Description Usage Arguments Details Examples
View source: R/summarise_ohlc.R
summarise_ohlc()
calculates new OHLC price columns from specified price columns.
aggregate_ohlc()
takes an existing set of OHLC columns and reaggregates
them to a coarser periodicity (daily to monthly, etc). The easiest way to
reaggregate is to collapse your index to a different period, group by it,
and call aggregate_ohlc()
.
1 2 3 4 5 | summarise_ohlc(.tbl_time, ...)
summarize_ohlc(.tbl_time, ...)
aggregate_ohlc(.tbl_time, open, high, low, close)
|
.tbl_time |
A tbl_time object. |
... |
Bare column names of the price columns to be converted to OHLC format. |
open, high, low, close |
Bare column names of existing OHLC columns to be reaggregated. |
Both summarise_ohlc()
and aggregate_ohlc()
are wrappers around a common
dplyr::summarise()
style call that calculates the Open (first), High (max),
Low (min) and Close (last) values. Neither function knows
how to transform to a new period
on its own, so the way to aggregate from,
say, daily to monthly involves collapsing a daily column of dates to
monthly using tibbletime::collapse_index()
, grouping on the collapsed date,
and then calling aggregate_ohlc()
. The same workflow applies to
summarise_ohlc()
when doing the similar calculation of immediately creating
monthly OHLC summaries from a daily price column.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 | # ---------------------------------------------------------------------------
# Setup
library(tibbletime)
library(dplyr)
data(FB)
FB_time <- FB %>%
as_tbl_time(date)
# ---------------------------------------------------------------------------
# Calculate monthly OHLC
FB_monthly <- FB_time %>%
collapse_by("monthly") %>%
group_by(date) %>%
summarise_ohlc(adjusted)
FB_monthly
# ---------------------------------------------------------------------------
# Reaggregate existing monthly OHLC up to yearly OHLC
FB_monthly %>%
collapse_by("yearly") %>%
group_by(date) %>%
aggregate_ohlc(adjusted_open, adjusted_high, adjusted_low, adjusted_close)
|
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