Hi everybody, I am sorry that I am kind of spamming this forum, but I have
searched for some input everywhere and cant really find a nice solution for my
problem.
Data looks like:
price
2011-11-01 08:00:00 0.000000000
2011-11-01 08:00:00 0.000000000
2011-11-01 08:02:00 0.000000000
2011-11-01 08:03:00 -0.017033339
2011-11-01 08:13:00 0.000690001
2011-11-01 08:24:00 0.000658411
2011-11-01 08:29:00 0.000000000
2011-11-01 08:29:00 0.000000000
2011-11-01 08:29:00 0.000000000
2011-11-01 08:29:00 0.000000000
2011-11-01 08:29:00 0.002166062
2011-11-01 08:44:00 0.000000000
2011-11-01 08:44:00 -0.002166062
2011-11-01 08:44:00 0.004321374
2011-11-01 10:36:00 0.010618976
2011-11-01 15:59:00 0.002092990
So the price column in fact shows the difference in the price of the equity. It
is about 100 days.
I want to be able to convert this data to regurly spaced intervals, like every
fifth minute the previous tick is returned.
So, for example I want that the new time serie should look like:
price
2011-11-01 08:00:00 0.000000000
2011-11-01 08:05:00 -0.017033339
2011-11-01 08:10:00 -0.017033339
2011-11-01 08:15:00 0.000690001
2011-11-01 08:20:00 0.000000000
2011-11-01 08:25:00 0.000658411
2011-11-01 08:30:00 0.002166062
And so on for the 100 days. And the I want to do this for ten minutes, 30
minutes etc.
Earlier I have tried with aggregatePrice() (in the RTAQ package) combined with
a for() loop. However this didnt work so well.
I assume it exist some easy way to do this? However, as I said, I have searched
for a solution without any luck.
So, what approach should I have? Have any of you done something like this
before?
Thanks in advance Reply With
Quote
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