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...9205 9195 9195 ... ..- attr(*, "dimnames")=List of 2 .. ..$ : NULL .. ..$ : chr [1:4] "z.Open" "z.High" "z.Low" "z.Close" - attr(*, "class")= chr "ts" - attr(*, "tsp")= num [1:3] 1 2 1 alpha3 <- as.xts(to.minutes3(z,OHLC = TRUE)) plotOHLC(alpha3) Error in plotOHLC(alpha3) : x is not a open/high/low/close time series The file quotes_h.2.dat contains real time tick data for futures contracts, so the above manipulation is my attempt to just get a time series with one column being a date/time and the other...

...<- data.frame(dt,x$V5) colnames(y) <- c("tickdate","price") # Make the xts object, and then the OHLC object (as an aside, the tick data includes volume, but I have yet to figure out how to make an OHLC object hat includes volume) z <- xts(y[,2],y[,1]) alpha <- to.minutes3(z, OHLC=TRUE) colnames(alpha) <- c("Open","High","Low","Close") alpha$rel_t <- seq(1-nrow(alpha),0) # Just to check the code for the regression, apply the regression to the whole series (unless the series is realy short or has a strong slow pattern t...