Greetings!
I am using quantstrat and xts to do some intraday work and come up
with this problem. the xts object temp in the following example is
attached as and rda file.
? ? ? ? ? ? ? ? ? A.Open A.High ?A.Low A.Close A.Volume
2012-02-01 08:29:00 ?42.47 ?43.76 41.410 ? 43.76 ? ? 2071
2012-02-01 09:30:00 ?43.38 ?43.38 42.970 ? 43.15 ? ?40300
2012-02-01 09:31:00 ?43.14 ?43.28 43.130 ? 43.28 ? ?14990
2012-02-01 09:32:00 ?43.27 ?43.37 43.270 ? 43.37 ? ? 3300
2012-02-01 09:33:00 ?43.37 ?43.50 43.370 ? 43.48 ? ? 3056
2012-02-01 09:34:00 ?43.49 ?43.50 43.396 ? 43.44 ? ?10968
? ? ? ? ? ? ? ? ? ?A.Open ?A.High ? A.Low A.Close A.Volume
2012-03-27 16:07:00 45.6650 45.6650 45.6650 45.6650 ? ? ?170
2012-03-27 16:08:00 45.6710 45.6710 45.6710 45.6710 ? ? ?474
2012-03-27 16:10:00 45.9131 45.9131 45.9131 45.9131 ? ? 1800
2012-03-27 16:13:00 45.6952 45.6952 45.6952 45.6952 ? ? ?300
2012-03-27 16:15:00 45.9368 45.9368 45.9368 45.9368 ? ? ?791
2012-03-27 16:21:00 45.7000 45.7000 45.7000 45.7000 ? ?22000
I would like to calculate moving averages of minute volume for
specific minute and merge with the original minute ohlc data.
take 09:40:00 for example, calculate the average previous 10 days
volume between 09:39:00 to 09:40:00 and merge with exiting data.
ultimately I want to get an xts object with columns
Open ? High ? Low ? Close ? Volume ? Average.Volume.at.current.interval
2012-03-27 16:07:00 45.6650 45.6650 45.6650 45.6650 ? ? ?170 ? 177
2012-03-27 16:08:00 45.6710 45.6710 45.6710 45.6710 ? ? ?474 ?500
...
...
..
2012-03-27 16:21:00 45.7000 45.7000 45.7000 45.7000 ? ?22000 1000
any pointers are appreciated!
Jim.