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copied!<p>Out of interest does RTAQ offer anything not in another R package? Version 0.1 was released over two years ago, so it looks like a Dead Project. Anyway, you can still use XTS's <code>to.minute()</code> function, as it appears RTAQ use xts objects.</p> <p>Here is some sample code I use to take ticks and convert into bars, as well as adding other columns such as mean/sd:</p> <pre><code>k=60 ... bars=to.period(x,k,period="secs") colnames(bars)=c("Open","High","Low","Close") ep=endpoints(x,"secs",k) bars$Volume=period.apply(x,ep,length) bars$mean=period.apply(x,ep,mean) bars$sd=period.apply(x,ep, function(x){apply(x,2,sd)}) align.time(bars,k) #Do this last </code></pre> <p>Instead of <code>align.time</code> I use <code>align.time.down</code>, so that ticks from 06:00:00 to 06:00:59.999 go into a bar labelled "06:00:00" not one labelled "06:01:00". This matches the historical data format I have. If you need it the definition is:</p> <pre><code>align.time.down=function(x,n){index(x)=index(x)-n;align.time(x,n)} </code></pre> <p>Finally, if you have whole minutes with no ticks, and still want a bar in your data for them, I use this (same k=60 as above):</p> <pre><code>full_index=do.call("c",mapply( seq.exclude_final_period.POSIXt,period_from,period_to,by=k,SIMPLIFY=F )) bars=merge(bars,xts(,full_index),all=TRUE) </code></pre> <p>The <code>seq.exclude_final_period.POSIXt</code> function is defined as follows:</p> <pre><code>#' Helper for process_one_day_of_ticks(); intended as a #' replacement for seq.POSIXt (which will not exclude the final period). #' @internal Use from=from+by instead of to=to-by to exclude the # first period instead. seq.exclude_final_period.POSIXt=function(from,to,by){ to=to-by #Make the final entry exclusive seq(from,to,by) } </code></pre> <p><code>period_from</code> and <code>period_to</code> are <code>POSIXct</code> objects, that describe the start and end of your trading session.</p>

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