[R-SIG-Finance] Question on Capturing Open, High, Low, Close, with a timestamp

[Mark McClellan]

Dan,

I have a Java app (on github) that grabs the intra-day data (1 min bars)
and stores it in mongodb. Let me know if you want to take a look.

Mark

On Sun, Sep 25, 2016, 9:26 PM Brian G. Peterson <brian at braverock.com> wrote:

> On 09/24/2016 10:49 AM, Daniel Mack wrote:
> > Hello,  I looking for a function that would automatically list the
> timestamp of the OHLC data.   The open and close are obvious but the format
> I am looking would be some like
> >
> > 2016-09-23    AAPL    114.52  09:30:00        114.58  09:31:00
> 111.90  13:58:00        112.22  16:00:00
> >
> > I have seen a the regular inclusion of time stamp meta data, and that
> would require the downloading and sorting of all intraday data and then
> taking the max and min of the data.  I am hoping not to have to due this to
> sane on data transfer time and additional processing. This takes more time
> than the analysis does.
> >
> > I currently use the getSymbols from quant mod
>
> There is no standardized format for what you're asking for.
>
> OHLC data loses the time of the High and Low stamps.  That has always
> been true, in every format, and from every provider.
>
> If you want higher granularity, you need to start from tick data and
> aggregate from there, which xts/quantmod provide multiple tools for
> doing. See ?to.period
>
> Regards,
>
> Brian
>
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
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-- 

Mark McClellan
251.391.3739

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