Tick2bar.time: extract clock-wise bar from tick data

In yuanwei/my: R tools for quant research

Description

generic function for extracting clock-wise bar(sec bar, minute bar, hour bar or even daily bar) from tick data.

Usage

Tick2bar.time(dta, len = "00:01:00", timespan = NULL, volume.save = TRUE,
  start.point = "00:00:00")

Arguments

dta	data frame or matrix, with at least fields of date, time, price and volume optional.
len	character. specify the length of each bar in the format of 'hh:mm:ss'. if larger than 2 hours('02:0:00), daily bar data is returned. default '00:01:00'.
timespan	ascendingly ordered character vector. specify the normal trading time period for invalid data filter. default c('09:15:00', '11:29:59', '13:00:00', '15:14:59'), which is the case of stock index future data.
volume.save	whether to keep the volume in return bar data. default TRUE.
start.point	character. specify the start point of each bar in the format of 'hh:mm:ss', default '00:00:00'

Value

A dataframe with the fileds of Date, Time, Open, High, Low, Close and Volume optional.

See Also

Tick2bar.vol, OHLC.plot

yuanwei/my documentation built on May 4, 2019, 6:35 p.m.