創建常規時間序列

如何創建5分鐘OHLC數據的常規時間序列，並將音量和Number_Ticks相加？以下是我試過的：創建常規時間序列

trades <- 
structure(list(Date = structure(c(1L, 1L, 1L, 1L, 1L, 1L, 1L, 1L), 
.Label = "26-10-2012", class = "factor"), Time = structure(1:8, 
.Label = c("09:15", "09:16", "09:17", "09:18", "09:19", "09:20", "09:21", 
"09:22", "09:23", "09:24", "09:25", "09:26", "09:27", "09:28", "09:29", 
"09:30", "09:31", "09:32", "09:33", "09:34", "09:35", "09:36", "09:37", 
"09:38", "09:39", "09:40", "09:41", "09:42", "09:43", "09:44", "09:45", 
"09:46", "09:47", "09:48", "09:49", "09:50", "09:51", "09:52", "09:53", 
"09:54", "09:55", "09:56", "09:57", "09:58", "09:59", "10:00", "10:01", 
"10:02", "10:03", "10:04", "10:05", "10:06", "10:07", "10:08", "10:09", 
"10:10", "10:11", "10:12", "10:13", "10:14", "10:15", "10:16", "10:17", 
"10:18", "10:19", "10:20", "10:21", "10:22", "10:23", "10:24", "10:25", 
"10:26", "10:27", "10:28", "10:29", "10:30", "10:31", "10:32", "10:33", 
"10:34", "10:35", "10:36", "10:37", "10:38", "10:39", "10:40", "10:41", 
"10:42", "10:43", "10:44", "10:45", "10:46", "10:47", "10:48", "10:49", 
"10:50", "10:51", "10:52", "10:53", "10:54"), class = "factor"), 
OPEN = c(5720, 5716, 5720.55, 5718.3, 5720.6, 5722, 5723.8, 5724.1), 
HIGH = c(5720, 5720, 5721.75, 5720.5, 5722.9, 5727.9, 5726.5, 5725), 
LOW = c(5711.25, 5715.85, 5717.05, 5718, 5720.2, 5722, 5723.75, 5721.5), 
LAST_PRICE = c(5715.65, 5720, 5718.1, 5720, 5722, 5723.8, 5724.3, 5722.1), 
NUMBER_TICKS = c(58L, 57L, 63L, 52L, 54L, 58L, 60L, 59L), VOLUME = c(5146L, 
2251L, 2060L, 1368L, 742L, 1771L, 1672L, 1364L)), .Names = c("Date", "Time", 
"OPEN", "HIGH", "LOW", "LAST_PRICE", "NUMBER_TICKS", "VOLUME"), 
row.names = c("1", "2", "3", "4", "5", "6", "7", "8"), class = "data.frame") 
dt_tm <-as.POSIXct(paste(trades[,1], trades[,2],sep=","), format="%d%m%y,%H%M") 
cable <- xts(trades[,3:8], order.by=dt_tm) 
to.minutes5(cable, indexAt='startof', name=NULL) 
#  Open High Low Close Volume 
# <NA> 5720 6120 5481.2 5917 28089073

來源

2013-05-13 Moonis Shakeel

你可以讓你的例子重現嗎？看到一些提示：http://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example請使用代碼（不是引號）縮進。 – 2013-05-13 10:00:18

請糾正我的代碼，以便我能夠創建OHLC的5分鐘數據的常規時間序列，並將音量和Number_Ticks相加。 – 2013-05-13 10:41:49

嗨羅馬，我是新來的R，我能轉換我的數據可重現嗎？ – 2013-05-14 08:13:06

看看你的dt_tm對象。所有值都是NA，因爲您錯誤地指定了格式。

dt_tm <- as.POSIXct(paste(trades[,1], trades[,2]), 
        format="%d-%m-%Y %H:%M", tz="UTC") 
cable <- xts(trades[,3:8], order.by=dt_tm) 
colnames(cable)[4] <- "CLOSE" # in case LAST_PRICE isn't recognized 
to.minutes5(cable, indexAt='startof', name=NULL) 
#      Open High  Low Close Volume 
# 2012-10-26 09:15:00 5720 5722.9 5711.25 5722.0 11567 
# 2012-10-26 09:20:00 5722 5727.9 5721.50 5722.1 4807

有沒有辦法，要總結，同時刻度線的數量，但您可以通過重命名列「音量」，並做重新運行to.minutes5。

cable$VOLUME <- cable$NUMBER_TICKS 
to.minutes5(cable, indexAt='startof', name=NULL) 
#      Open High  Low Close Volume 
# 2012-10-26 09:15:00 5720 5722.9 5711.25 5722.0 284 
# 2012-10-26 09:20:00 5722 5727.9 5721.50 5722.1 177

來源

2013-05-14 14:44:17

喬希！我很感激你.......你是所有R用戶的生命線.........可能上帝給你長壽.......成爲我在印度的客人。再次感謝你。 – 2013-05-14 15:41:24

創建常規時間序列

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