Hello, I have a series of intraday (high-frequency) price data in the form of POSIX timestamp followed by the value. I sucesfuly loaded that into "its" package object. I would like to create from it a regularly spaced time series of prices (for example 1min, 5min, etc apart) so i could calcualte returns. There is an interpolation function locf() that for timestamp with value NA uses last known observation. I guess the idea would be to start from the begining of my series and, for example, if there is no timestamp for t+5min add that time with value NA. Than I could use locf() function to fill those NAs. Finaly I should extract from that series, series with 5min spaced timestamps with prices. Appart from applying locf() function, I have no idea how to add NAs into original series or extract the regular series after. Can someone help me with this? Thank you.
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