Aggregating time series to every 30sec
Hi, I have an irregular return time series that looks like below:
head(r.xts)
[,1] 2011-05-05 09:30:04.929 0.3264757 2011-05-05 09:30:14.907 0.0934498 2011-05-05 09:30:19.917 0.8956367 2011-05-05 09:30:35.114 1.6632110 2011-05-05 09:30:45.193 1.1666715 2011-05-05 09:31:12.417 0.2861861 I'd like to sum them for every 30-second bucket such that the output looks like below. The key is that I want to aggregate every 30 seconds by clock time NOT 30 seconds starting from my first observation time stamp. rollapply does not satisfy my objective as it takes number of rows instead. to.period function doesn't seem to let me specify that I want to start at 09:30 and sum returns every 30 seconds. I'm wondering if there's any tool that I can achieve this? 2011-05-05 09:30:00 1.316 2011-05-05 09:30:30 ... 2011-05-05 09:31:00 ... Thank you in advance. Cheers, Robert