Discretising intra-day data using zoo?

library(zoo)
print(load(url("http://www.mayin.org/ajayshah/tmp/demo.rda")))
options("digits.secs"=6)
head(demo)
tail(demo)

See the aggregate.zoo example in vignette("zoo-quickref") but round up
to the next 4 seconds instead of next Friday:

to4sec <- function(x) as.POSIXct(4*ceiling(as.numeric(x)/4), origin = "1970-01-01")
aggregate(demo, to4sec, tail, 1)

                    spread    ltp
2009-02-16 05:00:04 0.0050 48.715
2009-02-16 05:00:08 0.0025 48.715
2009-02-16 05:00:12 0.0025 48.715
2009-02-16 05:00:16 0.0025 48.715

Gabor, thanks! I am not as fluent with as.POSIXct() as I should be.

And, to continue with my original question:

Suppose there is not a single record in the raw data from 10:30:04 to
10:30:09. Despite this, the resulting object should contain a record
for 10:30:08 with NA values (which can then be filled out e.g. using
na.locf()). How would we do this? This problem is not present in this
data, where records are plentiful. But discretisation code should be
general and handle this case right.

How would we do this? To illustrate:

  demo2 <- demo[-300:-700,]
  plot(index(demo2), 1:599, type="l")         # we see that 5th to 10th 
                                              # second is zapped out.
  to5sec <- function(x) as.POSIXct(5*ceiling(as.numeric(x)/5), origin = "1970-01-01")


Now :

aggregate(demo, to5sec, tail, 1)

spread    ltp
2009-02-16 05:00:05 0.0050 48.715
2009-02-16 05:00:10 0.0025 48.715
2009-02-16 05:00:15 0.0025 48.715
2009-02-16 05:00:20 0.0025 48.715

aggregate(demo2, to5sec, tail, 1)

spread    ltp
2009-02-16 05:00:05 0.0050 48.715
2009-02-16 05:00:15 0.0025 48.715
2009-02-16 05:00:20 0.0025 48.715  

We should get : 

                    spread    ltp
2009-02-16 05:00:05 0.0050 48.715
2009-02-16 05:00:10 NA     NA
2009-02-16 05:00:15 0.0025 48.715
2009-02-16 05:00:20 0.0025 48.715

Ajay Shah                                      http://www.mayin.org/ajayshah  
ajayshah at mayin.org                             http://ajayshahblog.blogspot.com
<*(:-? - wizard who doesn't know the answer.