bar_time: Construct time bars

In larryleihua/fmlr: Financial Machine Learning using R

Description

Construct time bars

Usage

bar_time(dat, tDur = 1)

Arguments

dat	dat input with at least the following columns: tStamp, Price, Size, where tStamp should be sorted already
tDur	the time duration in seconds of each window

Value

tStamp, seconds since the starting time point, and H,L,O,C,V

Author(s)

Larry Lei Hua

larryleihua/fmlr documentation built on Jan. 31, 2020, 8:55 a.m.