Get data from quantmod and then analyze using data.table

Question

Somewhat related to the question Calculate the average based on other columns and R xts and data.table

Since current version of data.table, there are functions of as.data.table.xts. I wonder if there would be an improved solution taking the advantage of data.table.

Thanks Vincent for the function.

Reproducible data:

library(data.table)

library(quantmod)

getSymbols("SPY")

getSymbols("AAPL")

as.data.table.xts <- function(x, ...) {
   cn <- colnames(x)
   sscn <- strsplit(cn, "\\.")  
   indexClass(x) <- c('POSIXct', 'POSIXt') #coerce index to POSIXct
   DT <- data.table(time=index(x), coredata(x))
   #DT <- data.table(IDateTime(index(x)), coredata(x))

   ## If there is a Symbol embedded in the colnames, strip it out and make it a 
   ## column
   if (all(sapply(sscn, "[", 1) == sscn[[1]][1])) {
    Symbol <- sscn[[1]][1]
    setnames(DT, names(DT)[-1], sub(paste0(Symbol, "."), "", cn))
    DT <- DT[, Symbol:=Symbol]
    setkey(DT, Symbol, time)[]
    } else {
    setkey(DT, time)[]
    }
}

spy.data <- as.data.table(SPY)
SPY_Day <- as.Date("2015-11-06")
AAPL_Day <- as.Date("2015-11-03")
spy.data[, time := as.Date(time)] # Not sure whether it is necessary, but it does not work with this conversion. 

What I want to achieve:

"average of the closing/Opening/High/Low prices for the 5/10/30 consecutive trading days immediately preceding and including the Announcement Day, but excluding trading halt days (days on which trading volume is 0 or NA)

Problem 1

To find the 5 consecutive trading days immediately preceding and including the Announcement Day, but excluding trading halt days (days on which trading volume is 0 or NA)

I came to mind that tail might be useful.

spy_5 <- tail(spy.data[Volume!=0 & time < Day], 5)

When I tried the the calculation of the average part

 spy <- spy_5[ , lapply(.SD, function(x) mean(x, na.rm=TRUE)), by =.(Symbol), .SDcols = c(2:5)][, Lookback:=5L]

For the current stage

Is there any way to get rid of the middle product the data.table spy_5?

Any suggestion for a more succinct code?

Problem 2

As there are other symbols for the same calculation.

If there any way to use rbindlist and getSymbols to get the raw data in the format of data.table and then proceed.

** the desired output **

   Symbol    Open   High     Low  Close Lookback
1:    SPY 209.826 210.84 208.884 209.93        5
2:    SPY    **      **     **      **         10
3:    AAPL   **      **     **      **         5
4:    AAPL   **      **     **      **         10

Any suggestions is welcome.