Dividing tick-data into intervalls

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Le mardi 08 mai 2012 ? 10:44 +0200, osvald wiklander a ?crit :

Hi everybody, I am sorry that I am kind of spamming this forum, but I
have searched for some input everywhere and cant really find a nice
solution for my problem.

Data looks like:

                                   price
2011-11-01 08:00:00  0.000000000
2011-11-01 08:00:00  0.000000000
2011-11-01 08:02:00  0.000000000
2011-11-01 08:03:00 -0.017033339
2011-11-01 08:13:00  0.000690001
2011-11-01 08:24:00  0.000658411
2011-11-01 08:29:00  0.000000000
2011-11-01 08:29:00  0.000000000
2011-11-01 08:29:00  0.000000000
2011-11-01 08:29:00  0.000000000
2011-11-01 08:29:00  0.002166062
2011-11-01 08:44:00  0.000000000
2011-11-01 08:44:00  -0.002166062
2011-11-01 08:44:00  0.004321374
2011-11-01 10:36:00  0.010618976
2011-11-01 15:59:00  0.002092990

So the price column in fact shows the difference in the price of the
equity. It is about 100 days. 

I want to be able to convert this data to regurly spaced intervals,
like every fifth minute the previous tick is returned.

So, for example I want that the new time serie should look like:

                                   price
2011-11-01 08:00:00  0.000000000
2011-11-01 08:05:00 -0.017033339
2011-11-01 08:10:00 -0.017033339
2011-11-01 08:15:00  0.000690001
2011-11-01 08:20:00  0.000000000
2011-11-01 08:25:00  0.000658411
2011-11-01 08:30:00  0.002166062

And so on for the 100 days. And the I want to do this for ten minutes,
30 minutes etc.

Earlier I have tried with aggregatePrice() (in the RTAQ package)
combined with a for() loop. However this didnt work so well. 

I assume it exist some easy way to do this? However, as I said, I have
searched for a solution without any luck.

So, what approach should I have? Have any of you done something like
this before?
I think you should create a zoo object (from package zoo) from your
data, and use aggregate() on it (see ?aggregate.zoo).

My two cents
Are you the oswi who just asked a very similar question?

Regardless, as Josh said, the high-performance way to do this is to
use the specialty C code available through the xts package and the
to.period() functions, specifically to.minutes5

Michael
Le mardi 08 mai 2012 ? 10:44 +0200, osvald wiklander a ?crit :