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I am building a Lightstreamer client for R. I managed to get the streaming data (tick data) directly into R console. To show how the download stream looks like in R, below you find a reconstruction. I need now to transform the streaming data into an xts object containing OHLC-data (Open, High, Low, Close). I am using sink to move stream to file. In the data-stream the OHLC data is presented as: [U,3,1,20:00:33|3.04|0.0|2.41|3.67|3.03|3.04|#|#|$], where the content is [timestamp, price, change, minimum, maximum, bid, ask, open, close, status].

Question: Is there a structured way/method to (within R environment) transform streaming data into OHLC-data?

counter <- 1 # Start position of counter 
sink (file = '/lightstreamer_v3/a10.txt', append = TRUE, split = TRUE) # store data to file. Adjust to your path.

# Code to reproduce the Lightstreamer tick-data visible in R console:
repeat {
      counter <- counter + 1  # Handle internal loop
     cat ("<<  Preamble: preparing push", "\n")  # Printouts to R console.
     cat ("<<  Preamble: preparing push","\n")
     cat ("<<  Preamble: preparing push","\n")  
     cat ("<<  Preamble: preparing push","\n")
     cat ("<<","\n")
     cat ("<<","\n")
     cat ("<<","\n")
     cat ("<<  U,3,1,20:00:33|3.04|0.0|2.41|3.67|3.03|3.04|#|#|$","\n") # tick-data
     cat ("<<","\n")
     cat ("<< 7","\n")
     cat (" PROBE","\n")
    if (counter >= 10000) {  # Counter break.
    break 
 } 
 }

 sink () 
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