Aggregating tick-by-tick data to seconds
?period.sum HTH Jeff Jeffrey Ryan | Founder | jeffrey.ryan at lemnica.com www.lemnica.com
On Sep 15, 2012, at 10:57 AM, Costas Vorlow <costas.vorlow at gmail.com> wrote:
Hello, I have the following data (xts) (last two columns refer to up and down volumes).
head(test,20)
[,1] [,2] [,3]
2012-09-12 16:30:00 144.39 300 0
2012-09-12 16:30:00 144.39 500 0
2012-09-12 16:30:00 144.39 300 0
2012-09-12 16:30:00 144.39 400 0
2012-09-12 16:30:00 144.39 300 0
2012-09-12 16:30:00 144.39 300 0
2012-09-12 16:30:00 144.39 100 0
2012-09-12 16:30:00 144.39 900 0
2012-09-12 16:30:00 144.39 200 0
2012-09-12 16:30:00 144.39 103 0
2012-09-12 16:30:00 144.39 197 0
2012-09-12 16:30:00 144.39 200 0
2012-09-12 16:30:00 144.39 500 0
2012-09-12 16:30:00 144.39 400 0
2012-09-12 16:30:00 144.39 100 0
2012-09-12 16:30:00 144.39 500 0
2012-09-12 16:30:00 144.39 300 0
2012-09-12 16:30:00 144.39 200 0
2012-09-12 16:30:00 144.39 103 0
2012-09-12 16:30:00 144.38 0 100
I can use the to.period to aggregate the above data to seconds
test.Open test.High test.Low test.Close
2012-09-12 16:30:00 144.39 144.47 144.37 144.38
2012-09-12 16:31:00 144.39 144.40 144.33 144.37
2012-09-12 16:32:00 144.37 144.45 144.37 144.45
2012-09-12 16:33:00 144.45 144.47 144.42 144.47
but I am not sure how to do this for the volume columns. I would need to
retrieve the volume sums per second.
Is this functionality built into the xts package? Is there any other
function that could be used to do something like that?
Thanks & best regards,
Costas
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