to.period: Convert time series data to an OHLC series

to.periodR Documentation

Convert time series data to an OHLC series


Convert an OHLC or univariate object to a specified periodicity lower than the given data object. For example, convert a daily series to a monthly series, or a monthly series to a yearly one, or a one minute series to an hourly series.


  period = "months",
  k = 1,
  indexAt = NULL,
  name = NULL,

to.minutes(x, k, name, ...)

to.minutes3(x, name, ...)

to.minutes5(x, name, ...)

to.minutes10(x, name, ...)

to.minutes15(x, name, ...)

to.minutes30(x, name, ...)

to.hourly(x, name, ...)

to.daily(x, drop.time = TRUE, name, ...)

to.weekly(x, drop.time = TRUE, name, ...)

to.monthly(x, indexAt = "yearmon", drop.time = TRUE, name, ...)

to.quarterly(x, indexAt = "yearqtr", drop.time = TRUE, name, ...)

to.yearly(x, drop.time = TRUE, name, ...)



A univariate or OHLC type time-series object.


Period to convert to. See details.


Number of sub periods to aggregate on (only for minutes and seconds).


Convert final index to new class or date. See details.


Override column names?


Should an OHLC object be returned? (only OHLC = TRUE currently supported)


Additional arguments.


Remove time component of POSIX datestamp (if any)?


The result will contain the open and close for the given period, as well as the maximum and minimum over the new period, reflected in the new high and low, respectively. Aggregate volume will also be calculated if applicable.

An easy and reliable way to convert one periodicity of data into any new periodicity. It is important to note that all dates will be aligned to the end of each period by default - with the exception of to.monthly() and to.quarterly(), which use the zoo package's yearmon and yearqtr classes, respectively.

Valid period character strings include: "seconds", "minutes", "hours", "days", "weeks", "months", "quarters", and "years". These are calculated internally via endpoints(). See that function's help page for further details.

To adjust the final indexing style, it is possible to set indexAt to one of the following: ‘yearmon’, ‘yearqtr’, ‘firstof’, ‘lastof’, ‘startof’, or ‘endof’. The final index will then be yearmon, yearqtr, the first time of the period, the last time of the period, the starting time in the data for that period, or the ending time in the data for that period, respectively.

It is also possible to pass a single time series, such as a univariate exchange rate, and return an OHLC object of lower frequency - e.g. the weekly OHLC of the daily series.

Setting drop.time = TRUE (the default) will convert a series that includes a time component into one with just a date index, since the time component is often of little value in lower frequency series.


An object of the original type, with new periodicity.


In order for this function to work properly on OHLC data, it is necessary that the Open, High, Low and Close columns be names as such; including the first letter capitalized and the full spelling found. Internally a call is made to reorder the data into the correct column order, and then a verification step to make sure that this ordering and naming has succeeded. All other data formats must be aggregated with functions such as aggregate() and period.apply().

This method should work on almost all time-series-like objects. Including ‘timeSeries’, ‘zoo’, ‘ts’, and ‘irts’. It is even likely to work well for other data structures - including ‘data.frames’ and ‘matrix’ objects.

Internally a call to as.xts() converts the original x into the universal xts format, and then re-converts back to the original type.

A special note with respect to ‘ts’ objects. As these are strictly regular they may include NA values. These are removed before aggregation, though replaced before returning the result. This inevitably leads to many additional NA values in the result. Consider using an xts object or converting to xts using as.xts().


Jeffrey A. Ryan



samplexts <- as.xts(sample_matrix)



xts documentation built on June 22, 2024, 9:56 a.m.