You can use the to.period family of functions in the xts package for this. For example,
Lines <- "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 08:24:00 0.000000000 2011-11-01 08:24:00 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 0.000000000 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 2011-11-01 16:21:00 0.000000000 2011-11-01 16:30:00 0.004155960 2011-11-02 08:00:00 0.000000000 2011-11-02 11:50:00 0.000000000 2011-11-02 13:38:00 -0.002073009" d <- read.table(con <- textConnection(Lines)) close(con) library(xts) x <- xts(d$V3, as.POSIXct(paste(d$V1, d$V2))) to.minutes3(x) Best, -- Joshua Ulrich | FOSS Trading: www.fosstrading.com R/Finance 2012: Applied Finance with R www.RinFinance.com On Tue, May 8, 2012 at 3:14 AM, oswi3605 <je...@mailinator.com> wrote: > > Hello, > > Im currently writing my bachelor thesis in statistical finance and i have > run into a small problem. I want to evaluate forcasts from my GARCH with > realized intraday volatility. The intraday data is Tick-data over a certain > period. The date column is presented as for example 2011-11-01 09:24:41 for > different points in time. The other column is with the stock prices at that > same time. What I want to do is to recieve the end courses of certain time > intervals. For example i want to know what the closing course if for every > five minute or ten minute interval in the sample. In other words, i want to > transform the tick-data into k-minute-interval data. > > I have been trying to this in the following way: > > The data has been converted to a time serie and look likes: > > 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 08:24:00 0.000000000 > 2011-11-01 08:24:00 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 0.000000000 > 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 > 2011-11-01 16:21:00 0.000000000 > 2011-11-01 16:30:00 0.004155960 > 2011-11-02 08:00:00 0.000000000 > 2011-11-02 11:50:00 0.000000000 > 2011-11-02 13:38:00 -0.002073009 > > and so on for 108 days (this stock is a small cap company, and therefore the > infrequent trading) > I tried one coding option but it did not work even after much modification > of the coding, so i need a new approach. An answer in coding would be much > appreciated. > > -- > View this message in context: > http://r.789695.n4.nabble.com/Divide-tick-data-into-intervalls-tp4616873.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
