Message-ID: <1FBDDEBD-B7E1-4322-B2AC-37E4B1C13C62@ucla.edu>
Date: 2011-06-16T19:08:34Z
From: Noah Silverman
Subject: Volume stats and 5 minute bars
Hi,
I have some raw tick data. (Individual trades with 1 second resolution.)
I'd like to convert them to 5 minute bars - that is easy enough with the xts package.
However, I'd also like to generate some other summary statistics for each 5 minute bar. total volume, tick count, up ticks, down ticks, etc.
Any suggestions on an easy way to do this?
Thanks!
--
Noah Silverman
UCLA Department of Statistics
8117 Math Sciences Building
Los Angeles, CA 90095