Cut data by date for multiples of break="min"

Question

I'm using R to aggregate tick data and I have the following function which works well to aggregate the data to the minute but now I want to expound on that and aggregate to 5, 10, 15min. How can I do that?

SPY <- aggregate(as.numeric(SPY$PRICE), list(min = cut(index(SPY), breaks="min")), mean)

score 3 · Accepted Answer · answered Apr 25 '13 at 19:35

3

Since you've tagged your question with the xts tag...

You can use period.apply for this. The following will give you the mean of every 5 minutes:

period.apply(SPY$PRICE, endpoints(SPY, "minutes", 5), mean)

answered Apr 25 '13 at 19:35

GSee

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I was just writing the same thing. +1 for speed. – Joshua Ulrich Apr 25 '13 at 19:36

Cut data by date for multiples of break="min"

1 Answers1