[R-SIG-Finance] How to know when an XTS row is at a particular interval

[Noah Silverman]

Hi,

Endpoints won't always work for me either.  In order to use endpoints, I would need to know the whole series ahead of time.  

If I have transactions streaming in (Like from an IBrokers account) then I can't compute "endpoints".

I suppose that I could calculate the minutes and seconds of each transaction and then compare to the bar frequency I want, but that seems computationally excessive.

I guess what I want to do is that when a transaction arrives, ask, "Is this on the mark, or close enough to treat it as on the mark".

--
Noah Silverman
UCLA Department of Statistics
8117 Math Sciences Building
Los Angeles, CA 90095



On Jul 7, 2011, at 1:42 PM, Brian G. Peterson wrote:

> On Thu, 2011-07-07 at 13:27 -0700, Noah Silverman wrote:
>> Hi,
>> 
>> 
>> I have a big dataset of tick data.  (Actual transactions at sub-second frequency)
>> 
>> I've used R to convert this to an xts object.
>> 
>> Iterating through the series to simulate a trading day.
>> 
>> I'd like to know when a particular transaction is "on the minute" or "on the 5 minute" mark.  Of course, I can use all the great functions of xts to convert the series to bars of any frequency, but that's not what I want.  I'd like to iterate over all the transaction and then somehow know when I've hit a bar boundary.
> 
> With actual ticks, there will be few or no trades 'on the mark'. This is
> why most tick-level analysis relies on the prevailing bid and offer,
> since there is always *some* real price at any given time, even though
> trades happen at discrete times.
> 
> Anyway, the function you need is 'endpoints', which will give you the
> closest stamp to the mark, at whatever periodicity you want.
> 
> Then you can filter for the almost nonexistant transactions 'on the
> mark'.
> 
> 
>> One possible issue is if I don't have a transaction exactly at the bar.  (More of a theoretical question.)  For example, If I have a transaction at 11:59:59, and then the next transaction is at 12:00:01.  Then no transaction occurred exactly on the 1 minute boundary.  I'm not sure the best way to handle this.
>> 
>> The general "big picture' concept is that a trading strategy might only want to trigger on 5 minute bars, but I'd like to keep updating some of my indicators as individual trades flow in.  
> 
> Use bids and offers.
> 
>> Thoughts?
>> 
>> 
>> --
>> Noah Silverman
>> UCLA Department of Statistics
>> 8117 Math Sciences Building
>> Los Angeles, CA 90095
>> 
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> 
> -- 
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>