Hi Chris,
This seems to work on the sample data you provided.
FUN <- function(x) {
x <- xts(as.numeric(x),index(x))
period.apply(x, endpoints(x,"secs"), sum)
}
lapply(split.default(xSym$Size,xSym$Direction), FUN)
Best,
--
Joshua Ulrich | FOSS Trading: www.fosstrading.com
On Sun, Jan 9,
split the data by truncating the time to a second, then process each group.
this will save the subsetting you are doing. also merge the data with direction
and size in the same frame. it looks like you can subset by "buy" to begin
with.
Sent from my iPad
On Jan 9, 2011, at 19:10, rivercode w
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