
hi Garrett,

Thanks for your response.

it did work.

Best,
Bobby

> Date: Mon, 16 Jan 2012 13:06:56 -0600
> Subject: Re: [R-SIG-Finance] OHLC and volume data analysis using quantmod
> From: gsee000@gmail.com
> To: fin_engr@hotmail.com
> CC: r-sig-finance@r-project.org
> 
> If you apply to.minutes3 to an object that has volume, the volume will
> be summed for you.
> 
> I think the following should work for you, although I didn't test your
> specific example:
> 
> z <- xts(y[, 2:3], y[, 1])
> to.minutes3(z, OHLC=TRUE)
> 
> HTH,
> Garrett
> 
> On Mon, Jan 16, 2012 at 11:50 AM, financial engineer
> <fin_engr@hotmail.com> wrote:
> >
> >
> > hi,
> >
> > I have a time series of tick data and I am trying to get the aggregate volume for every 3-minutes for the tick data that I have converted into OHLC format (so I can use some of the nice functionalities of quantmod for my analysis).
> >
> > I have written the following code, but do
> >  not know how to get the aggregate volume for the 3-minutes in that OHLC for some
> > volume analysis (so I can use aggregate(Vo(x)) etc.).
> >
> > library(tseries)
> > library(xts)
> > library(quantmod)
> >
> >
> > x = read.table("tick.dat", header = FALSE, sep="\t", skip=0)
> > x
> >             V1    V2               V3    V4    V5    V6       V7 V8  V9
> > 11107  U10 2010-07-01  1      1453 9160 TRUE  N  N   2
> > 11108  U10 2010-07-01  1      1453 9160 TRUE  N  N   1
> > 11109  U10 2010-07-01  1      1454 9155 TRUE  N  N   4
> > 11110  U10 2010-07-01  1      1455 9155 TRUE  N  N   3
> > 11111  U10 2010-07-01  1      1455 9155 TRUE  N  N   1
> >
> > dt<-sprintf("%s %04d",x$V2,x$V4)
> > dt<-as.POSIXlt(dt,format="%Y-%m-%d %H%M")
> >
> > y <- data.frame(dt,x$V5,x$V9)
> > colnames(y) <- c("Date","Price","Volume")
> > str(y)
> >
> > z <- xts(y[,2], y[,1])
> >
> > tickmin <- to.minutes3(z, OHLC=TRUE)
> >
> > Can anyone please suggest how I get the aggregate volume by 3-minutes into my OHLC series.
> >
> >
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> >
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