consolidate_prices: Consolidate prices at a specified resolution
In hafen/nxcore: Utilities for working with NxCore data

Description Usage Arguments Value Examples

Consolidate prices at a specified resolution

1 2	consolidate_prices(date, time, price, size, date_format = "%Y-%m-%d", time_format = "%H:%M:%OS", on = "seconds", k = 1)

`date`	transaction date strings
`time`	transaction time strings
`price`	a tranaction prices
`size`	a transaction sizes
`date_format`	the format for the sys_date column (default is "%Y-%m-%d").
`time_format`	the format for the sys_time column (default is "%H:%M:%S.%f").
`on`	the resolution to consolidate trades. The default is "seconds" and any resolution supported by the xts::endpoints function is valid.
`k`	along every k-th elements. For example if "seconds" is specified as the "on" parameter and k=2 then prices are consolidated for every 2 seconds.

an xts object with (vwapped) price, max price, min price, and volume.

# Consolidate TAQ trades...
data(aapl_taq)
ctp = consolidate_prices(aapl_taq$sys_date, aapl_taq$sys_time,
 aapl_taq$td_price, aapl_taq$td_size, date_format="%Y%m%d",
 time_format="%H:%M:%S")
# or FIX trades...
data(aapl_fix)
cfp = consolidate_prices(aapl_fix$sys_date, aapl_fix$sys_time,
 aapl_fix$td_price, aapl_fix$td_size)