as a quick follow-on, but on a different subject, how does one convert S-PLUS code in the format that Wolfgang Breymann's  HFfinance 
package is stored (looks like "S V4" format which is in binary...don't ask me i have no experience with S-PLUS, only R) to R? e.g. 

tharte@quantzone:~/downloads/hfFinance-1.0-beta4/.Data$ od -c pCondSum | head -3
0000000  \0   S       V   4   -   M 003  \t  \0  \0  \0   f   u   n   c
0000020   t   i   o   n  \0  \0  \0  \0   - 001  \0  \0 005  \0  \0  \0
0000040   3  \0  \0  \0   m   i   s   s   i   n   g  \0   m   i   s   s


according to 

 http://tolstoy.newcastle.edu.au/R/help/00b/1903.html

at some point Brian Ripley had a package called Rstreams, but this seems to have disappeared from CRAN.

any ideas?

cheers,

thomas.




Message: 1
Date: Sun, 23 Jul 2006 20:22:16 +0000 GMT
From: kriskumar@earthlink.net
Subject: Re: [R-sig-Finance] Convert tick data to OHLC
To: "Bret Shroyer" <bshroyer@rehbeinsolutions.com>,
 r-sig-finance-bounces@stat.math.ethz.ch,
 r-sig-finance@stat.math.ethz.ch
Message-ID:
 
<1616866973-1153686182-cardhu_blackberry.rim.net-255710337-@bwe026-cell00.bisx.prod.on.blackberry>
 
Content-Type: text/plain; charset="Windows-1252"

There are atleast two ways to this use Wolfgang Breyman's HFfinance 
library.  This needs the timeSeries class and I am not sure if it can be 
done without further tinkering.  I think the fSeries class timeSeries is 
compatible ? Or simillar to the splus class. Or use Eric Zivot's splus 
hfanalysis code in R after some munging perhaps!


Sent from my BlackBerry? wireless handheld  

-----Original Message-----
From: "Bret Shroyer" <bshroyer@rehbeinsolutions.com>
Date: Wed, 19 Jul 2006 15:06:32 
To:<r-sig-finance@stat.math.ethz.ch>
Subject: [R-sig-Finance] Convert tick data to OHLC

I have tick data that I'd like to convert to OHLC data at various
arbitrary timeframes - 1 minute, 5 minutes, one hour, etc.  I've
searched "R site search" and looked into RMetrics and the closest I
found was the not-yet-released fTickdata package.
 
I don't think it would be challenging to write this routine myself, but
I have to believe I'm not the first to attempt this, and the solution 
is
out there somewhere.  
 
Can anyone help point me in the right direction, or give me some better
search words?
 
Thanks,
 
Bret Shroyer

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