01-10T01:45:00.000 2013-01-10T01:45:00.000 6044.5 6045.5 6044.5 6045.5        
6      9
2013-01-10T02:00:00.000 2013-01-10T02:00:00.000 6045.5 6049.0 6045.5 6047.5       
11     13
2013-01-10T02:15:00.000 2013-01-10T02:15:00.000 6053.0 6059.0 6049.0 6058.0       
37     68

I would like to remove those bars that fall outside the hours 07:00 UTC to
15:30 UTC, to leave me with data just from the hours when the cash index is
open.  Given the time column I receive from Bloomberg is in the slightly odd
format format "%Y-%m-%dT%H:%M:%S" with the strange "T" in the middle how can
subset out my desired data?

Any help greatly appreciated.

Thanks
Tim



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