Dear R-help, Please direct answers to this question to the R-sig-finance list copy of this question (http://stat.ethz.ch/pipermail/r-sig-finance/2012q2/010209.html)
Thank you, Garrett On Sat, May 12, 2012 at 4:39 AM, Jim Green <student.northwest...@gmail.com> wrote: > 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. > > ______________________________________________ > 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.
