Message-ID: <57E886DE.8020802@braverock.com>
Date: 2016-09-26T02:24:30Z
From: Brian G. Peterson
Subject: Question on Capturing Open, High, Low, Close, with a timestamp
In-Reply-To: <F51065C7-B1D0-44CC-B8EE-D01DE9F7D5FF@verizon.net>
On 09/24/2016 10:49 AM, Daniel Mack wrote:
> Hello, I looking for a function that would automatically list the timestamp of the OHLC data. The open and close are obvious but the format I am looking would be some like
>
> 2016-09-23 AAPL 114.52 09:30:00 114.58 09:31:00 111.90 13:58:00 112.22 16:00:00
>
> I have seen a the regular inclusion of time stamp meta data, and that would require the downloading and sorting of all intraday data and then taking the max and min of the data. I am hoping not to have to due this to sane on data transfer time and additional processing. This takes more time than the analysis does.
>
> I currently use the getSymbols from quant mod
There is no standardized format for what you're asking for.
OHLC data loses the time of the High and Low stamps. That has always
been true, in every format, and from every provider.
If you want higher granularity, you need to start from tick data and
aggregate from there, which xts/quantmod provide multiple tools for
doing. See ?to.period
Regards,
Brian
--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock