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I have an intraday dataset of stock-related quotes. How do I convert it into a time series?

            Time    Size Ask    Bid    Trade
11-1-2016   9:00:12 100 <NA>    901     <NA>
11-1-2016   9:00:21 5   <NA>    <NA>    950
11-1-2016   9:00:21 5   <NA>    950     <NA>
11-1-2016   9:00:21 10  905     <NA>    <NA>
11-1-2016   9:00:24 500 <NA>    921     <NA>
11-1-2016   9:00:28 2   <NA>    879     <NA>
11-1-2016   9:00:31 6   1040    <NA>    <NA>
11-1-2016   9:00:39 5   <NA>    <NA>    950
11-1-2016   9:00:39 5   <NA>    950     <NA>
11-1-2016   9:00:39 10  905     <NA>    <NA>
11-1-2016   9:00:39 5   <NA>    <NA>    950
11-1-2016   9:00:44 2   <NA>    879     <NA>
11-1-2016   9:00:44 6   1040    <NA>    <NA>
11-1-2016   9:00:45 1   1005    <NA>    <NA>
11-1-2016   9:00:46 1   1000    <NA>    <NA>
11-1-2016   9:00:47 1   <NA>    900     <NA>
11-1-2016   9:00:47 5   <NA>    <NA>    950
11-1-2016   9:00:47 5   <NA>    950     <NA>
11-1-2016   9:00:47 10  905     <NA>    <NA>
11-1-2016   9:00:48 1   <NA>    900     <NA>
11-1-2016   9:00:48 1   1000    <NA>    <NA>
11-1-2016   9:00:52 5   <NA>    <NA>    950
11-1-2016   9:00:52 5   <NA>    950     <NA>
11-1-2016   9:00:52 10  905     <NA>    <NA>
11-1-2016   9:00:53 10  <NA>    <NA>    939
11-1-2016   9:00:55 1   <NA>    900     <NA>
11-1-2016   9:00:55 1   1000    <NA>    <NA>
11-1-2016   9:00:55 10  <NA>    <NA>    939
11-1-2016   9:00:55 5   <NA>    950     <NA>
11-1-2016   9:00:55 10  905     <NA>    <NA>
11-1-2016   9:00:59 10  <NA>    <NA>    939
11-1-2016   9:01:04 10  <NA>    <NA>    950
11-1-2016   9:01:04 25  <NA>    950     <NA>
11-1-2016   9:01:06 1   <NA>    900     <NA>
11-1-2016   9:01:06 1   1000    <NA>    <NA>
11-1-2016   9:01:14 19  <NA>    <NA>    972
11-1-2016   9:01:14 20  <NA>    972     <NA>
11-1-2016   9:01:14 10  905     <NA>    <NA>
11-1-2016   9:01:17 19  <NA>    <NA>    972
11-1-2016   9:01:17 1   <NA>    912     <NA>

The structure of the dataset is 

'data.frame':   35797 obs. of  5 variables:
 $ Time : POSIXct, format: "2016-11-01 09:00:12" "2016-11-01 09:00:21" ..
 $ Size : chr  "100" "5" "5" "10" ...
 $ ASk  : chr  NA NA NA "905" ...
 $ Bid  : chr  "901" NA "950" NA ...
 $ Trade: chr  NA "950" NA NA ...

Once the data is converted into a time series object, then how do I aggregate the column of Ask, Bid and Trade for every 5 minute.

user3666197
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Abhishek
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  • Why not just `aggregate(.~cut(df[,1], "5 min"), data=df[,3:5], sum, na.rm=T)`? – lukeA Nov 23 '16 at 13:22
  • I am getting an error message as :: Error in aggregate.data.frame(lhs, mf[-1L], FUN = FUN, ...) : no rows to aggregate – Abhishek Nov 25 '16 at 10:18
  • Edit your post and add a minimal example, which reproduces the error. Here's [how to provide minimal reproducible examples in R](http://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example#answer-5963610). – lukeA Nov 25 '16 at 10:46

0 Answers0