Description Usage Arguments Value See Also
generic function for extracting volume-wise bar from tick data.
1 | Tick2bar.vol(dta, vol.unit = 1200, timespan = NULL)
|
dta |
data frame or matrix, with at least fields of date, time, price and volume optional. ORIGINAL tick data from data provider |
vol.unit |
integer. specify the unit of volume chunk as a bar. default 1200 |
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. |
A dataframe with the fileds of Date, ID, Time, Open, High, Low, Close and Volume.
Tick2bar.time, OHLC.barplot
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