利用quantmod绘制高频金融数据

Question

嗨，我有这样的xts格式的数据

> ITXxts 

  Time                  Price   Volume 
 2014-07-18 09:00:00    67.63   460
 2012-04-27 09:00:00    67.63   73
 2012-04-27 09:00:00    67.63   85
 2012-04-27 09:00:01    67.63   3
 2012-04-27 09:01:03    67.79   1
 2012-04-27 09:01:16    67.64   91
 2012-04-27 09:05:50    67.83   75

现在将该系列聚合为5分钟的块

 tsagg5min =aggregatets(ITXxts,on="minutes",k=5)

 2014-07-18 09:05:00    67.45   43
 2014-07-18 09:10:00    67.82   12
 2014-07-18 09:15:00    67.91   341
 2014-07-18 09:20:00    67.70   275

chartSeries(tsagg5min)

​

现在我的问题是，我想以OHLC格式绘制它，这样它就可以计算聚集数据的每个5分钟区块的Open High Low和Close

Answer 1

tsagg5min <- to.minutes5(ITXxts)
#tsagg5min <- to.minutes(ITXxts, k=5) # identical
#tsagg5min <- to.period(ITXxts, endpoints(ITXxts, "minutes", k=5)) # identical

chartSeries(tsagg5min)