timeOHLCV: Make time based OHLC bars

In bobjansen/FancyBars: Calculate Various Types of OHLC Bars

Description

The traditional OHLC bars based on buckets of time.

Usage

timeOHLCV(
  ticks,
  align_period = 5L,
  align_by = "minutes",
  name = NULL,
  prev_bar = NULL,
  add_name = getOption("FancyBar.AddSymbolName")
)

Arguments

ticks	The original trade data.
align_period	Length of the time period to align by.
align_by	Unit of the time period, can be: seconds: one of 's', 'secs', 'seconds minutes: one of 'm', 'mins', 'minutes hours: one of 'h', 'hours days: one of 'd', 'days'
name	Name of the symbol.
prev_bar	Bar from a previous call to timeOHLCV() with an earlier set of trades.
add_name	Should the name of the symbol be added to the column names?

Details

Bars are aligned on multiples of the time period since midnight, that is a tick happening at 01:06:41 will be in a bar starting on:

• 01:06:40 if the bar length is 5 seconds

• 01:06:30 if the bar length is 30 seconds

• 01:06:00 if the bar length is 1 minute

• 01:05:00 if the bar length is 5 minutes

• 01:00:00 if the bar length is 1 hour

The highfrequency package uses the same logic but the timestamp of the bar is the end of the bar period.

Value

Time based OHLC bars.

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