creare una serie OHLC dai dati ticker utilizzando R

Question

Sembra che dovrebbe essere una cosa comune, ma tutte le mie ricerche vengono fornite con risposte mezze o incomplete.

Ho un set di dati in un csv. Ma i dati sono impostati in modo che sia il tempo, il prezzo, il volume. Per analizzare correttamente i miei dati ne ho bisogno in formato OHLCV: aperto, alto, basso, chiuso, volume.

Qualcuno ha un'idea di come riformattare in OHLCV?

Ecco a sample of a data set:

time,price,volume, 
7/18/10 0:09,0.04951,20, 
7/18/10 4:43,0.05941,50.01, 
7/18/10 18:48,0.0808,5, 
7/18/10 22:44,0.08585,10, 
7/18/10 23:00,0.08584,5, 
7/18/10 23:00,0.08584,5, 
7/19/10 4:53,0.0909,5, 
7/19/10 17:24,0.09307,80, 
7/19/10 18:03,0.08911,100, 
7/19/10 18:07,0.08752,100, 
7/19/10 18:12,0.09109,90, 
7/19/10 21:44,0.08416,20, 
7/19/10 21:55,0.07921,100, 
7/19/10 21:56,0.07921,10, 
7/19/10 21:57,0.07723,20, 
7/19/10 22:02,0.0808,49 
7/20/10 3:36,0.08181,100 
7/20/10 4:54,0.0818,12 
7/20/10 13:48,0.08119,4 
7/20/10 13:50,0.07921,10 
7/20/10 15:37,0.07822,10 
7/20/10 15:39,0.07723,10 
7/20/10 16:01,0.07624,10 
7/20/10 18:08,0.07723,10 
7/20/10 18:09,0.07723,10 
7/20/10 18:09,0.07723,20 
7/20/10 21:09,0.07426,4.5 
7/20/10 21:38,0.07426,5.5 
7/20/10 21:38,0.07426,4.5 
7/20/10 21:41,0.07426,45.5 
7/20/10 22:24,0.07472,3 
7/20/10 22:28,0.07472,1 
7/20/10 22:29,0.07474,1 
7/20/10 22:29,0.07474,1 
7/21/10 3:27,0.07425,60 
7/21/10 3:30,0.07327,10 
7/21/10 3:41,0.07228,10 
7/21/10 3:41,0.07129,10 
7/21/10 15:11,0.0703,10 
7/21/10 15:45,0.06931,10 
7/21/10 15:56,0.06832,10 
7/21/10 19:58,0.06733,10 
7/21/10 20:26,0.06634,10 
7/21/10 20:35,0.06634,70 
7/22/10 0:02,0.07171,100 
7/22/10 0:02,0.07171,10 
7/22/10 0:02,0.07272,10 
7/22/10 0:02,0.07373,10 
7/22/10 0:02,0.07425,40 
7/22/10 0:02,0.07474,10 
7/22/10 0:02,0.07575,20 
7/22/10 0:02,0.07575,10 
7/22/10 0:04,0.07676,10 
7/22/10 0:04,0.07777,10 
7/22/10 0:04,0.07878,5 
7/22/10 0:33,0.07921,10 
7/22/10 0:53,0.07921,20 
7/22/10 0:53,0.07921,20 
7/22/10 0:54,0.07921,20 
7/22/10 0:54,0.07921,20 
7/22/10 0:54,0.07921,20 
7/22/10 0:54,0.07921,20 
7/22/10 1:16,0.07921,65 
7/22/10 1:50,0.07979,5 
7/22/10 1:51,0.0808,20 
7/22/10 1:51,0.0808,5 
7/22/10 1:51,0.08181,5 
7/22/10 5:20,0.07878,30 
7/22/10 5:21,0.07878,3 
7/22/10 10:28,0.06931,100 
7/22/10 10:53,0.06535,10 
7/22/10 10:53,0.06436,10 
7/22/10 10:53,0.06436,45 
7/22/10 10:54,0.06337,10 
7/22/10 10:54,0.06238,10 
7/22/10 10:54,0.06139,10 
7/22/10 11:43,0.06138,605 
7/22/10 11:59,0.06436,10 
7/22/10 16:14,0.06436,10 
7/22/10 16:14,0.06436,1 
7/22/10 16:15,0.06436,1 
7/22/10 16:15,0.06436,1 
7/22/10 16:15,0.06436,1 
7/22/10 16:15,0.06436,1 
7/22/10 16:18,0.06436,85 
7/22/10 16:18,0.06337,10 
7/22/10 16:18,0.06238,5 
7/22/10 16:33,0.06238,1 
7/22/10 16:33,0.06238,1 
7/22/10 16:33,0.06238,1 
7/22/10 16:33,0.06238,1 
7/22/10 16:33,0.06238,1 
7/22/10 16:33,0.06238,1 
7/22/10 16:33,0.06238,1 
7/22/10 16:34,0.06238,1 
7/22/10 16:34,0.06238,1 
7/22/10 16:34,0.06238,1 
7/22/10 16:34,0.06139,1 
7/22/10 16:34,0.06139,1 
7/22/10 16:34,0.06139,1 
7/22/10 16:34,0.06139,1 
7/22/10 16:34,0.06139,1 
7/22/10 16:34,0.06139,1 
7/22/10 16:34,0.06139,1 
7/22/10 16:34,0.06139,1 
7/22/10 16:34,0.06139,1 
7/22/10 16:34,0.06139,1 
7/22/10 16:34,0.0604,1 
7/22/10 16:34,0.0604,1 
7/22/10 16:34,0.0604,1 
7/22/10 16:34,0.0604,1 
7/22/10 16:34,0.0604,1 
7/22/10 16:34,0.0604,1 
7/22/10 16:34,0.0604,1 
7/22/10 16:34,0.0604,1 
7/22/10 16:34,0.0604,1 
7/22/10 16:34,0.0604,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:34,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 16:35,0.05941,1 
7/22/10 18:38,0.0604,10 
7/22/10 18:39,0.05941,10 
7/22/10 18:39,0.05842,10 
7/22/10 18:39,0.05743,10 
7/22/10 18:39,0.05644,10 
7/22/10 18:39,0.05594,20 
7/22/10 18:39,0.05584,250 
7/22/10 18:39,0.05545,10 
7/22/10 18:39,0.05446,500 
7/22/10 18:46,0.05446,90 
7/22/10 20:18,0.05446,3 
7/22/10 20:18,0.05446,10 
7/22/10 22:48,0.06363,1 
7/23/10 0:55,0.05941,10 
7/23/10 0:56,0.05842,10 
7/23/10 0:56,0.05743,10 
7/23/10 0:56,0.05644,10 
7/23/10 0:56,0.05545,10 
7/23/10 0:56,0.05446,10 
7/23/10 0:56,0.05347,10 
7/23/10 0:56,0.05248,10 
7/23/10 0:56,0.05149,10 
7/23/10 0:56,0.0505,10 
7/23/10 1:13,0.0505,804.23 
7/23/10 1:14,0.0505,95.77 
7/23/10 1:15,0.06358,30 
7/23/10 1:15,0.06358,5 
7/23/10 1:15,0.06358,1 
7/23/10 2:53,0.06358,100 
7/23/10 3:19,0.06358,100 
7/23/10 3:19,0.06358,100 
7/23/10 3:20,0.06363,199 
7/23/10 3:20,0.06565,10 
7/23/10 5:03,0.06535,100 
7/23/10 5:20,0.06555,88 
7/23/10 5:20,0.06666,10 
7/23/10 5:21,0.06767,84.29 
7/23/10 5:25,0.06767,10 
7/23/10 5:25,0.06767,90 
7/23/10 8:24,0.06767,9 
7/23/10 12:05,0.06161,0.1 
7/23/10 13:38,0.05545,10 
7/23/10 15:23,0.0606,10 
7/23/10 16:55,0.06161,10 
7/23/10 17:03,0.06161,1 
7/23/10 17:21,0.06262,10 
7/23/10 17:42,0.06262,4.74 
7/23/10 19:08,0.06262,1.71 
7/23/10 19:46,0.06262,140 
7/23/10 19:58,0.06262,10 
7/23/10 20:14,0.06262,4 
7/23/10 20:35,0.06262,250 
7/23/10 21:13,0.06161,0 
7/23/10 21:37,0.06161,10 
7/23/10 22:32,0.06162,5 
7/23/10 23:29,0.05545,10 
7/23/10 23:29,0.05446,10 
7/23/10 23:29,0.05446,5 
7/23/10 23:29,0.05347,10 
7/23/10 23:30,0.05248,5.66 
7/23/10 23:30,0.05248,4.34 
7/23/10 23:30,0.05248,5.66 
7/23/10 23:40,0.06161,10 
7/23/10 23:40,0.06262,35 
7/23/10 23:40,0.06262,4 
7/24/10 1:16,0.06161,0.32 
7/24/10 1:16,0.06161,0 
7/24/10 6:53,0.05149,10 
7/24/10 8:06,0.05858,50 
7/24/10 9:26,0.05941,106 
7/24/10 12:55,0.05248,0.57 
7/24/10 12:55,0.05149,20.43 
7/24/10 14:08,0.05149,10 
7/24/10 14:08,0.05149,79.57 
7/24/10 14:08,0.0505,10 
7/24/10 14:08,0.0505,150 
7/24/10 14:08,0.05049,29.43 
7/24/10 14:08,0.05049,0 
7/24/10 15:03,0.05757,10 
7/24/10 15:04,0.05858,10 
7/24/10 16:49,0.05454,10 
7/25/10 1:59,0.05545,1 
7/25/10 5:29,0.05555,10 
7/25/10 5:29,0.05757,10 
7/25/10 5:29,0.05858,10 
7/25/10 5:33,0.05941,95.5 
7/25/10 17:01,0.05693,441 
7/25/10 17:03,0.05446,114.29 
7/25/10 17:49,0.05446,578.71 
7/25/10 20:12,0.05248,10 
7/25/10 20:12,0.05149,10 
7/25/10 20:12,0.05149,20 
7/25/10 20:13,0.05099,53 
7/25/10 20:13,0.0505,187 
7/25/10 20:13,0.0505,10 
7/25/10 20:58,0.0505,0.98 
7/26/10 11:53,0.05,1 
7/26/10 14:29,0.05,119 
7/26/10 14:29,0.05,10 
7/26/10 20:27,0.052,0.96 
7/26/10 20:53,0.052,20 
7/26/10 20:53,0.052,199.04 
7/26/10 20:53,0.053,10 
7/26/10 20:53,0.054,200 
7/26/10 20:53,0.055,100 
7/26/10 20:53,0.055,10 
7/26/10 20:53,0.0559,50 
7/26/10 20:53,0.056,2 
7/26/10 20:53,0.056,8.96 
7/26/10 20:54,0.056,100 
7/26/10 20:54,0.056,1.04 
7/26/10 20:54,0.056,18 
7/26/10 20:54,0.056,0.96 
7/26/10 21:03,0.056,26.04 
7/27/10 5:02,0.053,100 
7/27/10 5:02,0.054,100 
7/27/10 5:02,0.055,100 
7/27/10 5:02,0.0559,50 
7/27/10 5:02,0.056,10 
7/27/10 5:02,0.056,40 
7/27/10 5:06,0.056,110 
7/27/10 5:06,0.057,50 
7/27/10 5:06,0.057,10 
7/27/10 5:06,0.0575,65.98 
7/27/10 5:06,0.0575,68.04 
7/27/10 5:06,0.0579,200 
7/27/10 5:06,0.058,10 
7/27/10 5:06,0.058,450 
7/27/10 5:06,0.058,53 
7/27/10 5:06,0.059,2 
7/27/10 5:06,0.059,10 
7/27/10 5:06,0.0599,200 
7/27/10 5:06,0.06,100 
7/27/10 5:06,0.06,10 
7/27/10 5:06,0.06,35 
7/27/10 5:06,0.06,639 
7/27/10 5:07,0.0605,50 
7/27/10 16:23,0.055,100 
7/27/10 16:39,0.058,10 
7/27/10 16:41,0.0589,100 
7/27/10 16:42,0.0589,100 
7/27/10 16:43,0.059,10 
7/27/10 16:45,0.0594,100 
7/27/10 16:45,0.0594,100 
7/27/10 16:45,0.0599,100 
7/27/10 16:45,0.0599,100 
7/27/10 16:46,0.06,100 
7/27/10 16:46,0.06,50 
7/27/10 16:46,0.06,30 
7/27/10 16:46,0.06,10 
7/27/10 16:47,0.06,0.67 
7/28/10 5:19,0.06,309 
7/28/10 5:30,0.06,0.33 
7/28/10 5:30,0.061,10 
7/28/10 5:31,0.0615,200 
7/28/10 12:21,0.0582,400 
7/28/10 12:21,0.058,551.72 
7/28/10 12:58,0.057,300 
7/28/10 12:58,0.056,200 
7/28/10 12:59,0.055,127.27 
7/28/10 12:59,0.055,10 
7/28/10 12:59,0.055,200 
7/28/10 12:59,0.054,211.01 
7/28/10 19:34,0.058,50 
7/28/10 20:07,0.054,10 
7/28/10 22:37,0.0574,160 
7/28/10 22:51,0.0574,260 
7/28/10 22:52,0.058,50 
7/28/10 22:52,0.058,185 
7/28/10 23:03,0.058,15 
7/28/10 23:03,0.059,10 
7/28/10 23:04,0.0595,300 
7/28/10 23:05,0.06,500 
7/28/10 23:05,0.061,10 
7/28/10 23:05,0.061,127 
7/28/10 23:06,0.062,160 
7/28/10 23:41,0.0589,33.96 
7/29/10 5:04,0.0597,230 
7/29/10 10:02,0.0571,37.4 
7/29/10 15:33,0.05789,2 
7/29/10 17:05,0.05789,2 
7/29/10 19:04,0.05789,76 
7/29/10 19:05,0.058,20 
7/29/10 19:06,0.05939,100 
7/29/10 19:06,0.05939,100 
7/29/10 19:06,0.0599,100 
7/29/10 19:06,0.0599,60 
7/29/10 19:06,0.06,1 
7/29/10 19:11,0.06,29 
7/29/10 19:45,0.0614,9.61 
7/29/10 20:44,0.0614,410.39 
7/29/10 21:01,0.0619,96 
7/29/10 21:05,0.05991,23.31 
7/29/10 21:14,0.0599,16.69 
7/29/10 21:14,0.0619,104 
7/29/10 21:14,0.062,900 
7/29/10 21:14,0.062,100 
7/29/10 21:14,0.062,400 
7/29/10 21:19,0.062,305.72 
7/29/10 21:19,0.0631,100 
7/29/10 21:19,0.06311,50 
7/29/10 21:20,0.0635,65 
7/29/10 21:20,0.064,7 
7/29/10 21:20,0.064,10 
7/29/10 21:20,0.064,5 
7/29/10 21:20,0.065,116 
7/29/10 21:20,0.065,100 
7/29/10 21:20,0.06501,200 
7/29/10 21:21,0.067,10 
7/29/10 21:21,0.067,216.71 
7/29/10 21:21,0.0678,900 
7/29/10 21:21,0.06701,159.68 
7/29/10 21:22,0.06699,20 
7/29/10 21:23,0.05799,4.01 
7/29/10 21:28,0.0678,5 
7/29/10 21:31,0.0678,95 
7/29/10 21:31,0.068,100 
7/29/10 21:31,0.0689,16.97 
7/29/10 21:31,0.0699,900 
7/29/10 21:31,0.0699,900 
7/29/10 21:32,0.0699,73.24 
7/29/10 21:46,0.065,13 
7/29/10 21:49,0.069,5 
7/29/10 21:50,0.0699,73 
7/29/10 22:25,0.0699,64.37 
7/29/10 22:30,0.065,12 
7/29/10 22:37,0.0639,30 
7/29/10 22:41,0.0639,16 
7/29/10 22:45,0.06499,70 
7/30/10 0:07,0.0685,16 
7/30/10 0:07,0.0699,582.39 
7/30/10 2:24,0.0698,50 
7/30/10 4:55,0.062,715 
7/30/10 4:55,0.0602,200 
7/30/10 4:55,0.06,1 
7/30/10 4:55,0.06,50 
7/30/10 4:55,0.0582,34 
7/30/10 9:00,0.06,1 
7/30/10 9:00,0.0669,0.9 
7/30/10 11:01,0.06,1.09 
7/30/10 11:02,0.06,1.09 
7/30/10 11:12,0.06,1.09 
7/30/10 11:12,0.06,1.09 
7/30/10 11:28,0.0669,49.1 
7/30/10 11:29,0.0674,215 
7/30/10 11:30,0.0684,298 
7/30/10 13:33,0.06741,0.89 
7/30/10 16:10,0.061,49.11 
7/30/10 22:31,0.0681,20 
7/30/10 22:31,0.0684,42 
7/30/10 22:31,0.069,140 
7/30/10 22:31,0.069,5.49 
7/30/10 22:31,0.069,354.51 
7/30/10 22:31,0.069,360.49 
7/30/10 22:31,0.069,50 
7/30/10 22:32,0.0692,50 
7/30/10 23:25,0.0692,100 
7/31/10 0:41,0.067,25 
7/31/10 0:42,0.06315,150 
7/31/10 0:43,0.0627,55 
7/31/10 4:40,0.065,20 
7/31/10 4:40,0.0621,150 
7/31/10 4:40,0.062,20 
7/31/10 4:40,0.0612,200 
7/31/10 4:41,0.061,100.89 
7/31/10 4:41,0.061,18 
7/31/10 4:41,0.06,25 
7/31/10 4:41,0.06,4.64 
7/31/10 4:41,0.06,100 
7/31/10 4:41,0.0582,360 
7/31/10 4:41,0.0582,1.47 
7/31/10 5:07,0.0662,50 
7/31/10 5:07,0.0687,44 
7/31/10 15:49,0.0605,1 
7/31/10 15:53,0.0605,30 
7/31/10 15:53,0.06,60 
7/31/10 15:53,0.06,150 
7/31/10 15:53,0.06,1 
7/31/10 15:54,0.059,340 
7/31/10 15:56,0.05823,419 
7/31/10 16:20,0.06889,20 
7/31/10 17:53,0.05823,81 
7/31/10 17:53,0.0582,4.53 
7/31/10 17:59,0.0582,25 
7/31/10 18:33,0.058,130 
7/31/10 18:33,0.058,100 
7/31/10 18:33,0.058,60.52 
7/31/10 18:33,0.0568,9.48 
7/31/10 18:40,0.0582,89.47 
7/31/10 23:35,0.056,10 
7/31/10 23:58,0.06,800 
8/1/10 0:00,0.064,20 
8/1/10 0:12,0.06401,4 
8/1/10 0:18,0.065,20 
8/1/10 0:18,0.066,56 
8/1/10 0:18,0.066,10.25 
8/1/10 0:18,0.066,20 
8/1/10 0:18,0.067,300 
8/1/10 0:18,0.067,20 
8/1/10 0:28,0.067,73.75 
8/1/10 0:28,0.061,64.25 
8/1/10 0:55,0.06785,5 
8/1/10 0:57,0.06785,4 
8/1/10 3:21,0.061,0.75 
8/1/10 3:21,0.0601,36 
8/1/10 3:53,0.06,20 
8/1/10 4:19,0.06,20 
8/1/10 7:26,0.06,75.8 
8/1/10 11:01,0.06,80 
8/1/10 13:03,0.06,804.2 
8/1/10 13:04,0.06009,13.25 
8/1/10 13:10,0.06001,5 
8/1/10 14:11,0.061,20 
8/1/10 14:11,0.062,20 
8/1/10 14:11,0.063,100 
8/1/10 14:11,0.0636,240 
8/1/10 14:11,0.0639,36 
8/1/10 14:11,0.064,84 
8/1/10 14:12,0.064,166 
8/1/10 14:12,0.065,334 
8/1/10 14:17,0.065,500 
8/1/10 18:36,0.0602,6 
8/2/10 0:01,0.0611,40 
8/2/10 4:23,0.0627,200 
8/2/10 4:23,0.0625,128 
8/2/10 6:22,0.0625,872 
8/2/10 6:22,0.0615,128 
8/2/10 6:23,0.0615,872 
8/2/10 6:23,0.0611,128 
8/2/10 10:42,0.0611,166 
8/2/10 19:13,0.0633,80 
8/2/10 19:23,0.0611,5 
8/2/10 19:28,0.0611,20 
8/2/10 22:55,0.0611,21 
8/2/10 22:55,0.061,20 
8/2/10 22:55,0.0604,86 
8/2/10 22:55,0.0602,136.36 
8/2/10 22:55,0.06001,90.8 
8/2/10 22:55,0.06,20 
8/2/10 22:55,0.06,111.82 
8/2/10 22:55,0.06,514.02 
8/3/10 1:01,0.06,10 
8/3/10 2:49,0.06,30 
8/3/10 3:00,0.061,20 
8/3/10 3:17,0.0619,86 
8/3/10 3:17,0.062,324 
8/3/10 6:54,0.062,11.13 
8/3/10 6:57,0.062,300 
8/3/10 10:23,0.06,65 
8/3/10 10:23,0.06,20 
8/3/10 10:23,0.06,237.33 
8/3/10 10:23,0.0591,90 
8/3/10 10:23,0.059,621.67 
8/3/10 12:41,0.059,178.33 
8/3/10 12:53,0.06,40 
8/3/10 13:02,0.062,100 
8/3/10 13:02,0.062,100 
8/3/10 13:02,0.062,100 
8/3/10 13:02,0.062,64.87 
8/3/10 13:02,0.062,20 
8/3/10 13:02,0.0625,100 
8/3/10 13:03,0.0625,100 
8/3/10 13:03,0.0625,100 
8/3/10 13:03,0.0625,100 
8/3/10 13:03,0.0625,100 
8/3/10 13:03,0.0625,100 
8/3/10 13:04,0.0625,100 
8/3/10 13:04,0.0625,92.79 
8/3/10 14:07,0.061,20 
8/3/10 14:07,0.0625,207.21 
8/3/10 14:08,0.0633,12 
8/3/10 14:08,0.0635,1000 
8/3/10 14:25,0.06331,988 
8/3/10 14:25,0.06251,12 
8/3/10 14:55,0.065,5 
8/3/10 14:55,0.065,15 
8/3/10 15:53,0.06251,3 
8/3/10 15:55,0.06251,3 
8/3/10 15:56,0.06251,3 
8/3/10 19:48,0.06251,779 
8/3/10 21:06,0.06201,15.1 
8/3/10 21:07,0.06201,0.03 
8/3/10 21:08,0.061,69 
8/3/10 21:12,0.0605,1000 
8/3/10 22:17,0.0605,1000 
8/3/10 22:19,0.062,69 
8/3/10 22:19,0.0629,90 
8/3/10 22:19,0.063,100 
8/3/10 22:20,0.063,100 
8/3/10 22:20,0.063,100 
8/3/10 22:20,0.063,100 
8/3/10 22:20,0.063,100 
8/3/10 22:20,0.063,100 
8/3/10 22:20,0.063,100 
8/3/10 22:20,0.063,100 
8/3/10 22:31,0.061,70 
8/3/10 23:21,0.0601,94 
8/3/10 23:32,0.06,356 
8/4/10 1:39,0.06229,94 
8/4/10 1:39,0.0623,135.5 
8/4/10 2:02,0.0623,264.5 
8/4/10 3:02,0.06231,985.5 
8/4/10 3:02,0.0601,14.5 
8/4/10 11:57,0.0601,83.36 
8/4/10 12:29,0.06,23.56 
8/4/10 12:29,0.06,20 
8/4/10 12:29,0.06,373.08 
8/4/10 18:04,0.06,626.92 
8/4/10 18:04,0.06,20 
8/4/10 18:04,0.0591,12 
8/4/10 18:05,0.059,16 
8/4/10 18:05,0.059,20 
8/4/10 18:05,0.058,20 
8/4/10 18:05,0.0578,182 
8/4/10 18:05,0.057,20 
8/4/10 18:05,0.057,583.08 
8/5/10 2:24,0.0581,316.92 
8/5/10 2:25,0.058,53.24 
8/5/10 4:04,0.0603,10 
8/5/10 6:14,0.0603,5 
8/5/10 12:58,0.0603,1 
8/5/10 12:58,0.06,1 
8/5/10 14:18,0.06,600 
8/5/10 17:43,0.06,1000 
8/5/10 20:10,0.0603,584 
8/5/10 20:11,0.0604,190 
8/5/10 20:35,0.0608,321 
8/5/10 20:35,0.0609,911.91 
8/5/10 20:35,0.0609,117.09 
8/5/10 20:42,0.0609,882.91 
8/5/10 20:42,0.061,20 
8/5/10 21:22,0.061,20 
8/6/10 5:30,0.062,20 
8/6/10 5:34,0.0624,100 
8/6/10 5:55,0.0624,100 
8/6/10 5:56,0.0624,100 
8/6/10 7:38,0.0624,100 
8/6/10 7:49,0.0624,25 
8/6/10 9:52,0.0624,12 
8/6/10 16:01,0.0619,100 
8/6/10 20:39,0.0614,188 
8/7/10 0:09,0.0607,500 
8/7/10 0:49,0.0614,10 
8/7/10 0:52,0.0619,50 
8/7/10 0:53,0.0623,90 
8/7/10 4:48,0.0608,200 
8/7/10 6:06,0.06079,100 
8/7/10 14:16,0.06079,200 
8/7/10 14:23,0.0622,19 
8/7/10 14:56,0.06081,50 
8/7/10 16:27,0.0609,50 
8/7/10 20:58,0.061,263 
8/7/10 20:59,0.0609,175 
8/7/10 20:59,0.0608,200 
8/7/10 20:59,0.0606,200 
8/7/10 20:59,0.06,20 
8/7/10 20:59,0.06,1 
8/7/10 20:59,0.05975,141 
8/7/10 23:04,0.05975,15 
8/7/10 23:05,0.059,20 
8/7/10 23:05,0.059,20 
8/7/10 23:05,0.059,445 
8/7/10 23:05,0.059,500 
8/8/10 4:14,0.059,25 
8/8/10 16:07,0.06,1000 
8/8/10 16:07,0.0604,1000 
8/8/10 16:08,0.061,20 
8/8/10 23:24,0.0609,156 
8/9/10 2:01,0.06091,158.25 
8/9/10 2:01,0.0595,1000 
8/9/10 2:01,0.0593,841.75 
8/9/10 3:23,0.061,20 
8/9/10 3:23,0.0615,521.94 
8/9/10 3:31,0.062,4.52 
8/9/10 4:18,0.0615,389 
8/9/10 4:22,0.0615,0.81 
8/9/10 4:31,0.0615,432.44 
8/9/10 4:31,0.0615,231.35 
8/9/10 9:54,0.0615,19.94 
8/9/10 9:54,0.062,20 
8/9/10 9:54,0.0624,148.71 
8/9/10 9:54,0.0629,922.91 
8/9/10 9:55,0.063,40 
8/9/10 9:55,0.063,20 
8/9/10 9:55,0.063,10 
8/9/10 9:55,0.063,20 
8/9/10 9:55,0.064,20 
8/9/10 9:55,0.064,20 
8/9/10 9:55,0.064,55 
8/9/10 9:55,0.064,50 
8/9/10 9:55,0.0644,198.04 
8/9/10 9:55,0.0644,301.96 
8/9/10 9:55,0.065,20 
8/9/10 9:55,0.065,100 
8/9/10 9:55,0.065,142.36 
8/9/10 9:55,0.065,35 
8/9/10 9:55,0.066,265.26 
8/9/10 12:59,0.063,300 
8/9/10 13:20,0.062,10 
8/9/10 15:06,0.063,10 
8/9/10 15:06,0.065,50 
8/9/10 16:22,0.065,189 
8/9/10 16:43,0.065,500 
8/9/10 16:43,0.065,500 
8/9/10 16:43,0.065,300.23 
8/9/10 18:00,0.066,34.74 
8/9/10 18:00,0.0675,100 
8/9/10 18:00,0.0675,50 
8/9/10 18:00,0.068,1.15 
8/9/10 18:00,0.068,12.5 
8/9/10 18:00,0.068,20 
8/9/10 18:00,0.06887,100 
8/9/10 18:00,0.06887,100 
8/9/10 18:00,0.06887,100 
8/9/10 18:00,0.06887,100 
8/9/10 18:00,0.06887,100 
8/9/10 18:01,0.06887,100 
8/9/10 18:01,0.06887,100 
8/9/10 18:01,0.06887,100 
8/9/10 18:01,0.06887,100 
8/9/10 18:01,0.06887,100 
8/9/10 18:01,0.06887,100 
8/9/10 18:01,0.06887,100 
8/9/10 18:01,0.06887,100 
8/9/10 18:01,0.06887,100 
8/9/10 18:01,0.06887,100 
8/9/10 18:01,0.06887,100 
8/9/10 18:01,0.06887,400 
8/9/10 18:01,0.069,20 
8/9/10 18:01,0.069,210 
8/9/10 18:01,0.0695,1000 
8/9/10 18:01,0.0695,500 
8/9/10 18:01,0.0695,124 
8/9/10 18:01,0.0699,100 
8/9/10 18:06,0.0646,2 
8/9/10 18:07,0.0646,2 
8/9/10 18:35,0.07,20 
8/9/10 18:35,0.07,10 
8/9/10 18:35,0.071,48 
8/9/10 18:35,0.073,10 
8/9/10 18:35,0.0735,29.25 
8/9/10 18:37,0.0735,15 
8/9/10 19:38,0.06624,705 
8/9/10 20:47,0.0714,46 
8/9/10 21:36,0.06651,1.98 
8/9/10 21:39,0.06651,1 
8/9/10 21:51,0.06651,500 
8/9/10 22:42,0.0704,100 
8/9/10 22:42,0.071,100 
8/10/10 3:40,0.068,1 
8/10/10 3:42,0.068,1 
8/10/10 12:22,0.0708,7 
8/10/10 12:58,0.0708,134 
8/10/10 13:35,0.0681,100 
8/10/10 13:35,0.068,18 
8/10/10 13:36,0.0666,400 
8/10/10 13:38,0.06651,149.11 
8/10/10 19:02,0.0708,10 
8/10/10 19:02,0.0708,4.1 
8/10/10 20:05,0.0708,44.9 
8/10/10 20:05,0.0709,19 
8/10/10 20:11,0.07081,0.28 
8/10/10 21:24,0.0709,71 
8/10/10 23:51,0.0672,300 
8/11/10 0:29,0.06711,50 
8/11/10 0:58,0.07,1 
8/11/10 1:07,0.06,1 
8/11/10 1:16,0.06,1 
8/11/10 1:16,0.06,2 
8/11/10 1:16,0.06,3 
8/11/10 1:16,0.06,1 
8/11/10 1:17,0.06,1 
8/11/10 1:17,0.06,1 
8/11/10 1:18,0.07,50 
8/11/10 1:27,0.068,2 
8/11/10 2:16,0.068,49 
8/11/10 2:17,0.06711,1 
8/11/10 2:17,0.06711,1 
8/11/10 2:17,0.06711,1 
8/11/10 2:17,0.06711,1 
8/11/10 2:17,0.06711,1 
8/11/10 2:17,0.06711,1 
8/11/10 2:18,0.06711,5 
8/11/10 2:18,0.06711,140 
8/11/10 3:02,0.07,9 
8/11/10 3:03,0.07019,50 
8/11/10 3:03,0.0702,10 
8/11/10 3:03,0.0703,65 
8/11/10 11:40,0.069,70 
8/11/10 14:51,0.0691,1000 
8/11/10 15:10,0.069,5 
8/11/10 15:10,0.069,9 
8/11/10 15:45,0.07029,151 
8/11/10 15:45,0.0703,335 
8/11/10 15:46,0.071,6.72 
8/11/10 15:46,0.071,3 
8/11/10 15:46,0.0711,100.33 
8/11/10 15:47,0.07148,771.68 
8/11/10 16:28,0.069,3.77 
8/11/10 16:28,0.0683,46.23 
8/11/10 16:42,0.0684,100 
8/11/10 16:53,0.06839,200 
8/11/10 16:58,0.07,64.99 
8/11/10 17:40,0.07,1 
8/11/10 17:40,0.07,35.01 
8/11/10 17:40,0.0714,100 
8/11/10 17:47,0.0714,200 
8/11/10 17:47,0.07148,29.32 
8/11/10 17:47,0.07149,602 
8/11/10 17:47,0.0715,1000 
8/11/10 17:47,0.0715,11.77 
8/11/10 17:47,0.0715,1 
8/11/10 17:47,0.072,50 
8/11/10 17:47,0.07248,116.12 
8/11/10 18:02,0.07248,699.88 
8/11/10 18:02,0.073,300 
8/11/10 18:02,0.073,20.01 
8/11/10 18:02,0.0735,134 
8/11/10 18:02,0.0735,55.75 
8/11/10 18:02,0.07479,500 
8/11/10 18:08,0.07494,240 
8/11/10 18:14,0.07491,2 
8/11/10 18:14,0.07491,2 
8/11/10 18:14,0.07491,1.74 
8/11/10 18:15,0.07,2 
8/11/10 18:22,0.073,2 
8/11/10 18:22,0.07489,0.26 
8/11/10 18:23,0.07494,1170 
8/11/10 18:24,0.075,10 
8/11/10 18:24,0.075,30 
8/11/10 18:24,0.075,50 
8/11/10 18:24,0.075,100 
8/11/10 18:25,0.07541,400 
8/11/10 18:25,0.07541,150 
8/11/10 18:29,0.07541,1799.12 
8/11/10 18:29,0.07541,450.88 
8/11/10 18:35,0.0751,2 
8/11/10 18:48,0.0751,1.73 
8/11/10 18:50,0.07001,1506.27 
8/11/10 19:58,0.0711,37 
8/11/10 19:58,0.071,2 
8/11/10 19:58,0.0701,50 
8/11/10 19:59,0.07,857.71 
8/11/10 21:00,0.069,66.52 
8/11/10 22:53,0.067,9.37 
8/12/10 2:55,0.068,40 
8/12/10 6:56,0.067,20.31 
8/12/10 8:48,0.067,10.32 
8/12/10 8:49,0.06624,1000 
8/12/10 8:49,0.06624,10.32 
8/12/10 8:49,0.06624,9.32 
8/12/10 8:50,0.06624,275.36 
8/12/10 8:50,0.0649,73.5 
8/12/10 8:50,0.0648,189.5 
8/12/10 8:50,0.063,150 
8/12/10 8:51,0.06141,281.68 
8/12/10 22:28,0.0665,1 
8/12/10 23:20,0.07,1 
8/13/10 6:37,0.0665,147 
8/13/10 6:38,0.066,15 
8/13/10 6:38,0.065,638 
8/13/10 14:36,0.0679,86.77 
8/13/10 14:39,0.068,14 
8/13/10 20:26,0.0652,312.112 
8/13/10 20:26,0.0652,312.112 
8/13/10 20:26,0.0652,375.776 
8/13/10 20:34,0.065,300 
8/13/10 21:37,0.0651,15 
8/13/10 21:38,0.065,185 
8/13/10 21:38,0.06509,1 
8/13/10 22:44,0.065,366.38 
8/13/10 22:49,0.0645,200 
8/13/10 22:51,0.06499,33.62 
8/13/10 23:40,0.0645,128.53 
8/13/10 23:40,0.0645,45.735 
8/13/10 23:40,0.0645,10.23 
8/13/10 23:40,0.0645,300 
8/13/10 23:40,0.0645,105.505 
8/14/10 10:20,0.0655,45 
8/14/10 13:58,0.0655,1 
8/14/10 16:18,0.065,35.077 
8/14/10 16:18,0.0645,0.003 
8/14/10 16:51,0.0655,154 
8/14/10 16:51,0.066,200 
8/14/10 16:51,0.067,40 
8/14/10 16:57,0.0673,400 
8/14/10 16:58,0.0675,1000 
8/14/10 17:06,0.0685,100 
8/14/10 17:06,0.06879,50 
8/14/10 17:06,0.069,5.2 
8/14/10 17:06,0.0695,100 
8/14/10 17:06,0.0695,49 
8/14/10 17:13,0.069,300 
8/14/10 21:03,0.06587,924.92 
8/14/10 21:42,0.067,1000 
8/15/10 2:09,0.067,1000 
8/15/10 20:01,0.0667,155 
8/15/10 20:26,0.06644,414.7 
8/15/10 20:28,0.066,571.061 
8/15/10 20:33,0.06579,400 
8/15/10 20:34,0.06579,1000 
8/15/10 20:35,0.06579,92 
8/15/10 20:36,0.0655,150 
8/15/10 20:45,0.06526,5 
8/15/10 20:45,0.06526,300 
8/15/10 20:45,0.06526,300 
8/15/10 20:53,0.06526,2 
8/15/10 22:09,0.06529,5 
8/15/10 22:51,0.06529,10.106 
8/15/10 23:22,0.06529,9.799 
8/16/10 0:47,0.065,1 
8/16/10 0:47,0.065,4 
8/16/10 0:56,0.06529,9 
8/16/10 0:57,0.06529,9 
8/16/10 0:58,0.06529,7.6 
8/16/10 0:58,0.06529,17.6 
8/16/10 3:52,0.06319,83.2 
8/16/10 4:04,0.06529,547 
8/16/10 4:10,0.06529,0.001 
8/16/10 4:17,0.0678,35 
8/16/10 4:17,0.0678,35 
8/16/10 5:11,0.0652,2.7 
8/16/10 5:28,0.066,23 
8/16/10 5:28,0.067,13 
8/16/10 5:28,0.067,17 
8/16/10 5:28,0.067,10 
8/16/10 5:28,0.0678,120 
8/16/10 5:30,0.0679,264 
8/16/10 6:01,0.0676,75 
8/16/10 10:36,0.066,50 
8/16/10 10:56,0.066,221.667 
8/16/10 10:56,0.0652,161 
8/16/10 10:57,0.065,145 
8/16/10 10:57,0.065,20 
8/16/10 10:59,0.063,50 
8/16/10 10:59,0.063,36.03 
8/16/10 10:59,0.063,150 
8/16/10 15:53,0.06337,52 
8/16/10 17:41,0.063,20 
8/16/10 17:41,0.0629,100 
8/16/10 17:41,0.062,200 
8/16/10 17:41,0.062,80 
8/16/10 18:21,0.0668,1000 
8/16/10 19:17,0.0639,1000 
8/16/10 19:17,0.064,1000 
8/16/10 19:58,0.0644,2.26 
8/16/10 20:32,0.0644,500 
8/16/10 20:32,0.0644,500 
8/16/10 20:32,0.0644,500 
8/16/10 20:32,0.0644,500 
8/16/10 20:32,0.0644,500 
8/16/10 20:33,0.0644,497.74 
8/16/10 20:33,0.0645,500 
8/16/10 20:33,0.0645,218 
8/16/10 20:33,0.0669,161 
8/16/10 20:33,0.067,100 
8/16/10 20:33,0.067,100 
8/16/10 20:33,0.067,100 
8/16/10 20:45,0.0655,102.29 
8/16/10 20:45,0.0655,102.29 
8/16/10 20:45,0.0655,95.42 
8/16/10 21:58,0.0655,6.87 
8/16/10 22:48,0.06549,693.13 
8/16/10 22:49,0.0665,35 

Answer 1

Per illustrare @JoshuaUlrich'scomment:

x <- read.csv(header=TRUE, stringsAsFactor=FALSE, 
       text="time,price,volume, 
        7/18/10 0:09,0.04951,20, 
        7/18/10 4:43,0.05941,50.01, 
        7/18/10 18:48,0.0808,5, 
        7/18/10 22:44,0.08585,10, 
        7/18/10 23:00,0.08584,5, 
        7/18/10 23:00,0.08584,5, 
        7/19/10 4:53,0.0909,5, 
        7/19/10 17:24,0.09307,80, 
        7/19/10 18:03,0.08911,100, 
        7/19/10 18:07,0.08752,100,") 
# create an xts object 
myxts <- xts(x[, 2:3], order.by=as.POSIXct(x[, 1], format='%m/%d/%y %H:%M')) 
myxts 

myxts 
#      price volume 
# 2010-07-18 00:09:00 0.04951 20.00 
# 2010-07-18 04:43:00 0.05941 50.01 
# 2010-07-18 18:48:00 0.08080 5.00 
# 2010-07-18 22:44:00 0.08585 10.00 
# 2010-07-18 23:00:00 0.08584 5.00 
# 2010-07-18 23:00:00 0.08584 5.00 
# 2010-07-19 04:53:00 0.09090 5.00 
# 2010-07-19 17:24:00 0.09307 80.00 
# 2010-07-19 18:03:00 0.08911 100.00 
# 2010-07-19 18:07:00 0.08752 100.00 
to.minutes(myxts) 
#      myxts.Open myxts.High myxts.Low myxts.Close myxts.Volume 
# 2010-07-18 00:09:00 0.04951 0.04951 0.04951  0.04951  20.00 
# 2010-07-18 04:43:00 0.05941 0.05941 0.05941  0.05941  50.01 
# 2010-07-18 18:48:00 0.08080 0.08080 0.08080  0.08080   5.00 
# 2010-07-18 22:44:00 0.08585 0.08585 0.08585  0.08585  10.00 
# 2010-07-18 23:00:00 0.08584 0.08584 0.08584  0.08584  10.00 
# 2010-07-19 04:53:00 0.09090 0.09090 0.09090  0.09090   5.00 
# 2010-07-19 17:24:00 0.09307 0.09307 0.09307  0.09307  80.00 
# 2010-07-19 18:03:00 0.08911 0.08911 0.08911  0.08911  100.00 
# 2010-07-19 18:07:00 0.08752 0.08752 0.08752  0.08752  100.00 

to.minutes è uno dei tanti wrapper per to.period. Ciò equivale, ma più generale:

to.period(myxts, 'minutes', 1) 

Answer 2

Una serie zoo può essere Reclassed come OHLC con class(data) <- c('zoo', 'OHLC', 'some other class').

Da ?quantmod::quantmod.OHLC:

‘quantmod.OHLC’ è in realtà solo cambiando il nome di un oggetto della classe ‘zoo’, con la convenzione di NAME.Open, NAME.High, ... per i nomi di colonna.

Se non si dispone della colonna del volume, non vi è alcun codice che è possibile scrivere per aggiungere tali dati. Sembra che tu abbia solo una serie di prezzi intraday. Puoi ancora classificarli come zoo o xts e fare analisi delle serie temporali. Se si vuole ridurre la risoluzione dei dati, si può sempre eseguire la scansione su ogni giorno e utilizzare le funzioni first, max, min, last per ottenere il vostro O, H, L, C.

Answer 3

da http://r.789695.n4.nabble.com/Convert-tick-data-to-OHLC-td926206.html

ohlc <- function(ttime,tprice,tvolume,fmt) { 
    ttime.int <- format(ttime,fmt) 
    data.frame(time = ttime[tapply(1:length(ttime),ttime.int,function(x) {head(x,1)})], 
    .Open = tapply(tprice,ttime.int,function(x) {head(x,1)}), 
    .High = tapply(tprice,ttime.int,max), 
    .Low = tapply(tprice,ttime.int,min), 
    .Close = tapply(tprice,ttime.int,function(x) {tail(x,1)}), 
    .Volume = tapply(tvolume,ttime.int,function(x) {sum(x)}), 
    .Adjusted = tapply(tprice,ttime.int,function(x) {tail(x,1)})) 
}