highfrequency (version 0.5)

aggregateTrades: Aggregate an xts object containing trade data

Description

Function returns an xts object containing the aggregated trade data with columns "SYMBOL", "EX", "PRICE", "SIZE". See sample_tdata for an example of the argument tdata.

Usage

aggregateTrades(tdata,on="minutes",k=5,marketopen,marketclose)

Arguments

tdata

xts object to be aggregated, containing the intraday trade data of a stock for one day.

on

character, indicating the time scale in which "k" is expressed. Possible values are: "secs", "seconds", "mins", "minutes","hours".

k

positive integer, indicating the number of periods to aggregate over. E.g. to aggregate a xts object to the 5 minute frequency set k=5 and on="minutes".

marketopen

the market opening time, by default: marketopen= "09:30:00".

marketclose

the market closing time, by default: marketclose = "16:00:00".

Value

An xts object containing the aggregated trade data.

Details

The output "PRICE" column is constructed using previous tick aggregation. The variable "SIZE" is aggregated by taking the sum over each interval. For the variables "SYMBOL" and "EX" aggregation doesn't really make sense, thus the first value of the input is taken as the value for the complete output. Columns "COND", "CORR", "G127" are dropped because aggregating them makes absolutely no sense. The timestamps of the new time series are the closing times of the intervals. Please Note: Returned objects always contain the first observation (i.e. opening price,...). Please input an object containing ONE day of data.

Examples

data("sample_tdata");
#aggregate trade data to 5 minute frequency
x = aggregateTrades(sample_tdata,on="minutes",k=5)
head(x);