makeOHLCV: Make Open-High-Low-Close-Volume bars

In highfrequency: Tools for Highfrequency Data Analysis

Make Open-High-Low-Close-Volume bars

Description

This function makes OHLC-V bars at arbitrary intervals. If the SIZE column is not present in the input, no volume column is created.

Usage

makeOHLCV(pData, alignBy = "minutes", alignPeriod = 5, tz = NULL)

Arguments

pData	data.table or xts object to make the bars out of, containing the intraday price series of possibly multiple stocks for possibly multiple days.
alignBy	character, indicating the time scale in which alignPeriod is expressed. Possible values are: "secs", "seconds", "mins", "minutes", "hours", and "ticks". To aggregate based on a 5 minute frequency, set alignPeriod to 5 and alignBy to "minutes".
alignPeriod	positive numeric, indicating the number of periods to aggregate over. For example, to aggregate based on a 5 minute frequency, set alignPeriod to 5 and alignBy to "minutes".
tz	fallback time zone used in case we we are unable to identify the timezone of the data, by default: tz = NULL. With the non-disk functionality, we attempt to extract the timezone from the DT column (or index) of the data, which may fail. In case of failure we use tz if specified, and if it is not specified, we use "UTC".

Author(s)

Emil Sjoerup

Examples

## Not run: 
minuteBars <- makeOHLCV(sampleTDataEurope, alignBy = "minutes", alignPeriod = 1)
# We can use the quantmod package's chartSeries function to plot the ohlcv data
quantmod::chartSeries(minuteBars)

minuteBars <- makeOHLCV(sampleTDataEurope[,], alignBy = "minutes", alignPeriod = 1)
# Again we plot the series with chartSeries
quantmod::chartSeries(minuteBars)

# We can also handle data across multiple days.
fiveMinuteBars <- makeOHLCV(sampleTData)
# Again we plot the series with chartSeries
quantmod::chartSeries(fiveMinuteBars)

# We can use arbitrary alignPeriod, here we choose pi
bars <- makeOHLCV(sampleTDataEurope, alignBy = "seconds", alignPeriod = pi)
# Again we plot the series with chartSeries
quantmod::chartSeries(bars)

## End(Not run)

highfrequency documentation built on Oct. 4, 2023, 5:08 p.m.