Displaying 1 result from an estimated 1 matches for "aggregateprice".
2012 May 08
2
Dividing tick-data into intervalls
...:05:00 -0.017033339
2011-11-01 08:10:00 -0.017033339
2011-11-01 08:15:00 0.000690001
2011-11-01 08:20:00 0.000000000
2011-11-01 08:25:00 0.000658411
2011-11-01 08:30:00 0.002166062
And so on for the 100 days. And the I want to do this for ten minutes, 30 minutes etc.
Earlier I have tried with aggregatePrice() (in the RTAQ package) combined with a for() loop. However this didnt work so well.
I assume it exist some easy way to do this? However, as I said, I have searched for a solution without any luck.
So, what approach should I have? Have any of you done something like this before?
Thanks in advan...