Align 5 minute bars
Jeff, If I understand the documentation correctly, align.time just shifts the time stamps of the existing bars. That sounds dangerous as the individual ticks aren't moving. For example, if a bar is currently set at: 18:39.46 We have a transaction at 18:39:48 As it stands, that transaction is in the *next* bar that would start at 18:39.47 If I use align.time, it will shift the bar to 18:40 BUT since we already have the OHLC summary, what happens to that transaction? -- Noah Silverman UCLA Department of Statistics 8117 Math Sciences Building Los Angeles, CA 90095
On Jun 16, 2011, at 12:40 PM, Jeff Ryan wrote:
Look at align.time. Bars are stamped to the last obs in the period in to.period. HTH Jeff Jeffrey Ryan | Founder | jeffrey.ryan at lemnica.com www.lemnica.com On Jun 16, 2011, at 2:25 PM, Noah Silverman <noahsilverman at ucla.edu> wrote:
And another question...
When I use the xts function to.minutes5(), I get a nice OHLC summary, BUT the time stamps are "messy". Since my first and/or last ticks are not exactly on the minute, every 5 minute bar is now on some mid-minute frequency.
Example:
to.minutes5(ds, indexAt="endof")
ds.Open ds.High ds.Low ds.Close ds.Volume
2007-01-01 18:34:44 882.50 883.75 880.50 880.50 83
2007-01-01 18:39:46 880.75 881.00 880.00 880.50 18
2007-01-01 18:44:52 880.25 880.25 879.50 880.00 25
2007-01-01 18:49:03 880.25 881.75 880.25 881.50 83
2007-01-01 18:52:11 881.50 881.50 881.50 881.50 9
Ideally, I'd love to have my bars aligned with round minute numbers. i.e.
18:30
18:35
18:40
etc...
Any suggestions?
--
Noah Silverman
UCLA Department of Statistics
8117 Math Sciences Building
Los Angeles, CA 90095
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