Hi,
I have a long series of hourly bars. They are not aligned on the exact hour. I used xts to convert actual tick data to hourly bars.
I want to access the first trade of each day. Is there an easy way to do this?
Furthermore, what if I want to find the first trade that occurred after 6:30am each day? (Or any other arbitrary time each day?)
Here are a few rows of data:
finalData[4880:4890,]
ds.Open ds.High ds.Low ds.Close ret
2008-02-27 02:59:47 1461.75 1477.75 1457.25 1465.25 0.002220515
2008-02-27 03:59:32 1467.25 1474.25 1425.75 1443.25 -0.015128361
2008-02-27 04:59:30 1442.75 1477.25 1410.00 1431.25 -0.008349327
2008-02-27 05:59:59 1434.00 1438.75 1366.75 1366.75 -0.046112530
2008-02-27 09:59:59 1378.25 1439.25 1378.25 1428.00 0.043839205
2008-02-27 10:59:58 1427.75 1636.75 1395.50 1591.00 0.108087885
2008-02-27 11:59:59 1591.00 1592.25 1505.75 1551.25 -0.025301692
2008-02-27 12:59:58 1550.50 1562.25 1495.75 1525.00 -0.017066647
2008-02-27 13:14:59 1524.75 1584.25 1521.75 1545.50 0.013353073
2008-02-27 18:59:56 1545.50 1560.25 1518.25 1551.00 0.003552402
2008-02-27 19:59:53 1549.50 1549.50 1523.50 1524.00 -0.017561427
Thanks!
--
Noah Silverman
UCLA Department of Statistics
8117 Math Sciences Building
Los Angeles, CA 90095
Find first trade of day in xts object
6 messages · Noah Silverman, Ulrich Staudinger, G See +1 more
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