aggregateTrades: Aggregate an xts object containing trade data

In highfrequency: Tools for Highfrequency Data Analysis

Description

Function returns an xts object containing the aggregated trade data with columns "SYMBOL", "EX", "PRICE", "SIZE". See sample_tdata for an example of the argument tdata.

Usage

aggregateTrades(tdata,on="minutes",k=5,marketopen,marketclose)

Arguments

tdata	xts object to be aggregated, containing the intraday trade data of a stock for one day.
on	character, indicating the time scale in which "k" is expressed. Possible values are: "secs", "seconds", "mins", "minutes","hours".
k	positive integer, indicating the number of periods to aggregate over. E.g. to aggregate a xts object to the 5 minute frequency set k=5 and on="minutes".
marketopen	the market opening time, by default: marketopen= "09:30:00".
marketclose	the market closing time, by default: marketclose = "16:00:00".

Value

An xts object containing the aggregated trade data.

Details

The output "PRICE" column is constructed using previous tick aggregation.

The variable "SIZE" is aggregated by taking the sum over each interval.

For the variables "SYMBOL" and "EX" aggregation doesn't really make sense, thus the first value of the input is taken as the value for the complete output.

Columns "COND", "CORR", "G127" are dropped because aggregating them makes absolutely no sense.

The timestamps of the new time series are the closing times of the intervals.

Please Note:

Returned objects always contain the first observation (i.e. opening price,...).

Please input an object containing ONE day of data.

Author(s)

Jonathan Cornelissen and Kris Boudt

Examples

data("sample_tdata");
#aggregate trade data to 5 minute frequency
x = aggregateTrades(sample_tdata,on="minutes",k=5)
head(x);

Example output

Loading required package: xts
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Warning message:
In c.xts(b, ts2) : mismatched types: converting objects to numeric
                    SYMBOL EX  PRICE     SIZE    
2008-01-04 09:30:00 "XXX"  "N" "193.710" "  9100"
2008-01-04 09:35:00 "XXX"  "N" "193.920" " 65450"
2008-01-04 09:40:00 "XXX"  "N" "194.630" " 50100"
2008-01-04 09:45:00 "XXX"  "N" "193.520" " 52250"
2008-01-04 09:50:00 "XXX"  "N" "192.850" " 43500"
2008-01-04 09:55:00 "XXX"  "N" "190.795" " 63500"
Warning message:
timezone of object (GMT) is different than current timezone (). 

highfrequency documentation built on May 2, 2019, 6:09 p.m.