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.northwestern at 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.
>
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