highfrequency (version 0.7.0.1)

aggregateQuotes: Aggregate a data.table or xts object containing quote data

Description

Function returns a data.table or xts object containing the aggregated quote data with columns "SYMBOL", "EX", "BID","BIDSIZ","OFR","OFRSIZ". See sampleQData for an example of the argument qData.

Usage

aggregateQuotes(
  qData,
  on = "minutes",
  k = 5,
  marketOpen = "09:30:00",
  marketClose = "16:00:00",
  tz = "GMT"
)

Arguments

qData

data.table or xts object to be aggregated, containing the intraday quote 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". xts object to the 5 minute frequency, set k=5 and on = "minutes".

k

positive integer, indicating the number of periods to aggregate over. E.g. to aggregate an 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".

tz

time zone used, by default: tz = "GMT".

Value

a data.table or xts object containing the aggregated time series.

A data.table or an xts object containing the aggregated quote data.

Details

The output "BID" and "OFR" columns are constructed using previous tick aggregation.

The variables "BIDSIZ" and "OFRSIZ" are aggregated by taking the sum of the respective inputs over each interval.

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 quotes,...).

Examples

# NOT RUN {
# aggregate quote data to the 30 second frequency
qDataAggregated <- aggregateQuotes(sampleQData, on = "seconds", k = 30)
head(qDataAggregated)
# }