Convert tick data to OHLC
The only "open, high, low, close" functions I found were
plotOHLC{tseries} and ohlcPlot{fMultivar}. I too would be surprised if
you were the first to attempt this. However, if anyone has contributed
any such thing to CRAN, it is sufficiently well hidden that neither of
us could find it.
If I had a need for such right now, I likely would write my own
function.
Sorry I couldn't be more helpful.
Spencer Graves
Bret Shroyer wrote:
I have tick data that I'd like to convert to OHLC data at various arbitrary timeframes - 1 minute, 5 minutes, one hour, etc. I've searched "R site search" and looked into RMetrics and the closest I found was the not-yet-released fTickdata package. I don't think it would be challenging to write this routine myself, but I have to believe I'm not the first to attempt this, and the solution is out there somewhere. Can anyone help point me in the right direction, or give me some better search words? Thanks, Bret Shroyer [[alternative HTML version deleted]]
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