Greetings!
I am using quantstrat and xts to do some intraday work and come up
with this problem. the xts object temp in the following example is
attached as and rda file.
> head(temp)
A.Open A.High A.Low A.Close A.Volume
2012-02-01 08:29:00 42.47 43.76 41.410 43.76 2071
2012-02-01 09:30:00 43.38 43.38 42.970 43.15 40300
2012-02-01 09:31:00 43.14 43.28 43.130 43.28 14990
2012-02-01 09:32:00 43.27 43.37 43.270 43.37 3300
2012-02-01 09:33:00 43.37 43.50 43.370 43.48 3056
2012-02-01 09:34:00 43.49 43.50 43.396 43.44 10968
> tail(temp)
A.Open A.High A.Low A.Close A.Volume
2012-03-27 16:07:00 45.6650 45.6650 45.6650 45.6650 170
2012-03-27 16:08:00 45.6710 45.6710 45.6710 45.6710 474
2012-03-27 16:10:00 45.9131 45.9131 45.9131 45.9131 1800
2012-03-27 16:13:00 45.6952 45.6952 45.6952 45.6952 300
2012-03-27 16:15:00 45.9368 45.9368 45.9368 45.9368 791
2012-03-27 16:21:00 45.7000 45.7000 45.7000 45.7000 22000
I would like to calculate moving averages of minute volume for
specific minute and merge with the original minute ohlc data.
take 09:40:00 for example, calculate the average previous 10 days
volume between 09:39:00 to 09:40:00 and merge with exiting data.
ultimately I want to get an xts object with columns
Open High Low Close Volume Average.Volume.at.current.interval
2012-03-27 16:07:00 45.6650 45.6650 45.6650 45.6650 170 177
2012-03-27 16:08:00 45.6710 45.6710 45.6710 45.6710 474 500
...
...
..
2012-03-27 16:21:00 45.7000 45.7000 45.7000 45.7000 22000 1000
any pointers are appreciated!
Jim.
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