使用R将刻度数据转换为OHLC条

Question

How can I convert tick data into OHLC data using R? I have seen a couple of examples on here but the issue I am having is converting the actual times for the individual time stamps. For example the very first time stamp is 2013-07-29 15:30:00 .

x <- read.delim(header=TRUE, stringsAsFactor=FALSE," http://hopey.netfonds.no/tradedump.php?date=20130729&paper=AAPL.O&csv_format=txt ")

xx <- xts(x[,c(2:3)], as.POSIXct(x[,1], "UTC", "%Y%m%dT%H%M%S"))

to.period(xx,"seconds",5)

Answer 1

Just use to.period (or one of the wrappers) once you've created an xts object. To properly convert time to POSIXct, you have to specify the correct format (including the "T").

xx <- xts(x[,-1], as.POSIXct(x[,1], "UTC", "%Y%m%dT%H%M%S"))
to.period(xx, "seconds")

Also note that you should specify the timezone the time column was recorded in. I specified it as "UTC" , since I don't know what timezone to use.