I frequently use to.daily to convert 1 min OHLC data to a daily format but am trying to find a way to do the same with overnight data. I was hoping to see the option to specify what time a "day" starts and ends but didn't see that.
Overnight session being 18:00 to 09:30.
Does anyone have a simple way to do this?
You could use time-of-day subsetting with which.i = TRUE to find all of the observations you don't want. Then subset the original data with the negative of the result, so all the non-overnight observations will be dropped.
# assume data are in a xts object named 'x'
DayObs <- x["T09:30/T18:30", which.i = TRUE]
Overnight <- x[-DayObs,]
You might need to change the start and end times in the time-of-day subset call.
If you already have your data subset so that it only includes the overnight session, you can aggregate to "daily" using period.apply() and custom endpoints. Assuming your data are in an object named x:
ep <- c(0, which(diff(.indexhour(x) > 9 & .indexmin(x) > 30) == 1))
makeOHLC <- function(x) {
op <- as.numeric(first(x))
cl <- as.numeric(last(x))
c(Open = op, High = max(x), Low = min(x), Close = cl)
}
period.apply(x, ep, makeOHLC)