README.md

In bobjansen/FancyBars: Calculate Various Types of OHLC Bars

Introduction

Create OHLC bars based on more than just time. Currently, bars based on the following dimensions are supported:

• Time with timeOHLCV()
• Volume with volumeOHLCV()
• Number of ticks tickOHLCV()
• Dollar Volume (Price times Size) dollarOHLCV()

as is converting a set of trades into one bar using oneBarOHLCV(). The bars contain additional columns compared to regular OHLCV data:

• VWAP
• TickCount: Number of ticks/trades in the bar

Installation

devtools::install_github('bobjansen/FancyBar')

Benchmark

On my machine, performance of creating time-based bars is slightly faster than to.period() in the xts package and clearly faster than makeOHLCV() in the highfrequency package.

The benchmarking script can be found in inst/benchmark.R.

bobjansen/FancyBars documentation built on Jan. 29, 2022, 2:18 p.m.