If you have a column labelled "Volume", to.period will sum it: e.g.,
library(xts) data(sample_matrix) s <- as.xts(sample_matrix) s <- cbind(s, Volume = round(exp(runif(NROW(s),2,3))*10000)) head(s) head(to.weekly(s)) Cheers, Michael On Sat, Sep 15, 2012 at 4:57 PM, Costas Vorlow <costas.vor...@gmail.com> wrote: > Hello, > > I have the following data (xts) (last two columns refer to up and down > volumes). > >> head(test,20) > [,1] [,2] [,3] > 2012-09-12 16:30:00 144.39 300 0 > 2012-09-12 16:30:00 144.39 500 0 > 2012-09-12 16:30:00 144.39 300 0 > 2012-09-12 16:30:00 144.39 400 0 > 2012-09-12 16:30:00 144.39 300 0 > 2012-09-12 16:30:00 144.39 300 0 > 2012-09-12 16:30:00 144.39 100 0 > 2012-09-12 16:30:00 144.39 900 0 > 2012-09-12 16:30:00 144.39 200 0 > 2012-09-12 16:30:00 144.39 103 0 > 2012-09-12 16:30:00 144.39 197 0 > 2012-09-12 16:30:00 144.39 200 0 > 2012-09-12 16:30:00 144.39 500 0 > 2012-09-12 16:30:00 144.39 400 0 > 2012-09-12 16:30:00 144.39 100 0 > 2012-09-12 16:30:00 144.39 500 0 > 2012-09-12 16:30:00 144.39 300 0 > 2012-09-12 16:30:00 144.39 200 0 > 2012-09-12 16:30:00 144.39 103 0 > 2012-09-12 16:30:00 144.38 0 100 > > > I can use the to.period to aggregate the above data to seconds > > test.Open test.High test.Low test.Close > 2012-09-12 16:30:00 144.39 144.47 144.37 144.38 > 2012-09-12 16:31:00 144.39 144.40 144.33 144.37 > 2012-09-12 16:32:00 144.37 144.45 144.37 144.45 > 2012-09-12 16:33:00 144.45 144.47 144.42 144.47 > > > but I am not sure how to do this for the volume columns. I would need to > retrieve the volume sums per second. > > Is this functionality built into the xts package? Is there any other > function that could be used to do something like that? > > Thanks & best regards, > Costas > _______________ > > [[alternative HTML version deleted]] > > _______________________________________________ > R-SIG-Finance@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.