Firstly, don't cross-post. Second, take a look at the archives on both these lists for answers to your questions.
'its' is rather old, and not where you want to be looking. Take a look at xts for fast time-series manipulation like you need, specifically to.period, endpoints, and align.time. There is a wealth of documentation in the package, in the vignette, and even online in more than a few places, but you can start here: http://cran.r-project.org/web/packages/xts/vignettes/xts.pdf http://www.quantmod.com/examples/data/ Also zoo for na.locf etc. Additional options include the fts package and timeSeries. HTH Jeff On Mon, Feb 22, 2010 at 2:52 PM, Ivan Kalafatic <ivan.kalafa...@gmail.com> wrote: > Hello, > I have a series of intraday (high-frequency) price data in the form of POSIX > timestamp followed by the value. > I sucesfuly loaded that into "its" package object. I would like to create > from it a regularly spaced time series of prices (for example 1min, 5min, > etc apart) so i could calcualte returns. > There is an interpolation function locf() that for timestamp with value NA > uses last known observation. > I guess the idea would be to start from the begining of my series and, for > example, if there is no timestamp for t+5min add that time with value NA. > Than I could use locf() function to fill those NAs. Finaly I should extract > from that series, series with 5min spaced timestamps with prices. > Appart from applying locf() function, I have no idea how to add NAs into > original series or extract the regular series after. > Can someone help me with this? > Thank you. > > [[alternative HTML version deleted]] > > _______________________________________________ > r-sig-fina...@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > -- Jeffrey Ryan jeffrey.r...@insightalgo.com ia: insight algorithmics www.insightalgo.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.
