aggregateTS: Aggregate a time series

In jonathancornelissen/highfrequency: Tools for Highfrequency Data Analysis

Aggregate a time series

Description

Aggregate a time series as xts or data.table object. It can handle irregularly spaced time series and returns a regularly spaced one. Use univariate time series as input for this function and check out aggregateTrades and aggregateQuotes to aggregate Trade or Quote data objects.

Usage

aggregateTS(
  ts,
  FUN = "previoustick",
  alignBy = "minutes",
  alignPeriod = 1,
  weights = NULL,
  dropna = FALSE,
  tz = NULL,
  ...
)

Arguments

ts	xts or data.table object to aggregate.
FUN	function to apply over each interval. By default, previous tick aggregation is done. Alternatively one can set e.g. FUN = "mean". In case weights are supplied, this argument is ignored and a weighted average is taken.
alignBy	character, indicating the time scale in which alignPeriod is expressed. Possible values are: "secs", "seconds", "mins", "minutes", "hours", "days", "weeks", "ticks".
alignPeriod	positive numeric, indicating the number of periods to aggregate over. For example, to aggregate based on a 5 minute frequency, set alignPeriod to 5 and alignBy to "minutes".
weights	By default, no weighting scheme is used. When you assign an xts object with weights to this argument, a weighted mean is taken over each interval. Of course, the weights should have the same time stamps as the supplied time series.
dropna	boolean, which determines whether empty intervals should be dropped. By default, an NA is returned in case an interval is empty, except when the user opts for previous tick aggregation, by setting FUN = "previoustick" (default).
tz	character denoting which timezone the output should be in. Defaults to NULL
...	extra parameters passed on to FUN

Details

The time stamps of the new time series are the closing times and/or days of the intervals. For example, for a weekly aggregation the new time stamp is the last day in that particular week (namely Sunday).

In case of previous tick aggregation, for alignBy is either "seconds" "minutes", or "hours", the element of the returned series with e.g. timestamp 09:35:00 contains the last observation up to that point, including the value at 09:35:00 itself.

Please note: In case an interval is empty, by default an NA is returned.. In case e.g. previous tick aggregation it makes sense to fill these NAs by the function na.locf (last observation carried forward) from the zoo package.

In case alignBy = "ticks", the sampling is done such the sampling starts on the first tick and the last tick is always included. For example, if 14 observations are made on one day, and these are 1, 2, 3, ... 14. Then, with alignBy = "ticks" and alignPeriod = 3, the output will be 1, 4, 7, 10, 13, 14.

Value

An xts object containing the aggregated time series.

Author(s)

Jonathan Cornelissen, Kris Boudt, and Emil Sjoerup.

Examples

# Load sample price data
## Not run: 
library(xts)
ts <- as.xts(sampleTData[, list(DT, PRICE, SIZE)])

# Previous tick aggregation to the 5-minute sampling frequency:
tsagg5min <- aggregateTS(ts, alignBy = "minutes", alignPeriod = 5)
head(tsagg5min)
# Previous tick aggregation to the 30-second sampling frequency:
tsagg30sec <- aggregateTS(ts, alignBy = "seconds", alignPeriod = 30)
tail(tsagg30sec)
tsagg3ticks <- aggregateTS(ts, alignBy = "ticks", alignPeriod = 3)

## End(Not run)

jonathancornelissen/highfrequency documentation built on Jan. 10, 2023, 7:29 p.m.