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xts每一天的时间范围内的最小和最大

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我有一个xts对象，其中包含几年内的当日OHLC价格数据。我希望能够编写一个函数，该函数每天计算04:00:00到05:00:00之间的最小值和最大值，并将其作为xts对象中的一列包括在内。我对操纵xts对象不是很熟悉。谁能指出我正确的方向？这是xts对象的头部。

                     Open   High    Low  Close Volume
2017-01-01 00:00:00 968.29 968.76 966.74 966.97 106562
2017-01-01 00:05:00 966.97 967.00 966.89 966.89  13731
2017-01-01 00:10:00 966.89 966.89 964.86 964.86 124137
2017-01-01 00:15:00 964.86 964.99 964.80 964.80   3001
2017-01-01 00:20:00 964.80 964.80 964.80 964.80      0
2017-01-01 00:25:00 964.80 965.09 964.54 964.91  48000
2017-01-01 00:30:00 964.91 965.01 964.91 965.01   2501
2017-01-01 00:35:00 965.01 967.82 965.57 967.82  71501
2017-01-01 00:40:00 967.82 967.82 967.08 967.08     50
2017-01-01 00:45:00 967.08 967.40 967.40 967.40     50
2017-01-01 00:50:00 967.40 968.08 967.40 968.08  14000
2017-01-01 00:55:00 968.08 968.08 966.89 968.00   1008
2017-01-01 01:00:00 968.00 968.10 968.00 968.10   1002
2017-01-01 01:05:00 968.10 968.10 967.62 967.62   5200
2017-01-01 01:10:00 967.62 967.70 966.29 966.29  35476
2017-01-01 01:15:00 966.29 966.29 966.28 966.28   3068
2017-01-01 01:20:00 966.28 966.66 965.00 965.00  30471
2017-01-01 01:25:00 965.00 965.01 964.00 964.00  77884
2017-01-01 01:30:00 964.00 964.76 964.76 964.76    500
2017-01-01 01:35:00 964.76 967.48 964.69 965.00 134129
2017-01-01 01:40:00 965.00 965.00 963.67 963.67  59676
2017-01-01 01:45:00 963.67 963.67 963.67 963.67      0
2017-01-01 01:50:00 963.67 964.56 963.66 964.55   5531
2017-01-01 01:55:00 964.55 963.43 963.40 963.40   3000
2017-01-01 02:00:00 963.40 964.60 963.40 964.60   1301
2017-01-01 02:05:00 964.60 964.60 964.60 964.60      0
2017-01-01 02:10:00 964.60 964.60 964.00 964.11  49954
2017-01-01 02:15:00 964.11 964.60 964.59 964.60   5000
2017-01-01 02:20:00 964.60 964.60 964.60 964.60      0
2017-01-01 02:25:00 964.60 964.60 964.51 964.51   2000
2017-01-01 02:30:00 964.51 964.51 964.51 964.51      0
2017-01-01 02:35:00 964.51 964.51 963.23 963.99  16667
2017-01-01 02:40:00 963.99 963.99 963.65 963.66  10000
2017-01-01 02:45:00 963.66 964.26 963.16 964.26  75500
2017-01-01 02:50:00 964.26 964.26 964.26 964.26      0
2017-01-01 02:55:00 964.26 964.26 964.26 964.26      0
2017-01-01 03:00:00 964.26 964.61 963.98 964.61  13000
2017-01-01 03:05:00 964.61 964.61 964.61 964.61      0
2017-01-01 03:10:00 964.61 964.61 964.61 964.61      0
2017-01-01 03:15:00 964.61 964.61 964.61 964.61      0
2017-01-01 03:20:00 964.61 964.82 964.48 964.82  16666
2017-01-01 03:25:00 964.82 965.00 963.99 964.97  50500
2017-01-01 03:30:00 964.97 964.97 964.02 964.02  56000
2017-01-01 03:35:00 964.02 964.29 964.29 964.29    500
2017-01-01 03:40:00 964.29 963.53 963.52 963.52  24000
2017-01-01 03:45:00 963.52 963.52 963.43 963.43  16500
2017-01-01 03:50:00 963.43 963.67 963.42 963.42  25002
2017-01-01 03:55:00 963.42 963.42 961.69 961.69  84507
2017-01-01 04:00:00 961.69 961.69 960.90 960.93  57909
2017-01-01 04:05:00 960.93 960.93 960.93 960.93      0
2017-01-01 04:10:00 960.93 961.19 961.19 961.19    400
2017-01-01 04:15:00 961.19 962.09 961.19 962.09   7001
2017-01-01 04:20:00 962.09 962.09 962.09 962.09      0
2017-01-01 04:25:00 962.09 962.10 961.14 961.14  32000
2017-01-01 04:30:00 961.14 961.14 960.93 960.93  41900
2017-01-01 04:35:00 960.93 961.94 960.93 961.64    640
2017-01-01 04:40:00 961.64 961.71 961.64 961.71      1
2017-01-01 04:45:00 961.71 962.00 961.90 961.99   5499
2017-01-01 04:50:00 961.99 961.99 961.99 961.99      0
2017-01-01 04:55:00 961.99 961.99 961.99 961.99      1
2017-01-01 05:00:00 961.99 961.99 961.99 961.99      0
2017-01-01 05:05:00 961.99 961.99 961.99 961.99     40
2017-01-01 05:10:00 961.99 961.99 961.99 961.99      0
2017-01-01 05:15:00 961.99 961.99 961.99 961.99      0
2017-01-01 05:20:00 961.99 961.99 961.99 961.99      0
2017-01-01 05:25:00 961.99 961.99 961.99 961.99      0
2017-01-01 05:30:00 961.99 962.10 961.99 962.10   1382
2017-01-01 05:35:00 962.10 968.84 962.10 968.84 122909
2017-01-01 05:40:00 968.84 968.86 963.78 965.53 161263
2017-01-01 05:45:00 965.53 964.81 963.11 963.81  18021
2017-01-01 05:50:00 963.81 964.39 963.85 964.39  40006
2017-01-01 05:55:00 964.39 964.47 964.00 964.47  39966
2017-01-01 06:00:00 964.47 964.47 964.47 964.47      0
ahuo1987 回答：xts每一天的时间范围内的最小和最大

您可以通过过滤索引小时数，然后使用period.max和period.min函数来做到这一点。这些值将被放置在所选小时的最后一条记录中。请参阅下面的示例，其中包含15:00至16:00之间的MSFT日内数据，最大值和最小值。 

library(xts)

# max of high values between 15 and 16. (excluding 16:00)
msft$max <- period.max(msft$high[.indexhour(msft) == 15],endpoints(msft$high[.indexhour(msft) == 15],on = "hour"))

# min of low values between 15 and 16. (excluding 16:00)
msft$min <- period.min(msft$low[.indexhour(msft) == 15],endpoints(msft$low[.indexhour(msft) == 15],on = "hour"))

head(msft[8:24],16)
                       open     high     low    close  volume    max    min
2020-01-23 14:50:00 166.180 166.2300 166.090 166.1050   87934     NA     NA
2020-01-23 14:55:00 166.105 166.2200 166.103 166.1700   92280     NA     NA
2020-01-23 15:00:00 166.160 166.3500 166.160 166.3400  114359     NA     NA
2020-01-23 15:05:00 166.335 166.3400 166.285 166.2850  102633     NA     NA
2020-01-23 15:10:00 166.290 166.3050 166.170 166.2550  125558     NA     NA
2020-01-23 15:15:00 166.250 166.2750 166.210 166.2400  103938     NA     NA
2020-01-23 15:20:00 166.230 166.2500 166.180 166.2350   99649     NA     NA
2020-01-23 15:25:00 166.240 166.3000 166.225 166.2850   93846     NA     NA
2020-01-23 15:30:00 166.270 166.4164 166.175 166.3600  183154     NA     NA
2020-01-23 15:35:00 166.360 166.5000 166.320 166.4600  177178     NA     NA
2020-01-23 15:40:00 166.450 166.4650 166.380 166.3800  112174     NA     NA
2020-01-23 15:45:00 166.385 166.4050 166.290 166.3875  152806     NA     NA
2020-01-23 15:50:00 166.382 166.5200 166.362 166.4500  205667     NA     NA
2020-01-23 15:55:00 166.450 166.6900 166.305 166.6700  508469 166.69 166.16
2020-01-23 16:00:00 166.660 166.7200 166.589 166.7200  934090     NA     NA
2020-01-24 09:35:00 167.510 167.5300 166.890 166.8918 1152646     NA     NA

数据： 

msft <- structure(c(166.224,166.29,166.2456,166.165,166.1446,166.1601,166.18,166.105,166.16,166.335,166.25,166.23,166.24,166.27,166.36,166.45,166.385,166.382,166.66,167.51,167.03,167.265,167.325,167.37,167.16,167.405,167.35,167.31,167.39,167.17,167.1,166.845,167.1223,167.125,167.21,167.34,167.235,167.3,167.1977,166.9814,166.8499,166.99,166.93,166.83,166.64,166.775,166.85,166.71,166.6838,166.46,166.35,165.765,166.2269,166.01,166.19,166.13,166.31,166.42,166.3682,165.99,166.1328,165.85,165.74,165.8439,165.655,165.5434,165.47,165.3227,165.0627,165.03,165.2546,165.14,165.1,164.91,164.75,164.65,164.53,164.81,164.8979,164.6,164.89,164.94,165.12,165.17,165.24,165.4,165.335,165.2734,164.985,164.9,164.61,164.93,165.18,166.315,166.3,166.265,166.22,166.2201,166.2,166.34,166.305,166.275,166.4164,166.5,166.465,166.405,166.52,166.69,166.72,167.53,167.495,167.47,167.48,167.4251,167.3699,167.42,167.41,167.2,167.23,167.255,167.33,167.38,167.25,167.01,167,167.02,166.8384,166.9056,166.86,166.94,166.75,166.6844,166.47,166.4049,166.221,166.2003,166.3749,166.3999,166.43,166.375,166.175,165.96,165.93,165.86,165.671,165.64,165.49,165.08,165.27,165.26,165.34,165,164.825,164.765,164.82,164.99,165.041,165.293,165.23,165.44,165.6046,165.37,165.295,164.945,165.185,166.225,166.15,166.145,166.1015,166.09,166.103,166.285,166.17,166.21,166.32,166.38,166.362,166.589,166.89,167.22,167.32,167.225,167.2801,167.145,167.05,166.84,166.77,167.18,167.223,167.28,167.1843,166.862,166.821,166.8121,166.55,166.6303,166.7,166.54,166.4,165.76,165.8966,165.91,166.07,166.171,165.97,165.82,165.73,165.72,165.45,165.32,165.045,165.09,164.74,164.529,164.735,164.59,164.54,164.88,164.938,165.01,165.0792,165.22,165.263,164.58,164.87,166.26,166.155,166.255,166.235,166.3875,166.67,166.8918,167.27,167.371,167.2251,167.4,167.29,167.3988,167.1047,167.025,167.11,167.12,167.345,167.1916,167.0027,166.7738,166.68,166.4672,166.3512,165.79,165.9969,166.14,166.2968,165.83,165.8405,165.65,165.545,165.48,165.33,165.05,165.0227,165.1425,165.101,164.6581,164.5292,164.805,164.8801,164.9498,165.04,165.16,165.2302,165.28,164.987,164.605,158120,165333,101115,78491,123999,76037,82733,87934,92280,114359,102633,125558,103938,99649,93846,183154,177178,112174,152806,205667,508469,934090,1152646,558627,277325,321651,255494,333848,272126,395463,194593,211910,193131,242112,210240,193265,139617,204182,179146,159259,237888,410982,213787,233082,188071,193742,132377,118994,264247,182490,109514,138164,221052,194127,169059,458214,247712,169523,115531,161259,263230,155536,82474,87549,109057,101772,130642,171988,117235,134507,236662,219303,217698,219808,420288,208087,149358,197435,218090,267667,320279,422434,340478,273866,258938,212451,268017,323657,267686,214060,222314,293731,288867,219687,304733,251063,425450,455311,741208,1429645),.Dim = c(100L,5L),.Dimnames = list(NULL,c("open","high","low","close","volume")),index = structure(c(1579785300,1579785600,1579785900,1579786200,1579786500,1579786800,1579787100,1579787400,1579787700,1579788000,1579788300,1579788600,1579788900,1579789200,1579789500,1579789800,1579790100,1579790400,1579790700,1579791000,1579791300,1579791600,1579854900,1579855200,1579855500,1579855800,1579856100,1579856400,1579856700,1579857000,1579857300,1579857600,1579857900,1579858200,1579858500,1579858800,1579859100,1579859400,1579859700,1579860000,1579860300,1579860600,1579860900,1579861200,1579861500,1579861800,1579862100,1579862400,1579862700,1579863000,1579863300,1579863600,1579863900,1579864200,1579864500,1579864800,1579865100,1579865400,1579865700,1579866000,1579866300,1579866600,1579866900,1579867200,1579867500,1579867800,1579868100,1579868400,1579868700,1579869000,1579869300,1579869600,1579869900,1579870200,1579870500,1579870800,1579871100,1579871400,1579871700,1579872000,1579872300,1579872600,1579872900,1579873200,1579873500,1579873800,1579874100,1579874400,1579874700,1579875000,1579875300,1579875600,1579875900,1579876200,1579876500,1579876800,1579877100,1579877400,1579877700,1579878000),tzone = "",tclass = c("POSIXct","POSIXt")),class = c("xts","zoo"))
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