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moving averages on specific interval and merge

2 messages · Jim Green, G See

#
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.
#
Dear R-help,

Please direct answers to this question to the R-sig-finance list copy
of this question
(http://stat.ethz.ch/pipermail/r-sig-finance/2012q2/010209.html)

Thank you,
Garrett

On Sat, May 12, 2012 at 4:39 AM, Jim Green
<student.northwestern at gmail.com> wrote: